JM Money (India) Risk Analysis And Volatility Evaluation

F00000PCXL -- India Fund  

INR 10.36  0.00  0.00%

We consider JM Money unknown risk. JM Money Manager retains Efficiency (Sharpe Ratio) of 0.5 which attests that JM Money Manager had 0.5% of return per unit of price deviation over the last 1 month. Our way in which we are determining volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for JM Money which you can use to evaluate future volatility of the entity. Please check out JM Money Manager Super Plus Dir Fr Div Standard Deviation of 0.0795 and Market Risk Adjusted Performance of 0.42 to validate if risk estimate we provide are consistent with the epected return of 0.0242%.
Horizon     30 Days    Login   to change

JM Money Market Sensitivity

As returns on market increase, JM Money returns are expected to increase less than the market. However during bear market, the loss on holding JM Money will be expected to be smaller as well.
One Month Beta |Analyze JM Money Manager Demand Trend
Check current 30 days JM Money correlation with market (DOW)
β = 0.0335
JM Money Small BetaJM Money Manager Beta Legend

JM Money Manager Technical Analysis

Transformation
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JM Money Projected Return Density Against Market

Assuming 30 trading days horizon, JM Money has beta of 0.0335 suggesting as returns on market go up, JM Money average returns are expected to increase less than the benchmark. However during bear market, the loss on holding JM Money Manager Super Plus Dir Fr Div will be expected to be much smaller as well. Additionally, JM Money Manager Super Plus Dir Fr Div has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of JM Money is 200.0. The daily returns are destributed with a variance of 0.0 and standard deviation of 0.05. The mean deviation of JM Money Manager Super Plus Dir Fr Div is currently at 0.04. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.02
β
Beta against DOW=0.0335
σ
Overall volatility
=0.0483
Ir
Information ratio =2.27

JM Money Return Volatility

JM Money Manager Super Plus Dir Fr Div accepts 0.0483% volatility on return distribution over the 30 days horizon. DOW inherits 0.4529% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

JM Money Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

JM Money Investment Opportunity

DOW has a standard deviation of returns of 0.45 and is 9.0 times more volatile than JM Money Manager Super Plus Dir Fr Div. 0% of all equities and portfolios are less risky than JM Money. Compared to the overall equity markets, volatility of historical daily returns of JM Money Manager Super Plus Dir Fr Div is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use JM Money Manager Super Plus Dir Fr Div to protect against small markets fluctuations. The fund experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of JM Money to be traded at 10.26 in 30 days. As returns on market increase, JM Money returns are expected to increase less than the market. However during bear market, the loss on holding JM Money will be expected to be smaller as well.

JM Money correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding JM Money Manager Super Plus Di and equity matching DJI index in the same portfolio.

JM Money Volatility Indicators

JM Money Manager Super Plus Dir Fr Div Current Risk Indicators

Additionally see Investing Opportunities. Please also try Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.
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