LIC MF (India) Risk Analysis And Volatility Evaluation

F00000PD1N -- India Fund  

INR 23.73  0.36  1.49%

Macroaxis considers LIC MF to be unknown risk. LIC MF Index retains Efficiency (Sharpe Ratio) of -0.5774 which conveys that LIC MF Index had -0.5774% of return per unit of return volatility over the last 1 month. Macroaxis approach to estimating risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. LIC MF exposes twenty different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify LIC MF Index Sensex Dir Div Coefficient Of Variation of 314.67, Market Risk Adjusted Performance of 0.4973 and Mean Deviation of 0.7466 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

LIC MF Market Sensitivity

As returns on market increase, LIC MF returns are expected to increase less than the market. However during bear market, the loss on holding LIC MF will be expected to be smaller as well.
One Month Beta |Analyze LIC MF Index Demand Trend
Check current 30 days LIC MF correlation with market (DOW)
β = 0.8296
LIC MF Small BetaLIC MF Index Beta Legend

LIC MF Index Technical Analysis

Transformation
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LIC MF Projected Return Density Against Market

Assuming 30 trading days horizon, LIC MF has beta of 0.8296 suggesting as returns on market go up, LIC MF average returns are expected to increase less than the benchmark. However during bear market, the loss on holding LIC MF Index Sensex Dir Div will be expected to be much smaller as well. Moreover, LIC MF Index Sensex Dir Div has an alpha of 0.3276 implying that it can potentially generate 0.3276% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of LIC MF is -173.21. The daily returns are destributed with a variance of 3.13 and standard deviation of 1.77. The mean deviation of LIC MF Index Sensex Dir Div is currently at 1.36. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.33
β
Beta against DOW=0.83
σ
Overall volatility
=1.77
Ir
Information ratio =0.24

LIC MF Return Volatility

LIC MF Index Sensex Dir Div accepts 1.7688% volatility on return distribution over the 30 days horizon. DOW inherits 0.3947% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

LIC MF Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

LIC MF Investment Opportunity

LIC MF Index Sensex Dir Div has a volatility of 1.77 and is 4.54 times more volatile than DOW. 16% of all equities and portfolios are less risky than LIC MF. Compared to the overall equity markets, volatility of historical daily returns of LIC MF Index Sensex Dir Div is lower than 16 (%) of all global equities and portfolios over the last 30 days. Use LIC MF Index Sensex Dir Div to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of LIC MF to be traded at 23.02 in 30 days. As returns on market increase, LIC MF returns are expected to increase less than the market. However during bear market, the loss on holding LIC MF will be expected to be smaller as well.

LIC MF correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding LIC MF Index Sensex Dir Div and equity matching DJI index in the same portfolio.

LIC MF Volatility Indicators

LIC MF Index Sensex Dir Div Current Risk Indicators

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