Reliance Index (India) Risk Analysis And Volatility Evaluation

F00000PD6Q -- India Fund  

INR 19.33  0.00  0.00%

Macroaxis considers Reliance Index to be unknown risk. Reliance Index Nifty maintains Sharpe Ratio (i.e. Efficiency) of -0.4472 which implies Reliance Index Nifty had -0.4472% of return per unit of risk over the last 1 month. Macroaxis philosophy towards forecasting 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. Reliance Index Nifty exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Reliance Index Nifty Coefficient Of Variation of 292.97 and Risk Adjusted Performance of 0.1687 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Reliance Index Market Sensitivity

As returns on market increase, returns on owning Reliance Index are expected to decrease at a much smaller rate. During bear market, Reliance Index is likely to outperform the market.
One Month Beta |Analyze Reliance Index Nifty Demand Trend
Check current 30 days Reliance Index correlation with market (DOW)
β = -0.4874
Reliance Index Almost negative betaReliance Index Nifty Beta Legend

Reliance Index Nifty Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Reliance Index Projected Return Density Against Market

Assuming 30 trading days horizon, Reliance Index Nifty Dir Qtr Div has beta of -0.4874 suggesting as returns on benchmark increase, returns on holding Reliance Index are expected to decrease at a much smaller rate. During bear market, however, Reliance Index Nifty Dir Qtr Div is likely to outperform the market. Moreover, Reliance Index Nifty Dir Qtr Div has an alpha of 0.3811 implying that it can potentially generate 0.3811% 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 Reliance Index is -223.61. The daily returns are destributed with a variance of 1.27 and standard deviation of 1.13. The mean deviation of Reliance Index Nifty Dir Qtr Div is currently at 0.81. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.38
β
Beta against DOW=0.49
σ
Overall volatility
=1.13
Ir
Information ratio =0.17

Reliance Index Return Volatility

Reliance Index Nifty Dir Qtr Div accepts 1.1276% volatility on return distribution over the 30 days horizon. DOW inherits 0.4303% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Reliance Index Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Reliance Index Investment Opportunity

Reliance Index Nifty Dir Qtr Div has a volatility of 1.13 and is 2.63 times more volatile than DOW. 10% of all equities and portfolios are less risky than Reliance Index. Compared to the overall equity markets, volatility of historical daily returns of Reliance Index Nifty Dir Qtr Div is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use Reliance Index Nifty Dir Qtr 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 Reliance Index to be traded at 19.14 in 30 days. As returns on market increase, returns on owning Reliance Index are expected to decrease at a much smaller rate. During bear market, Reliance Index is likely to outperform the market.

Reliance Index correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Reliance Index Nifty Dir Qtr D and equity matching DJI index in the same portfolio.

Reliance Index Volatility Indicators

Reliance Index Nifty Dir Qtr Div Current Risk Indicators

Additionally see Investing Opportunities. Please also try Focused Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
Search macroaxis.com