Tata Floater (India) Risk Analysis And Volatility Evaluation

F00000PDHE -- India Fund  

INR 2,741  0.53  0.0193%

We consider Tata Floater unknown risk. Tata Floater Dir owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.5774 which indicates Tata Floater Dir had 0.5774% of return per unit of risk over the last 1 month. Our philosophy towards measuring 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 Tata Floater Dir Gr which you can use to evaluate future volatility of the fund. Please validate Tata Floater Coefficient Of Variation of 201.14 and Risk Adjusted Performance of 0.2093 to confirm if risk estimate we provide are consistent with the epected return of 0.013%.
Horizon     30 Days    Login   to change

Tata Floater Market Sensitivity

As returns on market increase, returns on owning Tata Floater are expected to decrease at a much smaller rate. During bear market, Tata Floater is likely to outperform the market.
One Month Beta |Analyze Tata Floater Dir Demand Trend
Check current 30 days Tata Floater correlation with market (DOW)
β = -0.0045
Tata Floater Almost negative betaTata Floater Dir Beta Legend

Tata Floater Dir Technical Analysis

Transformation
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Tata Floater Projected Return Density Against Market

Assuming 30 trading days horizon, Tata Floater Dir Gr has beta of -0.0045 suggesting as returns on benchmark increase, returns on holding Tata Floater are expected to decrease at a much smaller rate. During bear market, however, Tata Floater Dir Gr is likely to outperform the market. Moreover, Tata Floater Dir Gr has an alpha of 0.0514 implying that it can potentially generate 0.0514% 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 Tata Floater is 173.21. The daily returns are destributed with a variance of 0.0 and standard deviation of 0.02. The mean deviation of Tata Floater Dir Gr is currently at 0.02. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.05
β
Beta against DOW=0.0045
σ
Overall volatility
=0.0226
Ir
Information ratio =0.8

Tata Floater Return Volatility

Tata Floater Dir Gr accepts 0.0226% volatility on return distribution over the 30 days horizon. DOW inherits 0.4541% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Tata Floater Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Tata Floater Investment Opportunity

DOW has a standard deviation of returns of 0.45 and is 22.5 times more volatile than Tata Floater Dir Gr. 0% of all equities and portfolios are less risky than Tata Floater. Compared to the overall equity markets, volatility of historical daily returns of Tata Floater Dir Gr is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use Tata Floater Dir Gr to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Tata Floater to be traded at 2878.13 in 30 days. As returns on market increase, returns on owning Tata Floater are expected to decrease at a much smaller rate. During bear market, Tata Floater is likely to outperform the market.

Tata Floater correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Tata Floater Dir Gr and equity matching DJI index in the same portfolio.

Tata Floater Volatility Indicators

Tata Floater Dir Gr Current Risk Indicators

Additionally see Investing Opportunities. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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