UTI Long (India) Risk Analysis And Volatility Evaluation

F00000PDLD -- India Fund  

INR 25.07  0.94  3.90%

Macroaxis considers UTI Long to be unknown risk. UTI Long Term owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.4472 which indicates UTI Long Term had -0.4472% of return per unit of volatility over the last 1 month. Macroaxis way in which we are measuring 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. UTI Long Term Equity Dir Div exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate UTI Long Risk Adjusted Performance of 0.0327 and Coefficient Of Variation of 1499.5 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

UTI Long Market Sensitivity

As returns on market increase, UTI Long returns are expected to increase less than the market. However during bear market, the loss on holding UTI Long will be expected to be smaller as well.
One Month Beta |Analyze UTI Long Term Demand Trend
Check current 30 days UTI Long correlation with market (DOW)
β = 0.3272
UTI Long Small BetaUTI Long Term Beta Legend

UTI Long Term Technical Analysis

Transformation
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UTI Long Projected Return Density Against Market

Assuming 30 trading days horizon, UTI Long has beta of 0.3272 suggesting as returns on market go up, UTI Long average returns are expected to increase less than the benchmark. However during bear market, the loss on holding UTI Long Term Equity Dir Div will be expected to be much smaller as well. Moreover, UTI Long Term Equity Dir Div has an alpha of 0.0317 implying that it can potentially generate 0.0317% 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 UTI Long is -223.61. The daily returns are destributed with a variance of 2.81 and standard deviation of 1.68. The mean deviation of UTI Long Term Equity Dir Div is currently at 1.2. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.0317
β
Beta against DOW=0.33
σ
Overall volatility
=1.68
Ir
Information ratio =0.03

UTI Long Return Volatility

UTI Long Term Equity Dir Div accepts 1.6768% volatility on return distribution over the 30 days horizon. DOW inherits 0.4208% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

UTI Long Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

UTI Long Investment Opportunity

UTI Long Term Equity Dir Div has a volatility of 1.68 and is 4.0 times more volatile than DOW. 15% of all equities and portfolios are less risky than UTI Long. Compared to the overall equity markets, volatility of historical daily returns of UTI Long Term Equity Dir Div is lower than 15 (%) of all global equities and portfolios over the last 30 days. Use UTI Long Term Equity Dir Div to enhance returns of your portfolios. The fund experiences unexpected upward trend. Watch out for market signals. Check odds of UTI Long to be traded at 30.08 in 30 days. As returns on market increase, UTI Long returns are expected to increase less than the market. However during bear market, the loss on holding UTI Long will be expected to be smaller as well.

UTI Long correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding UTI Long Term Equity Dir Div and equity matching DJI index in the same portfolio.

UTI Long Volatility Indicators

UTI Long Term Equity Dir Div Current Risk Indicators

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