UTI Long (India) Risk Analysis And Volatility

F00000PDLD -- India Fund  

INR 23.36  0.07  0.30%

Macroaxis considers UTI Long unknown risk given 2 months investment horizon. UTI Long Term owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1443 which indicates UTI Long Term had 0.1443% of return per unit of volatility over the last 2 months. Our way in which we are 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 UTI Long Term Equity Dir Div which you can use to evaluate future volatility of the fund. Please operate UTI Long Risk Adjusted Performance of (0.26) and Coefficient Of Variation of (747.41) to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

UTI Long Market Sensitivity

As returns on market increase, returns on owning UTI Long are expected to decrease at a much smaller rate. During bear market, UTI Long is likely to outperform the market.
2 Months Beta |Analyze UTI Long Term Demand Trend
Check current 30 days UTI Long correlation with market (DOW)
β = -0.1186

UTI Long Central Daily Price Deviation

UTI Long Term Technical Analysis

Transformation
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UTI Long Projected Return Density Against Market

Assuming 30 trading days horizon, UTI Long Term Equity Dir Div has beta of -0.1186 suggesting as returns on benchmark increase, returns on holding UTI Long are expected to decrease at a much smaller rate. During bear market, however, UTI Long Term Equity Dir Div is likely to outperform the market. Additionally, UTI Long Term Equity Dir 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 UTI Long is 693.06. The daily returns are destributed with a variance of 2.64 and standard deviation of 1.63. The mean deviation of UTI Long Term Equity Dir Div is currently at 1.01. For similar time horizon, the selected benchmark (DOW) has volatility of 1.97
α
Alpha over DOW
=0.37
β
Beta against DOW=0.12
σ
Overall volatility
=1.63
Ir
Information ratio =0.07

UTI Long Return Volatility

UTI Long Term Equity Dir Div accepts 1.6261% volatility on return distribution over the 30 days horizon. DOW inherits 2.0125% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

UTI Long Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

UTI Long Investment Opportunity

DOW has a standard deviation of returns of 2.01 and is 1.23 times more volatile than UTI Long Term Equity Dir Div. 14% 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 14 (%) 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 normal upward fluctuation. Check odds of UTI Long to be traded at 24.53 in 30 days. . As returns on market increase, returns on owning UTI Long are expected to decrease at a much smaller rate. During bear market, UTI Long is likely to outperform the market.

UTI Long correlation with market

correlation synergy
Good 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

Additionally see Investing Opportunities. Please also try Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.
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