Birla Sun (India) Risk Analysis And Volatility

F00000PDPC -- India Fund  

INR 10.74  0.0015  0.014%

Macroaxis considers Birla Sun to be not too risky. Birla Sun Life secures Sharpe Ratio (or Efficiency) of -0.014 which signifies that the fund had -0.014% of return per unit of risk over the last 2 months. Macroaxis philosophy towards foreseeing 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. Birla Sun Life Gilt Plus PF Dir Qt Div exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Birla Sun Life Downside Deviation of 0.2314, Risk Adjusted Performance of (0.06) and Mean Deviation of 0.1048 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

Birla Sun Market Sensitivity

As returns on market increase, returns on owning Birla Sun are expected to decrease at a much smaller rate. During bear market, Birla Sun is likely to outperform the market.
2 Months Beta |Analyze Birla Sun Life Demand Trend
Check current 30 days Birla Sun correlation with market (DOW)
β = -0.0068

Birla Sun Central Daily Price Deviation

Birla Sun Life Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Birla Sun Life Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Birla Sun Projected Return Density Against Market

Assuming 30 trading days horizon, Birla Sun Life Gilt Plus PF Dir Qt Div has beta of -0.0068 suggesting as returns on benchmark increase, returns on holding Birla Sun are expected to decrease at a much smaller rate. During bear market, however, Birla Sun Life Gilt Plus PF Dir Qt Div is likely to outperform the market. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Birla Sun Life is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Birla Sun is -7122.0. The daily returns are destributed with a variance of 0.03 and standard deviation of 0.17. The mean deviation of Birla Sun Life Gilt Plus PF Dir Qt Div is currently at 0.11. For similar time horizon, the selected benchmark (DOW) has volatility of 1.74
α
Alpha over DOW
=0.0048
β
Beta against DOW=0.0068
σ
Overall volatility
=0.17
Ir
Information ratio =1.51

Birla Sun Return Volatility

the fund accepts 0.1666% volatility on return distribution over the 30 days horizon. the entity inherits 1.5467% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Birla Sun Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Very Small

60 Days Economic Sensitivity

Moves indifferently to market moves

Investment Outlook

Birla Sun Investment Opportunity

DOW has a standard deviation of returns of 1.55 and is 9.12 times more volatile than Birla Sun Life Gilt Plus PF Dir Qt Div. 1% of all equities and portfolios are less risky than Birla Sun. Compared to the overall equity markets, volatility of historical daily returns of Birla Sun Life Gilt Plus PF Dir Qt Div is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use Birla Sun Life Gilt Plus PF Dir Qt Div to protect your portfolios against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Birla Sun to be traded at 10.63 in 30 days. . As returns on market increase, returns on owning Birla Sun are expected to decrease at a much smaller rate. During bear market, Birla Sun is likely to outperform the market.

Birla Sun correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Birla Sun Life Gilt Plus PF Di and equity matching DJI index in the same portfolio.

Birla Sun Volatility Indicators

Birla Sun Life Gilt Plus PF Dir Qt Div Current Risk Indicators

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