Birla Sun (India) Risk Analysis And Volatility Evaluation

F00000PDPC -- India Fund  

INR 10.29  0.06  0.58%

We consider Birla Sun unknown risk. Birla Sun Life secures Sharpe Ratio (or Efficiency) of 0.0018 which signifies that Birla Sun Life had 0.0018% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing 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 Birla Sun Life Gilt Plus PF Dir Qt Div which you can use to evaluate future volatility of the entity. Please confirm Birla Sun Life Risk Adjusted Performance of 0.0867 and Mean Deviation of 0.1754 to double-check if risk estimate we provide are consistent with the epected return of 8.0E-4%.
Horizon     30 Days    Login   to change

Birla Sun Market Sensitivity

As returns on market increase, Birla Sun returns are expected to increase less than the market. However during bear market, the loss on holding Birla Sun will be expected to be smaller as well.
One Month Beta |Analyze Birla Sun Life Demand Trend
Check current 30 days Birla Sun correlation with market (DOW)
β = 0.1017
Birla Sun Small BetaBirla Sun Life Beta Legend

Birla Sun Life Technical Analysis

Transformation
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Birla Sun Projected Return Density Against Market

Assuming 30 trading days horizon, Birla Sun has beta of 0.1017 suggesting as returns on market go up, Birla Sun average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Birla Sun Life Gilt Plus PF Dir Qt Div will be expected to be much smaller as well. Moreover, Birla Sun Life Gilt Plus PF Dir Qt Div has an alpha of 0.0358 implying that it can potentially generate 0.0358% 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 Birla Sun is 55848.49. The daily returns are destributed with a variance of 0.23 and standard deviation of 0.47. The mean deviation of Birla Sun Life Gilt Plus PF Dir Qt Div is currently at 0.29. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.0358
β
Beta against DOW=0.10
σ
Overall volatility
=0.47
Ir
Information ratio =0.31

Birla Sun Return Volatility

Birla Sun Life Gilt Plus PF Dir Qt Div accepts 0.4747% 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

Birla Sun Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Birla Sun Investment Opportunity

Birla Sun Life Gilt Plus PF Dir Qt Div has a volatility of 0.47 and is 1.04 times more volatile than DOW. 4% 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 4 (%) of all global equities and portfolios over the last 30 days. Use Birla Sun Life Gilt Plus PF Dir Qt Div to protect against small markets fluctuations. The fund experiences moderate downward daily trend and can be a good diversifier. Check odds of Birla Sun to be traded at 10.08 in 30 days. As returns on market increase, Birla Sun returns are expected to increase less than the market. However during bear market, the loss on holding Birla Sun will be expected to be smaller as well.

Birla Sun correlation with market

Average 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

Additionally see Investing Opportunities. Please also try Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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