Edelweiss Prudent (India) Risk Analysis And Volatility Evaluation

F00000PDWO -- India Fund  

INR 19.52  0.26  1.31%

Macroaxis considers Edelweiss Prudent to be unknown risk. Edelweiss Prudent secures Sharpe Ratio (or Efficiency) of -0.8139 which denotes Edelweiss Prudent had -0.8139% of return per unit of risk over the last 1 month. Macroaxis philosophy towards predicting 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. Edelweiss Prudent Advantage Dir Div exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Edelweiss Prudent Coefficient Of Variation of 591.6, Mean Deviation of 0.6288 and Downside Deviation of 0.8982 to check risk estimate we provide.
Horizon     30 Days    Login   to change

Edelweiss Prudent Market Sensitivity

As returns on market increase, Edelweiss Prudent returns are expected to increase less than the market. However during bear market, the loss on holding Edelweiss Prudent will be expected to be smaller as well.
One Month Beta |Analyze Edelweiss Prudent Demand Trend
Check current 30 days Edelweiss Prudent correlation with market (DOW)
β = 0.6983
Edelweiss Prudent Small BetaEdelweiss Prudent Beta Legend

Edelweiss Prudent Technical Analysis

Transformation
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Edelweiss Prudent Projected Return Density Against Market

Assuming 30 trading days horizon, Edelweiss Prudent has beta of 0.6983 suggesting as returns on market go up, Edelweiss Prudent average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Edelweiss Prudent Advantage Dir Div will be expected to be much smaller as well. Moreover, Edelweiss Prudent Advantage Dir Div has an alpha of 0.0834 implying that it can potentially generate 0.0834% 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 Edelweiss Prudent is -122.87. The daily returns are destributed with a variance of 1.18 and standard deviation of 1.09. The mean deviation of Edelweiss Prudent Advantage Dir Div is currently at 0.88. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.08
β
Beta against DOW=0.70
σ
Overall volatility
=1.09
Ir
Information ratio =0.0269

Edelweiss Prudent Return Volatility

Edelweiss Prudent Advantage Dir Div accepts 1.087% volatility on return distribution over the 30 days horizon. DOW inherits 0.4487% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Edelweiss Prudent Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Edelweiss Prudent Investment Opportunity

Edelweiss Prudent Advantage Dir Div has a volatility of 1.09 and is 2.42 times more volatile than DOW. 9% of all equities and portfolios are less risky than Edelweiss Prudent. Compared to the overall equity markets, volatility of historical daily returns of Edelweiss Prudent Advantage Dir Div is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use Edelweiss Prudent Advantage Dir Div to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Edelweiss Prudent to be traded at 18.93 in 30 days. As returns on market increase, Edelweiss Prudent returns are expected to increase less than the market. However during bear market, the loss on holding Edelweiss Prudent will be expected to be smaller as well.

Edelweiss Prudent correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Edelweiss Prudent Advantage Di and equity matching DJI index in the same portfolio.

Edelweiss Prudent Volatility Indicators

Edelweiss Prudent Advantage Dir Div Current Risk Indicators

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