Edelweiss ELSS (India) Risk Analysis And Volatility Evaluation

F00000PG77 -- India Fund  

INR 48.23  0.90  1.83%

Macroaxis considers Edelweiss ELSS to be unknown risk. Edelweiss ELSS Dir secures Sharpe Ratio (or Efficiency) of -0.5774 which denotes Edelweiss ELSS Dir had -0.5774% 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 ELSS Dir Gr exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Edelweiss ELSS Dir Coefficient Of Variation of 3704.04 and Mean Deviation of 0.0641 to check risk estimate we provide.
Horizon     30 Days    Login   to change

Edelweiss ELSS Market Sensitivity

As returns on market increase, returns on owning Edelweiss ELSS are expected to decrease at a much smaller rate. During bear market, Edelweiss ELSS is likely to outperform the market.
One Month Beta |Analyze Edelweiss ELSS Dir Demand Trend
Check current 30 days Edelweiss ELSS correlation with market (DOW)
β = -0.1159
Edelweiss ELSS Almost negative betaEdelweiss ELSS Dir Beta Legend

Edelweiss ELSS Dir Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Edelweiss ELSS Projected Return Density Against Market

Assuming 30 trading days horizon, Edelweiss ELSS Dir Gr has beta of -0.1159 suggesting as returns on benchmark increase, returns on holding Edelweiss ELSS are expected to decrease at a much smaller rate. During bear market, however, Edelweiss ELSS Dir Gr is likely to outperform the market. Moreover, Edelweiss ELSS Dir Gr has an alpha of 0.0056 implying that it can potentially generate 0.0056% 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 ELSS is -173.21. The daily returns are destributed with a variance of 5.28 and standard deviation of 2.3. The mean deviation of Edelweiss ELSS Dir Gr is currently at 1.77. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.0056
β
Beta against DOW=0.12
σ
Overall volatility
=2.30
Ir
Information ratio =0.54

Edelweiss ELSS Return Volatility

Edelweiss ELSS Dir Gr accepts 2.2988% volatility on return distribution over the 30 days horizon. DOW inherits 0.3947% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Edelweiss ELSS Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Edelweiss ELSS Investment Opportunity

Edelweiss ELSS Dir Gr has a volatility of 2.3 and is 5.9 times more volatile than DOW. 20% of all equities and portfolios are less risky than Edelweiss ELSS. Compared to the overall equity markets, volatility of historical daily returns of Edelweiss ELSS Dir Gr is lower than 20 (%) of all global equities and portfolios over the last 30 days. Use Edelweiss ELSS Dir Gr to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Edelweiss ELSS to be traded at 46.78 in 30 days. As returns on market increase, returns on owning Edelweiss ELSS are expected to decrease at a much smaller rate. During bear market, Edelweiss ELSS is likely to outperform the market.

Edelweiss ELSS correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Edelweiss ELSS Dir Gr and equity matching DJI index in the same portfolio.

Edelweiss ELSS Volatility Indicators

Edelweiss ELSS Dir Gr Current Risk Indicators

Additionally see Investing Opportunities. Please also try Balance Of Power module to check stock momentum by analyzing balance of power indicator and other technical ratios.
Search macroaxis.com