IDFC Banking (India) Risk Analysis And Volatility Evaluation

F00000PN5L -- India Fund  

INR 11.11  0.02  0.18%

Our approach into determining 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 IDFC Banking Debt which you can use to evaluate future volatility of the entity. Please check out IDFC Banking Market Risk Adjusted Performance of 1.25 and Risk Adjusted Performance of 0.3884 to validate if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

IDFC Banking Market Sensitivity

As returns on market increase, returns on owning IDFC Banking are expected to decrease at a much smaller rate. During bear market, IDFC Banking is likely to outperform the market.
One Month Beta |Analyze IDFC Banking Debt Demand Trend
Check current 30 days IDFC Banking correlation with market (DOW)
β = -0.04

IDFC Banking Central Daily Price Deviation

IDFC Banking Debt 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.

IDFC Banking Projected Return Density Against Market

Assuming 30 trading days horizon, IDFC Banking Debt Dir Div has beta of -0.04 suggesting as returns on benchmark increase, returns on holding IDFC Banking are expected to decrease at a much smaller rate. During bear market, however, IDFC Banking Debt Dir Div is likely to outperform the market. Moreover, IDFC Banking Debt Dir Div has an alpha of 0.0473 implying that it can potentially generate 0.0473% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.0473
β
Beta against DOW=0.04
σ
Overall volatility
=0.00
Ir
Information ratio =0.79

IDFC Banking Return Volatility

IDFC Banking Debt Dir Div accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.3198% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

IDFC Banking Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

IDFC Banking Investment Opportunity

DOW has a standard deviation of returns of 1.32 and is 9.223372036854776E16 times more volatile than IDFC Banking Debt Dir Div. 0% of all equities and portfolios are less risky than IDFC Banking. Compared to the overall equity markets, volatility of historical daily returns of IDFC Banking Debt Dir Div is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use IDFC Banking Debt Dir Div to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of IDFC Banking to be traded at 11.0 in 30 days. As returns on market increase, returns on owning IDFC Banking are expected to decrease at a much smaller rate. During bear market, IDFC Banking is likely to outperform the market.

IDFC Banking correlation with market

correlation synergy
Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding IDFC Banking Debt Dir Div and equity matching DJI index in the same portfolio.

IDFC Banking Volatility Indicators

IDFC Banking Debt Dir Div Current Risk Indicators

Additionally see Investing Opportunities. Please also try Money Managers module to screen money managers from public funds and etfs managed around the world.
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