IDFC Banking (India) Risk Analysis And Volatility Evaluation

F00000PN5L -- India Fund  

INR 10.89  0.00  0.00%

Macroaxis considers IDFC Banking to be unknown risk. IDFC Banking Debt holds Efficiency (Sharpe) Ratio of -0.7071 which attests that IDFC Banking Debt had -0.7071% of return per unit of return volatility over the last 1 month. Macroaxis approach into determining 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. IDFC Banking Debt exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out IDFC Banking Market Risk Adjusted Performance of 6.86 and Risk Adjusted Performance of 0.1183 to validate risk estimate we provide.
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 = -0.0062
IDFC Banking Almost negative betaIDFC Banking Debt Beta Legend

IDFC Banking Debt Technical Analysis

Transformation
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IDFC Banking Projected Return Density Against Market

Assuming 30 trading days horizon, IDFC Banking Debt Dir Div has beta of -0.0062 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 0.0432 implying that it can potentially generate 0.0432% 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 IDFC Banking is -141.42. The daily returns are destributed with a variance of 0.15 and standard deviation of 0.39. The mean deviation of IDFC Banking Debt Dir Div is currently at 0.27. For similar time horizon, the selected benchmark (DOW) has volatility of 0.38
α
Alpha over DOW
=0.0432
β
Beta against DOW=0.0062
σ
Overall volatility
=0.39
Ir
Information ratio =0.33

IDFC Banking Return Volatility

IDFC Banking Debt Dir Div accepts 0.3874% volatility on return distribution over the 30 days horizon. DOW inherits 0.389% 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

Unaffected

Investment Outlook

IDFC Banking Investment Opportunity

IDFC Banking Debt Dir Div has the same returns volatility as DOW considering given time horizon. 3% 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 3 (%) 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, but the immediate impact on correlations cannot be determined at the moment . Check odds of IDFC Banking to be traded at 10.78 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

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

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