IDFC Banking (India) Risk Analysis And Volatility

F00000PN5L -- India Fund  

INR 11.39  0.0012  0.0105%

We consider IDFC Banking unknown risk. IDFC Banking Debt holds Efficiency (Sharpe) Ratio of 0.2009 which attests that the entity had 0.2009% of return per unit of return volatility over the last 2 months. 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 technical indicators for IDFC Banking Debt which you can use to evaluate future volatility of the entity. Please check out IDFC Banking Risk Adjusted Performance of 0.2882, Downside Deviation of 0.3802 and Market Risk Adjusted Performance of (7.43) to validate if risk estimate we provide are consistent with the epected return of 0.0513%.
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.
2 Months Beta |Analyze IDFC Banking Debt Demand Trend
Check current 30 days IDFC Banking correlation with market (DOW)
β = -0.0087

IDFC Banking Central Daily Price Deviation

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 -0.0087 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, The company has an alpha of 0.0668 implying that it can potentially generate 0.0668% 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 497.76. The daily returns are destributed with a variance of 0.07 and standard deviation of 0.26. The mean deviation of IDFC Banking Debt Dir Div is currently at 0.16. For similar time horizon, the selected benchmark (DOW) has volatility of 1.74
α
Alpha over DOW
=0.07
β
Beta against DOW=0.0087
σ
Overall volatility
=0.26
Ir
Information ratio =0.43

IDFC Banking Return Volatility

the fund accepts 0.2555% volatility on return distribution over the 30 days horizon. the entity inherits 1.6367% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

IDFC Banking Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

IDFC Banking Investment Opportunity

DOW has a standard deviation of returns of 1.64 and is 6.31 times more volatile than IDFC Banking Debt Dir Div. 2% 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 2 (%) of all global equities and portfolios over the last 30 days. Use IDFC Banking Debt Dir Div to protect your portfolios against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of IDFC Banking to be traded at 11.28 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
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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