Sundaram Money (India) Risk Analysis And Volatility Evaluation

F00000PX98 -- India Fund  

INR 13.42  0.06  0.45%

Macroaxis considers Sundaram Money to be unknown risk. Sundaram Money Reg owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.5774 which indicates Sundaram Money Reg had -0.5774% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring 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. Sundaram Money Reg Bns exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Sundaram Money Coefficient Of Variation of 447.78 and Risk Adjusted Performance of 0.0921 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Sundaram Money Market Sensitivity

As returns on market increase, returns on owning Sundaram Money are expected to decrease at a much smaller rate. During bear market, Sundaram Money is likely to outperform the market.
One Month Beta |Analyze Sundaram Money Reg Demand Trend
Check current 30 days Sundaram Money correlation with market (DOW)
β = -0.0113
Sundaram Money Almost negative betaSundaram Money Reg Beta Legend

Sundaram Money Reg Technical Analysis

Transformation
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Sundaram Money Projected Return Density Against Market

Assuming 30 trading days horizon, Sundaram Money Reg Bns has beta of -0.0113 suggesting as returns on benchmark increase, returns on holding Sundaram Money are expected to decrease at a much smaller rate. During bear market, however, Sundaram Money Reg Bns is likely to outperform the market. Moreover, Sundaram Money Reg Bns has an alpha of 0.0344 implying that it can potentially generate 0.0344% 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 Sundaram Money is -173.21. The daily returns are destributed with a variance of 0.07 and standard deviation of 0.26. The mean deviation of Sundaram Money Reg Bns is currently at 0.2. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.0344
β
Beta against DOW=0.01
σ
Overall volatility
=0.26
Ir
Information ratio =0.61

Sundaram Money Return Volatility

Sundaram Money Reg Bns accepts 0.257% volatility on return distribution over the 30 days horizon. DOW inherits 0.4541% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Sundaram Money Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Sundaram Money Investment Opportunity

DOW has a standard deviation of returns of 0.45 and is 1.73 times more volatile than Sundaram Money Reg Bns. 2% of all equities and portfolios are less risky than Sundaram Money. Compared to the overall equity markets, volatility of historical daily returns of Sundaram Money Reg Bns is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use Sundaram Money Reg Bns to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Sundaram Money to be traded at 13.29 in 30 days. As returns on market increase, returns on owning Sundaram Money are expected to decrease at a much smaller rate. During bear market, Sundaram Money is likely to outperform the market.

Sundaram Money correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Sundaram Money Reg Bns and equity matching DJI index in the same portfolio.

Sundaram Money Volatility Indicators

Sundaram Money Reg Bns Current Risk Indicators

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