Reliance Medium (India) Risk Analysis And Volatility Evaluation

F00000SCKG -- India Fund  

INR 12.07  12.07  9,223,372,036,855%

We consider Reliance Medium unknown risk. Reliance Medium Term maintains Sharpe Ratio (i.e. Efficiency) of 6.0E-4 which implies Reliance Medium Term had 6.0E-4% of return per unit of risk over the last 1 month. Our philosophy towards forecasting 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 Reliance Medium Term which you can use to evaluate future volatility of the fund. Please check Reliance Medium Term Standard Deviation of 0.6089, Downside Deviation of 0.0459 and Risk Adjusted Performance of 0.1562 to confirm if risk estimate we provide are consistent with the epected return of 1.0E-4%.
Horizon     30 Days    Login   to change

Reliance Medium Market Sensitivity

As returns on market increase, Reliance Medium returns are expected to increase less than the market. However during bear market, the loss on holding Reliance Medium will be expected to be smaller as well.
One Month Beta |Analyze Reliance Medium Term Demand Trend
Check current 30 days Reliance Medium correlation with market (DOW)
β = 0.1818
Reliance Medium Small BetaReliance Medium Term Beta Legend

Reliance Medium Term Technical Analysis

Transformation
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Reliance Medium Projected Return Density Against Market

Assuming 30 trading days horizon, Reliance Medium has beta of 0.1818 suggesting as returns on market go up, Reliance Medium average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Reliance Medium Term Direct Div will be expected to be much smaller as well. Moreover, Reliance Medium Term Direct Div has an alpha of 0.1901 implying that it can potentially generate 0.1901% 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 Reliance Medium is 180228.05. The daily returns are destributed with a variance of 0.02 and standard deviation of 0.14. The mean deviation of Reliance Medium Term Direct Div is currently at 0.08. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44
α
Alpha over DOW
=0.19
β
Beta against DOW=0.18
σ
Overall volatility
=0.14
Ir
Information ratio =0.24

Reliance Medium Return Volatility

Reliance Medium Term Direct Div accepts 0.1352% volatility on return distribution over the 30 days horizon. DOW inherits 0.4495% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Reliance Medium Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Reliance Medium Investment Opportunity

DOW has a standard deviation of returns of 0.45 and is 3.21 times more volatile than Reliance Medium Term Direct Div. 1% of all equities and portfolios are less risky than Reliance Medium. Compared to the overall equity markets, volatility of historical daily returns of Reliance Medium Term Direct Div is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use Reliance Medium Term Direct Div to enhance returns of your portfolios. The fund experiences very speculative upward sentiment.. Check odds of Reliance Medium to be traded at 15.09 in 30 days. As returns on market increase, Reliance Medium returns are expected to increase less than the market. However during bear market, the loss on holding Reliance Medium will be expected to be smaller as well.

Reliance Medium correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Reliance Medium Term Direct Di and equity matching DJI index in the same portfolio.

Reliance Medium Volatility Indicators

Reliance Medium Term Direct Div Current Risk Indicators

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