JM Balanced (India) Risk Analysis And Volatility Evaluation

F00000V5UM -- India Fund  

INR 49.80  0.06  0.12%

Macroaxis considers JM Balanced to be unknown risk. JM Balanced Dir retains Efficiency (Sharpe Ratio) of -0.4092 which attests that JM Balanced Dir had -0.4092% of return per unit of price deviation over the last 1 month. Macroaxis way in which we are 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. JM Balanced exposes twenty different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out JM Balanced Dir HY Bns Princ Variance of 0.1237, Market Risk Adjusted Performance of 3.15 and Downside Deviation of 0.169 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

JM Balanced Market Sensitivity

As returns on market increase, returns on owning JM Balanced are expected to decrease at a much smaller rate. During bear market, JM Balanced is likely to outperform the market.
One Month Beta |Analyze JM Balanced Dir Demand Trend
Check current 30 days JM Balanced correlation with market (DOW)
β = -0.0308
JM Balanced Almost negative betaJM Balanced Dir Beta Legend

JM Balanced Dir Technical Analysis

Transformation
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JM Balanced Projected Return Density Against Market

Assuming 30 trading days horizon, JM Balanced Dir HY Bns Princ has beta of -0.0308 suggesting as returns on benchmark increase, returns on holding JM Balanced are expected to decrease at a much smaller rate. During bear market, however, JM Balanced Dir HY Bns Princ is likely to outperform the market. Moreover, JM Balanced Dir HY Bns Princ has an alpha of 0.1025 implying that it can potentially generate 0.1025% 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 JM Balanced is -244.39. The daily returns are destributed with a variance of 0.21 and standard deviation of 0.46. The mean deviation of JM Balanced Dir HY Bns Princ is currently at 0.34. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.10
β
Beta against DOW=0.03
σ
Overall volatility
=0.46
Ir
Information ratio =0.2

JM Balanced Return Volatility

JM Balanced Dir HY Bns Princ accepts 0.462% volatility on return distribution over the 30 days horizon. DOW inherits 0.4487% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

JM Balanced Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

JM Balanced Investment Opportunity

JM Balanced Dir HY Bns Princ has a volatility of 0.46 and is 1.02 times more volatile than DOW. 4% of all equities and portfolios are less risky than JM Balanced. Compared to the overall equity markets, volatility of historical daily returns of JM Balanced Dir HY Bns Princ is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use JM Balanced Dir HY Bns Princ to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of JM Balanced to be traded at 52.29 in 30 days. As returns on market increase, returns on owning JM Balanced are expected to decrease at a much smaller rate. During bear market, JM Balanced is likely to outperform the market.

JM Balanced correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding JM Balanced Dir HY Bns Princ and equity matching DJI index in the same portfolio.

JM Balanced Volatility Indicators

JM Balanced Dir HY Bns Princ Current Risk Indicators

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