UTI MIS (India) Risk Analysis And Volatility Evaluation

F00000WOH2 -- India Fund  

INR 41.23  0.47  1.13%

Macroaxis considers UTI MIS to be unknown risk. UTI MIS Advantage owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.4472 which indicates UTI MIS Advantage had -0.4472% of return per unit of volatility over the last 1 month. Macroaxis way in which we are 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. UTI MIS Advantage Dir Mn Pay exposes twenty different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate UTI MIS Risk Adjusted Performance of 0.1142 and Standard Deviation of 0.6624 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

UTI MIS Market Sensitivity

As returns on market increase, UTI MIS returns are expected to increase less than the market. However during bear market, the loss on holding UTI MIS will be expected to be smaller as well.
One Month Beta |Analyze UTI MIS Advantage Demand Trend
Check current 30 days UTI MIS correlation with market (DOW)
β = 0.4033
UTI MIS Small BetaUTI MIS Advantage Beta Legend

UTI MIS Advantage Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

UTI MIS Projected Return Density Against Market

Assuming 30 trading days horizon, UTI MIS has beta of 0.4033 suggesting as returns on market go up, UTI MIS average returns are expected to increase less than the benchmark. However during bear market, the loss on holding UTI MIS Advantage Dir Mn Pay will be expected to be much smaller as well. Moreover, UTI MIS Advantage Dir Mn Pay has an alpha of 0.0848 implying that it can potentially generate 0.0848% 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 UTI MIS is -223.61. The daily returns are destributed with a variance of 0.25 and standard deviation of 0.5. The mean deviation of UTI MIS Advantage Dir Mn Pay is currently at 0.36. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.08
β
Beta against DOW=0.40
σ
Overall volatility
=0.50
Ir
Information ratio =0.02

UTI MIS Return Volatility

UTI MIS Advantage Dir Mn Pay accepts 0.5041% volatility on return distribution over the 30 days horizon. DOW inherits 0.4168% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

UTI MIS Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

UTI MIS Investment Opportunity

UTI MIS Advantage Dir Mn Pay has a volatility of 0.5 and is 1.19 times more volatile than DOW. 4% of all equities and portfolios are less risky than UTI MIS. Compared to the overall equity markets, volatility of historical daily returns of UTI MIS Advantage Dir Mn Pay is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use UTI MIS Advantage Dir Mn Pay to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of UTI MIS to be traded at 39.99 in 30 days. As returns on market increase, UTI MIS returns are expected to increase less than the market. However during bear market, the loss on holding UTI MIS will be expected to be smaller as well.

UTI MIS correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding UTI MIS Advantage Dir Mn Pay and equity matching DJI index in the same portfolio.

UTI MIS Volatility Indicators

UTI MIS Advantage Dir Mn Pay Current Risk Indicators

Additionally see Investing Opportunities. Please also try Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
Search macroaxis.com