ICICI Pru (India) Risk Analysis And Volatility Evaluation

F0GBR06R0M -- India Fund  

INR 10.82  0.02  0.19%

Our approach towards 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-one technical indicators for ICICI Pru LT which you can use to evaluate future volatility of the entity. Please check out ICICI Pru Downside Deviation of 0.3077 and Semi Deviation of 0.1263 to validate if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

ICICI Pru Market Sensitivity

As returns on market increase, returns on owning ICICI Pru are expected to decrease at a much smaller rate. During bear market, ICICI Pru is likely to outperform the market.
One Month Beta |Analyze ICICI Pru LT Demand Trend
Check current 30 days ICICI Pru correlation with market (DOW)
β = -0.0283
ICICI Pru Almost negative betaICICI Pru LT Beta Legend

ICICI Pru LT 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.

ICICI Pru Projected Return Density Against Market

Assuming 30 trading days horizon, ICICI Pru LT Plan Wk Div has beta of -0.0283 suggesting as returns on benchmark increase, returns on holding ICICI Pru are expected to decrease at a much smaller rate. During bear market, however, ICICI Pru LT Plan Wk Div is likely to outperform the market. Moreover, ICICI Pru LT Plan Wk Div has an alpha of 0.0353 implying that it can potentially generate 0.0353% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.0353
β
Beta against DOW=0.03
σ
Overall volatility
=0.00
Ir
Information ratio =0.48

ICICI Pru Return Volatility

ICICI Pru LT Plan Wk Div accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.3078% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ICICI Pru Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

ICICI Pru Investment Opportunity

DOW has a standard deviation of returns of 1.31 and is 9.223372036854776E16 times more volatile than ICICI Pru LT Plan Wk Div. 0% of all equities and portfolios are less risky than ICICI Pru. Compared to the overall equity markets, volatility of historical daily returns of ICICI Pru LT Plan Wk Div is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use ICICI Pru LT Plan Wk Div to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of ICICI Pru to be traded at 11.36 in 30 days. As returns on market increase, returns on owning ICICI Pru are expected to decrease at a much smaller rate. During bear market, ICICI Pru is likely to outperform the market.

ICICI Pru correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding ICICI Pru LT Plan Wk Div and equity matching DJI index in the same portfolio.

ICICI Pru Volatility Indicators

ICICI Pru LT Plan Wk Div Current Risk Indicators

Additionally see Investing Opportunities. Please also try Analyst Recommendations module to analyst recommendations and target price estimates broken down by several categories.
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