Sahara Infrastructure (India) Risk Analysis And Volatility Evaluation

F0GBR06R5P -- India Fund  

INR 18.16  0.50  2.68%

Macroaxis considers Sahara Infrastructure to be unknown risk. Sahara Infrastructure owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.5103 which indicates Sahara Infrastructure had -0.5103% 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. Sahara Infrastructure Fixed Pric Div exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Sahara Infrastructure Semi Deviation of 0.287, Coefficient Of Variation of 403.12 and Risk Adjusted Performance of 0.1241 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Sahara Infrastructure Market Sensitivity

As returns on market increase, returns on owning Sahara Infrastructure are expected to decrease at a much smaller rate. During bear market, Sahara Infrastructure is likely to outperform the market.
One Month Beta |Analyze Sahara Infrastructure Demand Trend
Check current 30 days Sahara Infrastructure correlation with market (DOW)
β = -0.2865
Sahara Infrastructure Almost negative betaSahara Infrastructure Beta Legend

Sahara Infrastructure Technical Analysis

Transformation
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Sahara Infrastructure Projected Return Density Against Market

Assuming 30 trading days horizon, Sahara Infrastructure Fixed Pric Div has beta of -0.2865 suggesting as returns on benchmark increase, returns on holding Sahara Infrastructure are expected to decrease at a much smaller rate. During bear market, however, Sahara Infrastructure Fixed Pric Div is likely to outperform the market. Moreover, Sahara Infrastructure Fixed Pric Div has an alpha of 0.2744 implying that it can potentially generate 0.2744% 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 Sahara Infrastructure is -195.96. The daily returns are destributed with a variance of 3.23 and standard deviation of 1.8. The mean deviation of Sahara Infrastructure Fixed Pric Div is currently at 1.45. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.27
β
Beta against DOW=0.29
σ
Overall volatility
=1.80
Ir
Information ratio =0.09

Sahara Infrastructure Return Volatility

Sahara Infrastructure Fixed Pric Div accepts 1.7983% 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

Sahara Infrastructure Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Sahara Infrastructure Investment Opportunity

Sahara Infrastructure Fixed Pric Div has a volatility of 1.8 and is 4.0 times more volatile than DOW. 16% of all equities and portfolios are less risky than Sahara Infrastructure. Compared to the overall equity markets, volatility of historical daily returns of Sahara Infrastructure Fixed Pric Div is lower than 16 (%) of all global equities and portfolios over the last 30 days. Use Sahara Infrastructure Fixed Pric Div to protect against small markets fluctuations. The fund experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Sahara Infrastructure to be traded at 17.43 in 30 days. As returns on market increase, returns on owning Sahara Infrastructure are expected to decrease at a much smaller rate. During bear market, Sahara Infrastructure is likely to outperform the market.

Sahara Infrastructure correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Sahara Infrastructure Fixed Pr and equity matching DJI index in the same portfolio.

Sahara Infrastructure Volatility Indicators

Sahara Infrastructure Fixed Pric Div Current Risk Indicators

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