Sahara Midcap (India) Risk Analysis And Volatility Evaluation

F0GBR06R61 -- India Fund  

INR 77.29  1.68  2.13%

Macroaxis considers Sahara Midcap to be unknown risk. Sahara Midcap Bns owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.5774 which indicates Sahara Midcap Bns had -0.5774% 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 Midcap Bns exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Sahara Midcap Coefficient Of Variation of 443.52 and Risk Adjusted Performance of 0.0941 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Sahara Midcap Market Sensitivity

As returns on market increase, returns on owning Sahara Midcap are expected to decrease at a much smaller rate. During bear market, Sahara Midcap is likely to outperform the market.
One Month Beta |Analyze Sahara Midcap Bns Demand Trend
Check current 30 days Sahara Midcap correlation with market (DOW)
β = -0.5124
Sahara Midcap Almost negative betaSahara Midcap Bns Beta Legend

Sahara Midcap Bns Technical Analysis

Transformation
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Sahara Midcap Projected Return Density Against Market

Assuming 30 trading days horizon, Sahara Midcap Bns has beta of -0.5124 suggesting as returns on benchmark increase, returns on holding Sahara Midcap are expected to decrease at a much smaller rate. During bear market, however, Sahara Midcap Bns is likely to outperform the market. Moreover, Sahara Midcap Bns has an alpha of 0.2189 implying that it can potentially generate 0.2189% 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 Midcap is -173.21. The daily returns are destributed with a variance of 5.56 and standard deviation of 2.36. The mean deviation of Sahara Midcap Bns is currently at 1.81. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.22
β
Beta against DOW=0.51
σ
Overall volatility
=2.36
Ir
Information ratio =0.1

Sahara Midcap Return Volatility

Sahara Midcap Bns accepts 2.3573% volatility on return distribution over the 30 days horizon. DOW inherits 0.3914% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Sahara Midcap Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Sahara Midcap Investment Opportunity

Sahara Midcap Bns has a volatility of 2.36 and is 6.05 times more volatile than DOW. 21% of all equities and portfolios are less risky than Sahara Midcap. Compared to the overall equity markets, volatility of historical daily returns of Sahara Midcap Bns is lower than 21 (%) of all global equities and portfolios over the last 30 days. Use Sahara Midcap Bns to protect against small markets fluctuations. The fund experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Sahara Midcap to be traded at 74.2 in 30 days. As returns on market increase, returns on owning Sahara Midcap are expected to decrease at a much smaller rate. During bear market, Sahara Midcap is likely to outperform the market.

Sahara Midcap correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Sahara Midcap Bns and equity matching DJI index in the same portfolio.

Sahara Midcap Volatility Indicators

Sahara Midcap Bns Current Risk Indicators

Additionally see Investing Opportunities. Please also try Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.
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