Sahara Midcap (India) Risk Analysis And Volatility

F0GBR06R61 -- India Fund  

INR 75.44  0.32  0.42%

We consider Sahara Midcap unknown risk. Sahara Midcap Bns owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2577 which indicates Sahara Midcap Bns had 0.2577% of return per unit of risk over the last 2 months. Our philosophy towards measuring 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 Sahara Midcap Bns which you can use to evaluate future volatility of the fund. Please validate Sahara Midcap Coefficient Of Variation of (642.20) and Risk Adjusted Performance of (0.31) to confirm if risk estimate we provide are consistent with the epected return of 0.1577%.
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.
2 Months Beta |Analyze Sahara Midcap Bns Demand Trend
Check current 30 days Sahara Midcap correlation with market (DOW)
β = -0.0378

Sahara Midcap Central Daily Price Deviation

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 -0.0378 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. Additionally, Sahara Midcap Bns has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Sahara Midcap is 388.02. The daily returns are destributed with a variance of 0.37 and standard deviation of 0.61. The mean deviation of Sahara Midcap Bns is currently at 0.44. For similar time horizon, the selected benchmark (DOW) has volatility of 1.97
α
Alpha over DOW
=0.18
β
Beta against DOW=0.04
σ
Overall volatility
=0.61
Ir
Information ratio =0.0091

Sahara Midcap Return Volatility

Sahara Midcap Bns accepts 0.6121% volatility on return distribution over the 30 days horizon. DOW inherits 2.0388% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Sahara Midcap Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Sahara Midcap Investment Opportunity

DOW has a standard deviation of returns of 2.04 and is 3.34 times more volatile than Sahara Midcap Bns. 5% 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 5 (%) of all global equities and portfolios over the last 30 days. Use Sahara Midcap Bns to protect your portfolios against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Sahara Midcap to be traded at 74.69 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

correlation synergy
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 Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.
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