IDBI ST (India) Risk Analysis And Volatility Evaluation

IDBISTBONDGR -- India Fund  

INR 17.59  0.03  0.17%

Macroaxis considers IDBI ST to be not too risky. IDBI ST Bond retains Efficiency (Sharpe Ratio) of -0.707 which attests that IDBI ST Bond had -0.707% of return per unit of return volatility over the last 1 month. Macroaxis approach into determining 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. IDBI ST exposes twenty different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out IDBI ST Bond Gr Coefficient Of Variation of 394.97, Market Risk Adjusted Performance of 0.162 and Downside Deviation of 0.1076 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

IDBI ST Market Sensitivity

As returns on market increase, IDBI ST returns are expected to increase less than the market. However during bear market, the loss on holding IDBI ST will be expected to be smaller as well.
One Month Beta |Analyze IDBI ST Bond Demand Trend
Check current 30 days IDBI ST correlation with market (DOW)
β = 0.3565
IDBI ST Small BetaIDBI ST Bond Beta Legend

IDBI ST Bond Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. IDBI ST Bond Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

IDBI ST Projected Return Density Against Market

Assuming 30 trading days horizon, IDBI ST has beta of 0.3565 . This indicates as returns on market go up, IDBI ST average returns are expected to increase less than the benchmark. However during bear market, the loss on holding IDBI ST Bond Gr will be expected to be much smaller as well. Moreover, IDBI ST Bond Gr has an alpha of 0.0344 implying that it can potentially generate 0.0344% 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 IDBI ST is -141.45. The daily returns are destributed with a variance of 0.01 and standard deviation of 0.08. The mean deviation of IDBI ST Bond Gr is currently at 0.07. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44
α
Alpha over DOW
=0.0344
β
Beta against DOW=0.36
σ
Overall volatility
=0.08
Ir
Information ratio =0.0053

IDBI ST Return Volatility

IDBI ST Bond Gr accepts 0.0803% volatility on return distribution over the 30 days horizon. DOW inherits 0.4448% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

IDBI ST Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Slowly supersedes market

Investment Outlook

IDBI ST Investment Opportunity

DOW has a standard deviation of returns of 0.44 and is 5.5 times more volatile than IDBI ST Bond Gr. 0% of all equities and portfolios are less risky than IDBI ST. Compared to the overall equity markets, volatility of historical daily returns of IDBI ST Bond Gr is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use IDBI ST Bond Gr to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of IDBI ST to be traded at 17.41 in 30 days. As returns on market increase, IDBI ST returns are expected to increase less than the market. However during bear market, the loss on holding IDBI ST will be expected to be smaller as well.

IDBI ST correlation with market

Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding IDBI ST Bond Gr and equity matching DJI index in the same portfolio.

IDBI ST Volatility Indicators

IDBI ST Bond Gr Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.
Search macroaxis.com