SBI FMCG (India) Risk Analysis And Volatility Evaluation

SBIFMCGDIRGR -- India Fund  

INR 126.18  0.32  0.25%

Macroaxis considers SBI FMCG to be unknown risk. SBI FMCG Dir owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.7071 which indicates SBI FMCG Dir had -0.7071% of return per unit of volatility over the last 1 month. Macroaxis way of 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. SBI FMCG Dir Gr exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate SBI FMCG Risk Adjusted Performance of 0.0026, Market Risk Adjusted Performance of 0.18 and Downside Deviation of 0.3312 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

SBI FMCG Market Sensitivity

As returns on market increase, SBI FMCG returns are expected to increase less than the market. However during bear market, the loss on holding SBI FMCG will be expected to be smaller as well.
One Month Beta |Analyze SBI FMCG Dir Demand Trend
Check current 30 days SBI FMCG correlation with market (DOW)
β = 0.0254
SBI FMCG Small BetaSBI FMCG Dir Beta Legend

SBI FMCG Dir Technical Analysis

Transformation
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SBI FMCG Projected Return Density Against Market

Assuming 30 trading days horizon, SBI FMCG has beta of 0.0254 . This entails as returns on market go up, SBI FMCG average returns are expected to increase less than the benchmark. However during bear market, the loss on holding SBI FMCG Dir Gr will be expected to be much smaller as well. Additionally, SBI FMCG Dir Gr 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 SBI FMCG is -141.42. The daily returns are destributed with a variance of 0.03 and standard deviation of 0.18. The mean deviation of SBI FMCG Dir Gr is currently at 0.13. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.0091
β
Beta against DOW=0.0254
σ
Overall volatility
=0.18
Ir
Information ratio =0.57

SBI FMCG Return Volatility

SBI FMCG Dir Gr accepts 0.1793% volatility on return distribution over the 30 days horizon. DOW inherits 0.444% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

SBI FMCG Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

SBI FMCG Investment Opportunity

DOW has a standard deviation of returns of 0.44 and is 2.44 times more volatile than SBI FMCG Dir Gr. 1% of all equities and portfolios are less risky than SBI FMCG. Compared to the overall equity markets, volatility of historical daily returns of SBI FMCG Dir Gr is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use SBI FMCG Dir Gr to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of SBI FMCG to be traded at 132.49 in 30 days. As returns on market increase, SBI FMCG returns are expected to increase less than the market. However during bear market, the loss on holding SBI FMCG will be expected to be smaller as well.

SBI FMCG correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding SBI FMCG Dir Gr and equity matching DJI index in the same portfolio.

SBI FMCG Volatility Indicators

SBI FMCG Dir Gr Current Risk Indicators

Also please take a look at World Market Map. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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