SBI FMCG (India) Risk Analysis And Volatility Evaluation

SBIFMCGDIRGR -- India Fund  

INR 118.34  1.34  1.12%

Macroaxis considers SBI FMCG unknown risk given 1 month investment horizon. 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. Our way of measuring volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. By analyzing SBI FMCG Dir technical indicators you can today evaluate if the expected return of 0.5662% is justified by implied risk. Please operate SBI FMCG Risk Adjusted Performance of 0.016, Market Risk Adjusted Performance of 0.027705 and Downside Deviation of 2.09 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

SBI FMCG Market Sensitivity

As returns on market increase, returns on owning SBI FMCG are expected to decrease at a much smaller rate. During bear market, SBI FMCG is likely to outperform the market.
One Month Beta |Analyze SBI FMCG Dir Demand Trend
Check current 30 days SBI FMCG correlation with market (DOW)
β = -0.1718

SBI FMCG Central Daily Price Deviation

SBI FMCG Dir Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

SBI FMCG Projected Return Density Against Market

Assuming 30 trading days horizon, SBI FMCG Dir Gr has beta of -0.1718 . This entails as returns on benchmark increase, returns on holding SBI FMCG are expected to decrease at a much smaller rate. During bear market, however, SBI FMCG Dir Gr is likely to outperform the market. 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 0.64 and standard deviation of 0.8. The mean deviation of SBI FMCG Dir Gr is currently at 0.57. For similar time horizon, the selected benchmark (DOW) has volatility of 1.24
α
Alpha over DOW
=0.0072
β
Beta against DOW=0.17
σ
Overall volatility
=0.80
Ir
Information ratio =0.06

SBI FMCG Return Volatility

SBI FMCG Dir Gr accepts 0.8007% volatility on return distribution over the 30 days horizon. DOW inherits 1.2951% 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

Insignificant

Investment Outlook

SBI FMCG Investment Opportunity

DOW has a standard deviation of returns of 1.3 and is 1.63 times more volatile than SBI FMCG Dir Gr. 7% 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 7 (%) of all global equities and portfolios over the last 30 days. Use SBI FMCG Dir Gr to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of SBI FMCG to be traded at 114.79 in 30 days. As returns on market increase, returns on owning SBI FMCG are expected to decrease at a much smaller rate. During bear market, SBI FMCG is likely to outperform the market.

SBI FMCG correlation with market

correlation synergy
Good 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

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