Eros International Risk Analysis And Volatility Evaluation

EROS -- USA Stock  

USD 13.70  0.20  1.44%

We consider Eros International not very volatile. Eros International Plc secures Sharpe Ratio (or Efficiency) of 0.0076 which denotes Eros International Plc had 0.0076% of return per unit of risk over the last 1 month. Our philosophy towards predicting volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Eros International Plc which you can use to evaluate future volatility of the firm. Please confirm Eros International Plc Coefficient Of Variation of 54863.72, Mean Deviation of 2.22 and Downside Deviation of 2.68 to check if risk estimate we provide are consistent with the epected return of 0.0215%.
 Time Horizon     30 Days    Login   to change

Eros International Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Eros International will likely underperform.
One Month Beta |Analyze Eros International Plc Demand Trend
Check current 30 days Eros International correlation with market (DOW)
β = 1.4641
Eros International Large BetaEros International Plc Beta Legend

Eros International Plc Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Eros International Plc 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.

Projected Return Density Against Market

Given the investment horizon of 30 days, the stock has beta coefficient of 1.4641 suggesting as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Eros International will likely underperform. Additionally, Eros International Plc 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 
Given the investment horizon of 30 days, the coefficient of variation of Eros International is 13162.2. The daily returns are destributed with a variance of 8.03 and standard deviation of 2.83. The mean deviation of Eros International Plc is currently at 2.2. For similar time horizon, the selected benchmark (DOW) has volatility of 0.61
α
Alpha over DOW
=0.19
β
Beta against DOW=1.46
σ
Overall volatility
=2.83
Ir
Information ratio =0.04

Actual Return Volatility

Eros International Plc inherits 2.8341% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.63% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Eros International Volatility Factors

30 Days Market Risk

Not very volatile

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Totally responsive to market

Investment Outlook

Eros International Investment Opportunity
Eros International Plc has a volatility of 2.83 and is 4.49 times more volatile than DOW. 26% of all equities and portfolios are less risky than Eros International. Compared to the overall equity markets, volatility of historical daily returns of Eros International Plc is lower than 26 (%) of all global equities and portfolios over the last 30 days. Use Eros International Plc to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Eros International to be traded at $13.29 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Eros International will likely underperform.

Eros International correlation with market

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Eros International Plc and equity matching DJI index in the same portfolio.
Additionally see Investing Opportunities. Please also try Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.