ICICI Alpha and Beta Analysis

IP
ICICIMCAP -- India Stock  

INR 51.33  0.01  0.0195%

This module allows you to check different measures of market premium (i.e. an alpha and beta) for all equities including ICICI Prudential Midcap, as well as systematic risk associated with investing in ICICI Prudential over a specified time horizon. Please see Risk vs Return Analysis.

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Please note that although ICICI Prudential alpha is a measure of relative return and represented here as a single number, it actually indicates the percentage above or below your selected benchmark (i.e., DOW index.) So in this particular case, ICICI Prudential did 0.35  worse than the index. Remember, a high alpha is always good. Beta, on the other hand, measures the volatility (or risk) of an investment. It is an indication of ICICI Prudential Midcap relative risk over its benchmark. ICICI Prudential Midcap has beta of 0.04  . As returns on market increase, returns on owning ICICI Prudential are expected to decrease at a much smaller rate. During bear market, ICICI Prudential is likely to outperform the market. Alpha is a measure of relative performance on a risk-adjusted basis, while beta measures volatility againt benchmark. The goal is to know if an investor is being compensated for the volatility risk taken.The return on investment might be better than a benchmark but still not compensate for the assumption of the volatility risk.

ICICI Prudential Market Premiums

α-0.35   β-0.04
30 days against DJI

ICICI Prudential Fundamentals

ICICI Prudential Opportunities

ICICI Prudential Return and Market Media

The median price of ICICI Prudential for the period between Thu, Mar 5, 2020 and Wed, Jun 3, 2020 is 63.32 with a coefficient of variation of 11.53. The daily time series for the period is distributed with a sample standard deviation of 6.87, arithmetic mean of 59.56, and mean deviation of 6.28. The Stock did not receive any noticable media coverage during the period.
 Price Growth (%)  
      Timeline 

About ICICI Prudential Beta and Alpha

For many years both, Alpha and Beta indicators are used by professional money managers as critical performance measurement tools across virtually all equity instruments such as Ford or other stocks, funds, and ETFs. Alpha measures the amount that position in ICICI Prudential Midcap has returned in comparison to a selected market index or another relevant benchmark. In other words, Alpha is the excess return on an investment relative to the performance of your selected benchmark. Beta, on the other hand, measures the relative risk of your investment.

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