Tata Resources (India) Risk Analysis And Volatility Evaluation

135814 -- India Fund  

INR 13.19  0.18  1.35%

Macroaxis considers Tata Resources to be unknown risk. Tata Resources Energy owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.1678 which indicates Tata Resources Energy had -0.1678% of return per unit of risk over the last 1 month. Macroaxis philosophy towards 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. Tata Resources Energy Reg Div Py exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Tata Resources Coefficient Of Variation of 32841.64 and Risk Adjusted Performance of 0.0085 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Tata Resources Market Sensitivity

As returns on market increase, Tata Resources returns are expected to increase less than the market. However during bear market, the loss on holding Tata Resources will be expected to be smaller as well.
One Month Beta |Analyze Tata Resources Energy Demand Trend
Check current 30 days Tata Resources correlation with market (DOW)
β = 0.1394
Tata Resources Small BetaTata Resources Energy Beta Legend

Tata Resources Energy Technical Analysis

Transformation
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Tata Resources Projected Return Density Against Market

Assuming 30 trading days horizon, Tata Resources has beta of 0.1394 . This suggests as returns on market go up, Tata Resources average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Tata Resources Energy Reg Div Py will be expected to be much smaller as well. Additionally, Tata Resources Energy Reg Div Py 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 Tata Resources is -595.8. The daily returns are destributed with a variance of 3.42 and standard deviation of 1.85. The mean deviation of Tata Resources Energy Reg Div Py is currently at 1.32. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.03
β
Beta against DOW=0.14
σ
Overall volatility
=1.85
Ir
Information ratio =0.11

Tata Resources Return Volatility

Tata Resources Energy Reg Div Py accepts 1.8501% volatility on return distribution over the 30 days horizon. DOW inherits 0.4487% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Tata Resources Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Tata Resources Investment Opportunity

Tata Resources Energy Reg Div Py has a volatility of 1.85 and is 4.11 times more volatile than DOW. 16% of all equities and portfolios are less risky than Tata Resources. Compared to the overall equity markets, volatility of historical daily returns of Tata Resources Energy Reg Div Py is lower than 16 (%) of all global equities and portfolios over the last 30 days. Use Tata Resources Energy Reg Div Py to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Tata Resources to be traded at 12.79 in 30 days. As returns on market increase, Tata Resources returns are expected to increase less than the market. However during bear market, the loss on holding Tata Resources will be expected to be smaller as well.

Tata Resources correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Tata Resources Energy Reg Div and equity matching DJI index in the same portfolio.

Tata Resources Volatility Indicators

Tata Resources Energy Reg Div Py Current Risk Indicators

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