Aditya Birla (India) Risk Analysis And Volatility Evaluation

ABFRL -- India Stock  

INR 189.70  0.90  0.47%

Macroaxis considers Aditya Birla not too risky given 1 month investment horizon. Aditya Birla Fashion secures Sharpe Ratio (or Efficiency) of 0.1373 which signifies that Aditya Birla Fashion had 0.1373% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Aditya Birla Fashion and Retail Limited which you can use to evaluate future volatility of the firm. Please makes use of Aditya Birla Fashion Downside Deviation of 2.66, Risk Adjusted Performance of 0.1167 and Mean Deviation of 1.99 to double-check if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Aditya Birla Market Sensitivity

As returns on market increase, returns on owning Aditya Birla are expected to decrease at a much smaller rate. During bear market, Aditya Birla is likely to outperform the market.
One Month Beta |Analyze Aditya Birla Fashion Demand Trend
Check current 30 days Aditya Birla correlation with market (DOW)
β = -0.5708

Aditya Birla Central Daily Price Deviation

Aditya Birla Fashion Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Aditya Birla Fashion 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.

Aditya Birla Projected Return Density Against Market

Assuming 30 trading days horizon, Aditya Birla Fashion and Retail Limited has beta of -0.5708 . This suggests as returns on benchmark increase, returns on holding Aditya Birla are expected to decrease at a much smaller rate. During bear market, however, Aditya Birla Fashion and Retail Limited is likely to outperform the market. Moreover, Aditya Birla Fashion and Retail Limited has an alpha of 0.1988 implying that it can potentially generate 0.1988% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Aditya Birla is 728.29. The daily returns are destributed with a variance of 4.24 and standard deviation of 2.06. The mean deviation of Aditya Birla Fashion and Retail Limited is currently at 1.36. For similar time horizon, the selected benchmark (DOW) has volatility of 1.22
α
Alpha over DOW
=0.20
β
Beta against DOW=0.57
σ
Overall volatility
=2.06
Ir
Information ratio =0.12

Aditya Birla Return Volatility

Aditya Birla Fashion and Retail Limited accepts 2.059% volatility on return distribution over the 30 days horizon. DOW inherits 1.1692% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Aditya Birla Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Almost mirrors market

Investment Outlook

Aditya Birla Investment Opportunity

Aditya Birla Fashion and Retail Limited has a volatility of 2.06 and is 1.76 times more volatile than DOW. 18% of all equities and portfolios are less risky than Aditya Birla. Compared to the overall equity markets, volatility of historical daily returns of Aditya Birla Fashion and Retail Limited is lower than 18 (%) of all global equities and portfolios over the last 30 days. Use Aditya Birla Fashion and Retail Limited to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Aditya Birla to be traded at 187.8 in 30 days. As returns on market increase, returns on owning Aditya Birla are expected to decrease at a much smaller rate. During bear market, Aditya Birla is likely to outperform the market.

Aditya Birla correlation with market

correlation synergy
Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Aditya Birla Fashion and Retai and equity matching DJI index in the same portfolio.

Aditya Birla Volatility Indicators

Aditya Birla Fashion and Retail Limited Current Risk Indicators

Check also Trending Equities. Please also try Financial Widgets module to easily integrated macroaxis content with over 30 different plug-and-play financial widgets.
Search macroaxis.com