Aditya Birla (India) Risk Analysis And Volatility Evaluation

ABFRL -- India Stock  

INR 182.90  5.30  2.82%

Macroaxis considers Aditya Birla to be not too risky. Aditya Birla Fashion secures Sharpe Ratio (or Efficiency) of -0.4073 which signifies that Aditya Birla Fashion had -0.4073% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Aditya Birla Fashion and Retail Limited exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Aditya Birla Fashion Risk Adjusted Performance of 0.02799 and Mean Deviation of 1.85 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

Aditya Birla Market Sensitivity

One Month Beta |Analyze Aditya Birla Fashion Demand Trend
Check current 30 days Aditya Birla correlation with market (DOW)
β = -1.0521
Aditya Birla llmost one BetaAditya Birla Fashion Beta Legend

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 -1.0521 . This suggests Additionally, Aditya Birla Fashion and Retail Limited 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 Aditya Birla is -245.54. The daily returns are destributed with a variance of 3.74 and standard deviation of 1.93. The mean deviation of Aditya Birla Fashion and Retail Limited is currently at 1.65. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.05
β
Beta against DOW=1.05
σ
Overall volatility
=1.93
Ir
Information ratio =0.14

Aditya Birla Return Volatility

Aditya Birla Fashion and Retail Limited accepts 1.9334% 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

Aditya Birla Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Totally opposite to market

Investment Outlook

Aditya Birla Investment Opportunity

Aditya Birla Fashion and Retail Limited has a volatility of 1.93 and is 4.29 times more volatile than DOW. 17% 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 17 (%) 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 unexpected downward movement. The market is reacting to new fundamentals. Check odds of Aditya Birla to be traded at 175.58 in 30 days.

Aditya Birla correlation with market

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

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