Aditya Birla (India) Risk Analysis And Volatility

ABFRL -- India Stock  

INR 212.35  0.35  0.17%

We consider Aditya Birla not too risky. Aditya Birla Fashion secures Sharpe Ratio (or Efficiency) of 0.0932 which signifies that the organization had 0.0932% of return per unit of risk over the last 2 months. 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 confirm Aditya Birla Fashion Risk Adjusted Performance of 0.3113, Downside Deviation of 1.44 and Mean Deviation of 1.2 to double-check if risk estimate we provide are consistent with the epected return of 0.1461%.
Horizon     30 Days    Login   to change

Aditya Birla Market Sensitivity

As returns on market increase, Aditya Birla returns are expected to increase less than the market. However during bear market, the loss on holding Aditya Birla will be expected to be smaller as well.
2 Months Beta |Analyze Aditya Birla Fashion Demand Trend
Check current 30 days Aditya Birla correlation with market (DOW)
β = 0.0157

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 thirty-nine. 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 has beta of 0.0157 . This suggests as returns on market go up, Aditya Birla average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Aditya Birla Fashion and Retail Limited will be expected to be much smaller as well. Moreover, The company has an alpha of 0.3263 implying that it can potentially generate 0.3263% 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 1072.85. The daily returns are destributed with a variance of 2.46 and standard deviation of 1.57. The mean deviation of Aditya Birla Fashion and Retail Limited is currently at 1.02. For similar time horizon, the selected benchmark (DOW) has volatility of 1.79
α
Alpha over DOW
=0.33
β
Beta against DOW=0.0157
σ
Overall volatility
=1.57
Ir
Information ratio =0.13

Aditya Birla Return Volatility

the corporation accepts 1.5676% volatility on return distribution over the 30 days horizon. the entity inherits 1.9131% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Aditya Birla Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

60 Days Economic Sensitivity

Barely shadows market

Investment Outlook

Aditya Birla Investment Opportunity

DOW has a standard deviation of returns of 1.91 and is 1.22 times more volatile than Aditya Birla Fashion and Retail Limited. 14% 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 14 (%) of all global equities and portfolios over the last 30 days. Use Aditya Birla Fashion and Retail Limited to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of Aditya Birla to be traded at 222.97 in 30 days. . As returns on market increase, Aditya Birla returns are expected to increase less than the market. However during bear market, the loss on holding Aditya Birla will be expected to be smaller as well.

Aditya Birla correlation with market

correlation synergy
Significant 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 Focused Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
Search macroaxis.com