Alka Securities (India) Risk Analysis And Volatility Evaluation

ALKASEC -- India Stock  

INR 0.25  0.00  0.00%

We consider Alka Securities unknown risk. Alka Securities secures Sharpe Ratio (or Efficiency) of 0.0094 which signifies that Alka Securities had 0.0094% 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 Alka Securities Ltd which you can use to evaluate future volatility of the firm. Please confirm Alka Securities Risk Adjusted Performance of 0.0112 and Mean Deviation of 0.7398 to double-check if risk estimate we provide are consistent with the epected return of 0.0189%.
Horizon     30 Days    Login   to change

Alka Securities Market Sensitivity

As returns on market increase, Alka Securities returns are expected to increase less than the market. However during bear market, the loss on holding Alka Securities will be expected to be smaller as well.
One Month Beta |Analyze Alka Securities Demand Trend
Check current 30 days Alka Securities correlation with market (DOW)
β = 0.499
Alka Securities Small BetaAlka Securities Beta Legend

Alka Securities Technical Analysis

Transformation
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Alka Securities Projected Return Density Against Market

Assuming 30 trading days horizon, Alka Securities has beta of 0.499 . This suggests as returns on market go up, Alka Securities average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Alka Securities Ltd will be expected to be much smaller as well. Additionally, Alka Securities Ltd 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 Alka Securities is 10620.73. The daily returns are destributed with a variance of 4.01 and standard deviation of 2.0. The mean deviation of Alka Securities Ltd is currently at 0.96. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.08
β
Beta against DOW=0.50
σ
Overall volatility
=2.00
Ir
Information ratio =0.09

Alka Securities Return Volatility

Alka Securities Ltd accepts 2.0023% volatility on return distribution over the 30 days horizon. DOW inherits 0.4168% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Alka Securities Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Alka Securities Investment Opportunity

Alka Securities Ltd has a volatility of 2.0 and is 4.76 times more volatile than DOW. 18% of all equities and portfolios are less risky than Alka Securities. Compared to the overall equity markets, volatility of historical daily returns of Alka Securities Ltd is lower than 18 (%) of all global equities and portfolios over the last 30 days. Use Alka Securities Ltd to protect against small markets fluctuations. The stock experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Alka Securities to be traded at 0.2475 in 30 days. As returns on market increase, Alka Securities returns are expected to increase less than the market. However during bear market, the loss on holding Alka Securities will be expected to be smaller as well.

Alka Securities correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Alka Securities Ltd and equity matching DJI index in the same portfolio.

Alka Securities Volatility Indicators

Alka Securities Ltd Current Risk Indicators

Check also Trending Equities. Please also try Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.
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