BEML (India) Risk Analysis And Volatility

BEML -- India Stock  

INR 771.10  12.10  1.59%

Macroaxis considers BEML to be not too risky. BEML Limited secures Sharpe Ratio (or Efficiency) of -0.2592 which signifies that the organization had -0.2592% of return per unit of return volatility over the last 2 months. Macroaxis approach into 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. BEML Limited exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm BEML Limited Mean Deviation of 1.92, Risk Adjusted Performance of 0.0503 and Semi Deviation of 2.25 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

BEML Market Sensitivity

As returns on market increase, BEML returns are expected to increase less than the market. However during bear market, the loss on holding BEML will be expected to be smaller as well.
2 Months Beta |Analyze BEML Limited Demand Trend
Check current 30 days BEML correlation with market (DOW)
β = 0.0984

BEML Central Daily Price Deviation

BEML Limited Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. BEML Limited 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.

BEML Projected Return Density Against Market

Assuming 30 trading days horizon, BEML has beta of 0.0984 . This suggests as returns on market go up, BEML average returns are expected to increase less than the benchmark. However during bear market, the loss on holding BEML Limited will be expected to be much smaller as well. Moreover, The company has an alpha of 0.0564 implying that it can potentially generate 0.0564% 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 BEML is -385.84. The daily returns are destributed with a variance of 3.88 and standard deviation of 1.97. The mean deviation of BEML Limited is currently at 1.41. For similar time horizon, the selected benchmark (DOW) has volatility of 1.79
α
Alpha over DOW
=0.06
β
Beta against DOW=0.1
σ
Overall volatility
=1.97
Ir
Information ratio =0.0028

BEML Return Volatility

the corporation accepts 1.9696% volatility on return distribution over the 30 days horizon. the entity inherits 1.9% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

BEML Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Very Small

60 Days Economic Sensitivity

Barely shadows market

Investment Outlook

BEML Investment Opportunity

BEML Limited has a volatility of 1.97 and is 1.04 times more volatile than DOW. 17% of all equities and portfolios are less risky than BEML. Compared to the overall equity markets, volatility of historical daily returns of BEML Limited is lower than 17 (%) of all global equities and portfolios over the last 30 days. Use BEML Limited to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of BEML to be traded at 848.21 in 30 days. . As returns on market increase, BEML returns are expected to increase less than the market. However during bear market, the loss on holding BEML will be expected to be smaller as well.

BEML correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding BEML Limited and equity matching DJI index in the same portfolio.

BEML Volatility Indicators

BEML Limited Current Risk Indicators

Check also Trending Equities. Please also try Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.
Search macroaxis.com