BEML (India) Risk Analysis And Volatility Evaluation

BEML -- India Stock  

INR 700.40  44.50  5.97%

BEML is unknown risk given 1 month investment horizon. BEML Limited secures Sharpe Ratio (or Efficiency) of 0.3982 which signifies that BEML Limited had 0.3982% of return per unit of return volatility over the last 1 month. Our approach into foreseeing risk of a stock is to use both market data as well as company specific technical data. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 1.8555% are justified by taking the suggested risk. Use BEML Semi Deviation of 4.27, Risk Adjusted Performance of 0.1922 and Mean Deviation of 3.82 to evaluate company specific risk that cannot be diversified away.
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.
One Month Beta |Analyze BEML Limited Demand Trend
Check current 30 days BEML correlation with market (DOW)
β = 0.4635

BEML Central Daily Price Deviation

BEML Limited Technical Analysis

Transformation
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BEML Projected Return Density Against Market

Assuming 30 trading days horizon, BEML has beta of 0.4635 . 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, BEML Limited has an alpha of 0.7913 implying that it can potentially generate 0.7913% 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 251.11. The daily returns are destributed with a variance of 21.71 and standard deviation of 4.66. The mean deviation of BEML Limited is currently at 3.63. For similar time horizon, the selected benchmark (DOW) has volatility of 1.24
α
Alpha over DOW
=0.79
β
Beta against DOW=0.46
σ
Overall volatility
=4.66
Ir
Information ratio =0.16

BEML Return Volatility

BEML Limited accepts 4.6593% volatility on return distribution over the 30 days horizon. DOW inherits 1.2951% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

BEML Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

BEML Investment Opportunity

BEML Limited has a volatility of 4.66 and is 3.58 times more volatile than DOW. 42% 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 42 (%) of all global equities and portfolios over the last 30 days. Use BEML Limited to protect against small markets fluctuations. The stock experiences very speculative upward sentiment.. Check odds of BEML to be traded at 665.38 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
Average 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.
Check also Trending Equities. Please also try Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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