BEML (India) Risk Analysis And Volatility Evaluation

BEML -- India Stock  

INR 766.35  18.05  2.41%

Macroaxis considers BEML to be not too risky. BEML Limited secures Sharpe Ratio (or Efficiency) of -0.28 which signifies that BEML Limited had -0.28% of return per unit of return volatility over the last 1 month. 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 Risk Adjusted Performance of 0.039889 and Mean Deviation of 1.35 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

BEML Market Sensitivity

As returns on market increase, returns on owning BEML are expected to decrease by larger amounts. On the other hand, during market turmoil, BEML is expected to significantly outperform it.
One Month Beta |Analyze BEML Limited Demand Trend
Check current 30 days BEML correlation with market (DOW)
β = -1.2491
BEML Large Negative BetaBEML Limited Beta Legend

BEML Limited Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. 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 Limited has beta of -1.2491 . This suggests as returns on its benchmark rise, returns on holding BEML Limited are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, BEML is expected to outperform its benchmark. Additionally, BEML 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 BEML is -357.12. The daily returns are destributed with a variance of 3.48 and standard deviation of 1.87. The mean deviation of BEML Limited is currently at 1.33. For similar time horizon, the selected benchmark (DOW) has volatility of 0.38
α
Alpha over DOW
=0.15
β
Beta against DOW=1.25
σ
Overall volatility
=1.87
Ir
Information ratio =0.18

BEML Return Volatility

BEML Limited accepts 1.8668% volatility on return distribution over the 30 days horizon. DOW inherits 0.389% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

BEML Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Totally opposite to market

Investment Outlook

BEML Investment Opportunity

BEML Limited has a volatility of 1.87 and is 4.79 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 unexpected upward trend. Watch out for market signals. Check odds of BEML to be traded at 919.62 in 30 days. As returns on market increase, returns on owning BEML are expected to decrease by larger amounts. On the other hand, during market turmoil, BEML is expected to significantly outperform it.

BEML correlation with market

Very good 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

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