Chaman Lal (India) Risk Analysis And Volatility Evaluation

CHAMANSEQ -- India Stock  

INR 99.40  3.10  3.22%

Macroaxis considers Chaman Lal unknown risk given 1 month investment horizon. Chaman Lal Setia secures Sharpe Ratio (or Efficiency) of 0.1701 which signifies that Chaman Lal Setia had 0.1701% of return per unit of standard deviation over the last 1 month. Our philosophy in foreseeing volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By analyzing Chaman Lal Setia technical indicators you can presently evaluate if the expected return of 0.6671% is justified by implied risk. Please makes use of Chaman Lal Setia Mean Deviation of 2.91 and Risk Adjusted Performance of 0.0123 to double-check if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Chaman Lal Market Sensitivity

As returns on market increase, returns on owning Chaman Lal are expected to decrease at a much smaller rate. During bear market, Chaman Lal is likely to outperform the market.
One Month Beta |Analyze Chaman Lal Setia Demand Trend
Check current 30 days Chaman Lal correlation with market (DOW)
β = -0.1709

Chaman Lal Central Daily Price Deviation

Chaman Lal Setia Technical Analysis

Transformation
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Chaman Lal Projected Return Density Against Market

Assuming 30 trading days horizon, Chaman Lal Setia Exports Ltd has beta of -0.1709 . This suggests as returns on benchmark increase, returns on holding Chaman Lal are expected to decrease at a much smaller rate. During bear market, however, Chaman Lal Setia Exports Ltd is likely to outperform the market. Additionally, Chaman Lal Setia Exports 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 Chaman Lal is 587.8. The daily returns are destributed with a variance of 15.38 and standard deviation of 3.92. The mean deviation of Chaman Lal Setia Exports Ltd is currently at 2.81. For similar time horizon, the selected benchmark (DOW) has volatility of 1.22
α
Alpha over DOW
=0.006
β
Beta against DOW=0.17
σ
Overall volatility
=3.92
Ir
Information ratio =0.0221

Chaman Lal Return Volatility

Chaman Lal Setia Exports Ltd accepts 3.9212% volatility on return distribution over the 30 days horizon. DOW inherits 1.1996% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Chaman Lal Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Chaman Lal Investment Opportunity

Chaman Lal Setia Exports Ltd has a volatility of 3.92 and is 3.27 times more volatile than DOW. 35% of all equities and portfolios are less risky than Chaman Lal. Compared to the overall equity markets, volatility of historical daily returns of Chaman Lal Setia Exports Ltd is lower than 35 (%) of all global equities and portfolios over the last 30 days. Use Chaman Lal Setia Exports Ltd to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of Chaman Lal to be traded at 119.28 in 30 days. As returns on market increase, returns on owning Chaman Lal are expected to decrease at a much smaller rate. During bear market, Chaman Lal is likely to outperform the market.

Chaman Lal correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Chaman Lal Setia Exports Ltd and equity matching DJI index in the same portfolio.

Chaman Lal Volatility Indicators

Chaman Lal Setia Exports Ltd Current Risk Indicators

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