Chaman Lal (India) Risk Analysis And Volatility Evaluation

CHAMANSEQ -- India Stock  

INR 112.90  1.57  1.41%

Macroaxis considers Chaman Lal not too risky given 1 month investment horizon. Chaman Lal Setia secures Sharpe Ratio (or Efficiency) of 0.1674 which signifies that Chaman Lal Setia had 0.1674% 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. We have found twenty-one technical indicators for Chaman Lal Setia Exports Ltd which you can use to evaluate future volatility of the firm. Please makes use of Chaman Lal Setia Mean Deviation of 1.37 and Risk Adjusted Performance of 0.085 to double-check if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Chaman Lal Market Sensitivity

Chaman Lal returns are very sensitive to returns on the market. As market goes up or down, Chaman Lal is expected to follow.
One Month Beta |Analyze Chaman Lal Setia Demand Trend
Check current 30 days Chaman Lal correlation with market (DOW)
β = 0.9371
Chaman Lal llmost one BetaChaman Lal Setia Beta Legend

Chaman Lal Setia Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Chaman Lal Setia 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.

Chaman Lal Projected Return Density Against Market

Assuming 30 trading days horizon, Chaman Lal has beta of 0.9371 . This suggests Chaman Lal Setia Exports Ltd market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Chaman Lal is expected to follow. Moreover, Chaman Lal Setia Exports Ltd has an alpha of 0.2555 implying that it can potentially generate 0.2555% 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 Chaman Lal is 597.24. The daily returns are destributed with a variance of 2.92 and standard deviation of 1.71. The mean deviation of Chaman Lal Setia Exports Ltd is currently at 1.2. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.26
β
Beta against DOW=0.94
σ
Overall volatility
=1.71
Ir
Information ratio =0.14

Chaman Lal Return Volatility

Chaman Lal Setia Exports Ltd accepts 1.7095% volatility on return distribution over the 30 days horizon. DOW inherits 0.3947% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Chaman Lal Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Very low

30 Days Economic Sensitivity

Almost mirrors market

Investment Outlook

Chaman Lal Investment Opportunity

Chaman Lal Setia Exports Ltd has a volatility of 1.71 and is 4.38 times more volatile than DOW. 15% 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 15 (%) 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 large bullish trend. Check odds of Chaman Lal to be traded at 124.19 in 30 days. Chaman Lal returns are very sensitive to returns on the market. As market goes up or down, Chaman Lal is expected to follow.

Chaman Lal correlation with market

Modest 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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