Chambal Breweries (India) Risk Analysis And Volatility

CHMBBRW -- India Stock  

INR 1.90  0.00  0.00%

Macroaxis considers Chambal Breweries to be unknown risk. Chambal Breweries secures Sharpe Ratio (or Efficiency) of -0.503 which signifies that Chambal Breweries had -0.503% of return per unit of standard deviation over the last 2 months. Macroaxis philosophy in 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. Chambal Breweries Distilleries Ltd exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Chambal Breweries Mean Deviation of 1.66 and Risk Adjusted Performance of 0.112 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

Chambal Breweries Market Sensitivity

As returns on market increase, returns on owning Chambal Breweries are expected to decrease at a much smaller rate. During bear market, Chambal Breweries is likely to outperform the market.
2 Months Beta |Analyze Chambal Breweries Demand Trend
Check current 30 days Chambal Breweries correlation with market (DOW)
β = -0.2024

Chambal Breweries Central Daily Price Deviation

Chambal Breweries Technical Analysis

Transformation
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Chambal Breweries Projected Return Density Against Market

Assuming 30 trading days horizon, Chambal Breweries Distilleries Ltd has beta of -0.2024 . This suggests as returns on benchmark increase, returns on holding Chambal Breweries are expected to decrease at a much smaller rate. During bear market, however, Chambal Breweries Distilleries Ltd is likely to outperform the market. Moreover, Chambal Breweries Distilleries Ltd has an alpha of 0.1198 implying that it can potentially generate 0.1198% 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 Chambal Breweries is -198.79. The daily returns are destributed with a variance of 3.88 and standard deviation of 1.97. The mean deviation of Chambal Breweries Distilleries Ltd is currently at 1.56. For similar time horizon, the selected benchmark (DOW) has volatility of 1.97
α
Alpha over DOW
=0.12
β
Beta against DOW=0.2
σ
Overall volatility
=1.97
Ir
Information ratio =0.11

Chambal Breweries Return Volatility

Chambal Breweries Distilleries Ltd accepts 1.97% volatility on return distribution over the 30 days horizon. DOW inherits 2.0388% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Chambal Breweries Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Chambal Breweries Investment Opportunity

DOW has a standard deviation of returns of 2.04 and is 1.04 times more volatile than Chambal Breweries Distilleries Ltd. 17% of all equities and portfolios are less risky than Chambal Breweries. Compared to the overall equity markets, volatility of historical daily returns of Chambal Breweries Distilleries Ltd is lower than 17 (%) of all global equities and portfolios over the last 30 days. Use Chambal Breweries Distilleries Ltd to protect your portfolios against small markets fluctuations. The stock experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Chambal Breweries to be traded at 1.881 in 30 days. . As returns on market increase, returns on owning Chambal Breweries are expected to decrease at a much smaller rate. During bear market, Chambal Breweries is likely to outperform the market.

Chambal Breweries correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Chambal Breweries Distilleries and equity matching DJI index in the same portfolio.

Chambal Breweries Volatility Indicators

Chambal Breweries Distilleries Ltd Current Risk Indicators

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