Chambal Breweries (India) Risk Analysis And Volatility Evaluation

CHMBBRW -- India Stock  

INR 2.19  0.10  4.78%

Macroaxis considers Chambal Breweries extremely volatile given 1 month investment horizon. Chambal Breweries secures Sharpe Ratio (or Efficiency) of 0.1543 which signifies that Chambal Breweries had 0.1543% 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 Chambal Breweries technical indicators you can presently evaluate if the expected return of 0.5272% is justified by implied risk. Please makes use of Chambal Breweries Mean Deviation of 2.77 and Risk Adjusted Performance of 0.4058 to double-check if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Chambal Breweries Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Chambal Breweries will likely underperform.
One Month Beta |Analyze Chambal Breweries Demand Trend
Check current 30 days Chambal Breweries correlation with market (DOW)
β = 1.1854

Chambal Breweries Central Daily Price Deviation

Chambal Breweries Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Chambal Breweries 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 avgprice price transform indicator.

Chambal Breweries Projected Return Density Against Market

Assuming 30 trading days horizon, the stock has beta coefficient of 1.1854 . This suggests as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Chambal Breweries will likely underperform. In addition to that, Chambal Breweries Distilleries Ltd has an alpha of 1.321 implying that it can potentially generate 1.321% 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 648.26. The daily returns are destributed with a variance of 11.68 and standard deviation of 3.42. The mean deviation of Chambal Breweries Distilleries Ltd is currently at 2.29. For similar time horizon, the selected benchmark (DOW) has volatility of 1.21
α
Alpha over DOW
=1.32
β
Beta against DOW=1.19
σ
Overall volatility
=3.42
Ir
Information ratio =0.36

Chambal Breweries Return Volatility

Chambal Breweries Distilleries Ltd accepts 3.4178% volatility on return distribution over the 30 days horizon. DOW inherits 1.1939% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Chambal Breweries Volatility Factors

30 Days Market Risk

Extremely volatile

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Almost mirrors market

Investment Outlook

Chambal Breweries Investment Opportunity

Chambal Breweries Distilleries Ltd has a volatility of 3.42 and is 2.87 times more volatile than DOW. 30% 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 30 (%) of all global equities and portfolios over the last 30 days. Use Chambal Breweries Distilleries Ltd to enhance returns of your portfolios. The stock experiences very speculative upward sentiment.. Check odds of Chambal Breweries to be traded at 2.74 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Chambal Breweries will likely underperform.

Chambal Breweries correlation with market

correlation synergy
Very weak 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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