Digjam (India) Risk Analysis And Volatility Evaluation

DIGJAMLTD -- India Stock  

INR 6.37  0.32  4.78%

Macroaxis considers Digjam to be risky. Digjam Limited secures Sharpe Ratio (or Efficiency) of -0.1151 which denotes Digjam Limited had -0.1151% of return per unit of risk over the last 1 month. Macroaxis philosophy towards predicting 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. Digjam Limited exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Digjam Limited Coefficient Of Variation of 3,403 and Mean Deviation of 1.52 to check risk estimate we provide.
Horizon     30 Days    Login   to change

Digjam Market Sensitivity

As returns on market increase, returns on owning Digjam are expected to decrease at a much smaller rate. During bear market, Digjam is likely to outperform the market.
One Month Beta |Analyze Digjam Limited Demand Trend
Check current 30 days Digjam correlation with market (DOW)
β = -0.5937
Digjam Almost negative betaDigjam Limited Beta Legend

Digjam Limited Technical Analysis

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

Digjam Projected Return Density Against Market

Assuming 30 trading days horizon, Digjam Limited has beta of -0.5937 suggesting as returns on benchmark increase, returns on holding Digjam are expected to decrease at a much smaller rate. During bear market, however, Digjam Limited is likely to outperform the market. Moreover, Digjam Limited has an alpha of 0.0276 implying that it can potentially generate 0.0276% 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 Digjam is -868.87. The daily returns are destributed with a variance of 5.03 and standard deviation of 2.24. The mean deviation of Digjam Limited is currently at 1.65. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.0276
β
Beta against DOW=0.59
σ
Overall volatility
=2.24
Ir
Information ratio =0.11

Digjam Return Volatility

Digjam Limited accepts 2.2422% volatility on return distribution over the 30 days horizon. DOW inherits 0.4487% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Digjam Volatility Factors

30 Days Market Risk

Risky

Chance of Distress in 24 months

High

30 Days Economic Sensitivity

Slightly opposite to market

Investment Outlook

Digjam Investment Opportunity

Digjam Limited has a volatility of 2.24 and is 4.98 times more volatile than DOW. 20% of all equities and portfolios are less risky than Digjam. Compared to the overall equity markets, volatility of historical daily returns of Digjam Limited is lower than 20 (%) of all global equities and portfolios over the last 30 days. Use Digjam Limited to protect against small markets fluctuations. The stock experiences very speculative upward sentiment.. Check odds of Digjam to be traded at 6.05 in 30 days. As returns on market increase, returns on owning Digjam are expected to decrease at a much smaller rate. During bear market, Digjam is likely to outperform the market.

Digjam correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Digjam Limited and equity matching DJI index in the same portfolio.

Digjam Volatility Indicators

Digjam Limited Current Risk Indicators

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