Electrosteel Castings (India) Risk Analysis And Volatility Evaluation

ELECTCAST -- India Stock  

INR 20.00  0.05  0.25%

Macroaxis considers Electrosteel Castings to be not very risky. Electrosteel Castings secures Sharpe Ratio (or Efficiency) of -0.3026 which denotes Electrosteel Castings had -0.3026% 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. Electrosteel Castings Limited exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Electrosteel Castings Coefficient Of Variation of 436.00 and Mean Deviation of 1.43 to check risk estimate we provide.
Horizon     30 Days    Login   to change

Electrosteel Castings Market Sensitivity

As returns on market increase, Electrosteel Castings returns are expected to increase less than the market. However during bear market, the loss on holding Electrosteel Castings will be expected to be smaller as well.
One Month Beta |Analyze Electrosteel Castings Demand Trend
Check current 30 days Electrosteel Castings correlation with market (DOW)
β = 0.5443
Electrosteel Castings Small BetaElectrosteel Castings Beta Legend

Electrosteel Castings Technical Analysis

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

Electrosteel Castings Projected Return Density Against Market

Assuming 30 trading days horizon, Electrosteel Castings has beta of 0.5443 suggesting as returns on market go up, Electrosteel Castings average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Electrosteel Castings Limited will be expected to be much smaller as well. Additionally, Electrosteel Castings Limited 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 Electrosteel Castings is -330.44. The daily returns are destributed with a variance of 3.9 and standard deviation of 1.97. The mean deviation of Electrosteel Castings Limited is currently at 1.59. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.52
β
Beta against DOW=0.54
σ
Overall volatility
=1.97
Ir
Information ratio =0.33

Electrosteel Castings Return Volatility

Electrosteel Castings Limited accepts 1.9749% volatility on return distribution over the 30 days horizon. DOW inherits 0.444% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Electrosteel Castings Volatility Factors

30 Days Market Risk

Not very risky

Chance of Distress in 24 months

High

30 Days Economic Sensitivity

Follows market closely

Investment Outlook

Electrosteel Castings Investment Opportunity

Electrosteel Castings Limited has a volatility of 1.97 and is 4.48 times more volatile than DOW. 17% of all equities and portfolios are less risky than Electrosteel Castings. Compared to the overall equity markets, volatility of historical daily returns of Electrosteel Castings Limited is lower than 17 (%) of all global equities and portfolios over the last 30 days. Use Electrosteel Castings Limited to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of Electrosteel Castings to be traded at 21.0 in 30 days. As returns on market increase, Electrosteel Castings returns are expected to increase less than the market. However during bear market, the loss on holding Electrosteel Castings will be expected to be smaller as well.

Electrosteel Castings correlation with market

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

Electrosteel Castings Volatility Indicators

Electrosteel Castings Limited Current Risk Indicators

Additionally see Investing Opportunities. Please also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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