Electrosteel Castings (India) Risk Analysis And Volatility Evaluation

ELECTCAST -- India Stock  

INR 17.10  0.10  0.58%

Our philosophy towards predicting 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 Electrosteel Castings Limited which you can use to evaluate future volatility of the firm. Please confirm Electrosteel Castings Coefficient Of Variation of 582.13 and Mean Deviation of 0.7585 to check if risk estimate we provide are consistent with the epected return of 0.0%.
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 = 0.0712
Electrosteel Castings Central Price Deviations

Electrosteel Castings Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Electrosteel Castings Projected Return Density Against Market

Assuming 30 trading days horizon, Electrosteel Castings has beta of 0.0712 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 
α
Alpha over DOW
=0.25
β
Beta against DOW=0.07
σ
Overall volatility
=0.00
Ir
Information ratio =0.17

Electrosteel Castings Return Volatility

Electrosteel Castings Limited accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.2145% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Electrosteel Castings Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Electrosteel Castings Investment Opportunity

DOW has a standard deviation of returns of 1.21 and is 9.223372036854776E16 times more volatile than Electrosteel Castings Limited. 0% 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 0 (%) of all global equities and portfolios over the last 30 days. Use Electrosteel Castings Limited to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Electrosteel Castings to be traded at 16.76 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

correlation synergy
Significant 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

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