Electrosteel Castings (India) Risk Analysis And Volatility

ELECTCAST -- India Stock  

INR 20.95  0.30  1.41%

We consider Electrosteel Castings not too volatile. Electrosteel Castings secures Sharpe Ratio (or Efficiency) of 0.0129 which denotes Electrosteel Castings had 0.0129% of return per unit of risk over the last 2 months. 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 772.43, Mean Deviation of 1.73 and Downside Deviation of 1.85 to check if risk estimate we provide are consistent with the epected return of 0.0221%.
Horizon     30 Days    Login   to change

Electrosteel Castings Market Sensitivity

As returns on market increase, returns on owning Electrosteel Castings are expected to decrease at a much smaller rate. During bear market, Electrosteel Castings is likely to outperform the market.
2 Months Beta |Analyze Electrosteel Castings Demand Trend
Check current 30 days Electrosteel Castings correlation with market (DOW)
β = -0.0723

Electrosteel Castings Central Daily Price Deviation

Electrosteel Castings Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. 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 Limited has beta of -0.0723 suggesting as returns on benchmark increase, returns on holding Electrosteel Castings are expected to decrease at a much smaller rate. During bear market, however, Electrosteel Castings Limited is likely to outperform the market. Moreover, Electrosteel Castings Limited has an alpha of 0.2681 implying that it can potentially generate 0.2681% 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 Electrosteel Castings is 7772.67. The daily returns are destributed with a variance of 2.96 and standard deviation of 1.72. The mean deviation of Electrosteel Castings Limited is currently at 1.28. For similar time horizon, the selected benchmark (DOW) has volatility of 1.97
α
Alpha over DOW
=0.27
β
Beta against DOW=0.07
σ
Overall volatility
=1.72
Ir
Information ratio =0.21

Electrosteel Castings Return Volatility

Electrosteel Castings Limited accepts 1.7216% volatility on return distribution over the 30 days horizon. DOW inherits 2.0125% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 
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