Electrosteel Castings (India) Risk Analysis And Volatility Evaluation

ELECTCAST -- India Stock  

INR 20.80  0.20  0.95%

Macroaxis considers Electrosteel Castings unknown risk given 2 months investment horizon. Electrosteel Castings secures Sharpe Ratio (or Efficiency) of 0.1311 which denotes Electrosteel Castings had 0.1311% 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 utilize Electrosteel Castings Coefficient Of Variation of 18,201 and Mean Deviation of 2.25 to check if our risk estimates are consistent with your expectations.
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 = -0.5909

Electrosteel Castings Central Daily Price Deviation

Electrosteel Castings Technical Analysis

Transformation
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Electrosteel Castings Projected Return Density Against Market

Assuming 30 trading days horizon, Electrosteel Castings Limited has beta of -0.5909 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. 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 762.56. The daily returns are destributed with a variance of 13.51 and standard deviation of 3.68. The mean deviation of Electrosteel Castings Limited is currently at 2.57. For similar time horizon, the selected benchmark (DOW) has volatility of 1.18
α
Alpha over DOW
=0.15
β
Beta against DOW=0.59
σ
Overall volatility
=3.68
Ir
Information ratio =0.05

Electrosteel Castings Return Volatility

Electrosteel Castings Limited accepts 3.6752% volatility on return distribution over the 30 days horizon. DOW inherits 1.1871% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Electrosteel Castings Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Electrosteel Castings Investment Opportunity

Electrosteel Castings Limited has a volatility of 3.68 and is 3.09 times more volatile than DOW. 33% 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 33 (%) 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 20.38 in 30 days. 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.

Electrosteel Castings correlation with market

correlation synergy
Good 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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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