HB Portfolio (India) Risk Analysis And Volatility Evaluation

HBPOR -- India Stock  

INR 22.15  0.35  1.56%

Macroaxis considers HB Portfolio to be unknown risk. HB Portfolio Limited retains Efficiency (Sharpe Ratio) of -0.3053 which attests that HB Portfolio Limited had -0.3053% of return per unit of price deviation over the last 1 month. Macroaxis way in which we are determining 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. HB Portfolio exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out HB Portfolio Limited Standard Deviation of 5.25 and Market Risk Adjusted Performance of 1.76 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

HB Portfolio Market Sensitivity

As returns on market increase, HB Portfolio returns are expected to increase less than the market. However during bear market, the loss on holding HB Portfolio will be expected to be smaller as well.
One Month Beta |Analyze HB Portfolio Limited Demand Trend
Check current 30 days HB Portfolio correlation with market (DOW)
β = 0.2668

HB Portfolio Central Daily Price Deviation

HB Portfolio Limited Technical Analysis

Transformation
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HB Portfolio Projected Return Density Against Market

Assuming 30 trading days horizon, HB Portfolio has beta of 0.2668 . This indicates as returns on market go up, HB Portfolio average returns are expected to increase less than the benchmark. However during bear market, the loss on holding HB Portfolio Limited will be expected to be much smaller as well. Additionally, HB Portfolio 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 HB Portfolio is -327.56. The daily returns are destributed with a variance of 17.26 and standard deviation of 4.15. The mean deviation of HB Portfolio Limited is currently at 2.95. For similar time horizon, the selected benchmark (DOW) has volatility of 1.22
α
Alpha over DOW
=0.45
β
Beta against DOW=0.27
σ
Overall volatility
=4.15
Ir
Information ratio =0.08

HB Portfolio Return Volatility

HB Portfolio Limited accepts 4.1549% volatility on return distribution over the 30 days horizon. DOW inherits 1.1996% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

HB Portfolio Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

HB Portfolio Investment Opportunity

HB Portfolio Limited has a volatility of 4.15 and is 3.46 times more volatile than DOW. 37% of all equities and portfolios are less risky than HB Portfolio. Compared to the overall equity markets, volatility of historical daily returns of HB Portfolio Limited is lower than 37 (%) of all global equities and portfolios over the last 30 days. Use HB Portfolio Limited to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of HB Portfolio to be traded at 21.49 in 30 days. As returns on market increase, HB Portfolio returns are expected to increase less than the market. However during bear market, the loss on holding HB Portfolio will be expected to be smaller as well.

HB Portfolio correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding HB Portfolio Limited and equity matching DJI index in the same portfolio.

HB Portfolio Volatility Indicators

HB Portfolio Limited Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.
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