Hind Rectifiers (India) Risk Analysis And Volatility Evaluation

HIRECT -- India Stock  

INR 120.75  3.05  2.46%

Macroaxis considers Hind Rectifiers unknown risk given 1 month investment horizon. Hind Rectifiers Limited holds Efficiency (Sharpe) Ratio of 0.1816 which attests that Hind Rectifiers Limited had 0.1816% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By evaluating Hind Rectifiers Limited technical indicators you can presently evaluate if the expected return of 0.8982% is justified by implied risk. Please utilize Hind Rectifiers Downside Deviation of 3.58, Market Risk Adjusted Performance of 1.24 and Risk Adjusted Performance of 0.0684 to validate if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Hind Rectifiers Market Sensitivity

As returns on market increase, returns on owning Hind Rectifiers are expected to decrease at a much smaller rate. During bear market, Hind Rectifiers is likely to outperform the market.
One Month Beta |Analyze Hind Rectifiers Limited Demand Trend
Check current 30 days Hind Rectifiers correlation with market (DOW)
β = -0.1728

Hind Rectifiers Central Daily Price Deviation

Hind Rectifiers Limited Technical Analysis

Transformation
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Hind Rectifiers Projected Return Density Against Market

Assuming 30 trading days horizon, Hind Rectifiers Limited has beta of -0.1728 . This indicates as returns on benchmark increase, returns on holding Hind Rectifiers are expected to decrease at a much smaller rate. During bear market, however, Hind Rectifiers Limited is likely to outperform the market. Moreover, Hind Rectifiers Limited has an alpha of 0.2159 implying that it can potentially generate 0.2159% 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 Hind Rectifiers is 550.61. The daily returns are destributed with a variance of 24.46 and standard deviation of 4.95. The mean deviation of Hind Rectifiers Limited is currently at 3.22. For similar time horizon, the selected benchmark (DOW) has volatility of 1.2
α
Alpha over DOW
=0.22
β
Beta against DOW=0.17
σ
Overall volatility
=4.95
Ir
Information ratio =0.0481

Hind Rectifiers Return Volatility

Hind Rectifiers Limited accepts 4.9458% volatility on return distribution over the 30 days horizon. DOW inherits 1.2203% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Hind Rectifiers Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Hind Rectifiers Investment Opportunity

Hind Rectifiers Limited has a volatility of 4.95 and is 4.06 times more volatile than DOW. 44% of all equities and portfolios are less risky than Hind Rectifiers. Compared to the overall equity markets, volatility of historical daily returns of Hind Rectifiers Limited is lower than 44 (%) of all global equities and portfolios over the last 30 days. Use Hind Rectifiers Limited to protect against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Hind Rectifiers to be traded at 115.92 in 30 days. As returns on market increase, returns on owning Hind Rectifiers are expected to decrease at a much smaller rate. During bear market, Hind Rectifiers is likely to outperform the market.

Hind Rectifiers correlation with market

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

Hind Rectifiers Volatility Indicators

Hind Rectifiers Limited Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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