IITL PROJECTS (India) Risk Analysis And Volatility

IITLPROJ -- India Stock  

INR 21.80  0.00  0.00%

Macroaxis considers IITL PROJECTS to be not very risky. IITL PROJECTS LIMITED holds Efficiency (Sharpe) Ratio of -0.3216 which attests that the entity had -0.3216% of return per unit of volatility over the last 2 months. Macroaxis approach towards 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. IITL PROJECTS LIMITED exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out IITL PROJECTS Market Risk Adjusted Performance of 17.03 and Risk Adjusted Performance of (0.53) to validate risk estimate we provide.
Horizon     30 Days    Login   to change

IITL PROJECTS Market Sensitivity

As returns on market increase, returns on owning IITL PROJECTS are expected to decrease at a much smaller rate. During bear market, IITL PROJECTS is likely to outperform the market.
2 Months Beta |Analyze IITL PROJECTS LIMITED Demand Trend
Check current 30 days IITL PROJECTS correlation with market (DOW)
β = -0.0324

IITL PROJECTS Central Daily Price Deviation

IITL PROJECTS LIMITED Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. IITL PROJECTS LIMITED 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.

IITL PROJECTS Projected Return Density Against Market

Assuming 30 trading days horizon, IITL PROJECTS LIMITED has beta of -0.0324 . This indicates as returns on benchmark increase, returns on holding IITL PROJECTS are expected to decrease at a much smaller rate. During bear market, however, IITL PROJECTS LIMITED is likely to outperform the market. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. IITL PROJECTS LIMITED is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of IITL PROJECTS is -310.96. The daily returns are destributed with a variance of 4.01 and standard deviation of 2.0. The mean deviation of IITL PROJECTS LIMITED is currently at 1.15. For similar time horizon, the selected benchmark (DOW) has volatility of 1.79
α
Alpha over DOW
=0.55
β
Beta against DOW=0.03
σ
Overall volatility
=2.00
Ir
Information ratio =0.34

IITL PROJECTS Return Volatility

the corporation accepts 2.0027% volatility on return distribution over the 30 days horizon. the entity inherits 1.8781% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

IITL PROJECTS Volatility Factors

60 Days Market Risk

Not very risky

Chance of Distress in 24 months

High

60 Days Economic Sensitivity

Moves indifferently to market moves

Investment Outlook

IITL PROJECTS Investment Opportunity

IITL PROJECTS LIMITED has a volatility of 2.0 and is 1.06 times more volatile than DOW. 18% of all equities and portfolios are less risky than IITL PROJECTS. Compared to the overall equity markets, volatility of historical daily returns of IITL PROJECTS LIMITED is lower than 18 (%) of all global equities and portfolios over the last 30 days. Use IITL PROJECTS LIMITED to protect your portfolios against small markets fluctuations. The stock experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of IITL PROJECTS to be traded at 21.58 in 30 days. . As returns on market increase, returns on owning IITL PROJECTS are expected to decrease at a much smaller rate. During bear market, IITL PROJECTS is likely to outperform the market.

IITL PROJECTS correlation with market

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

IITL PROJECTS Volatility Indicators

IITL PROJECTS LIMITED Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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