IndusInd Bank (India) Risk Analysis And Volatility Evaluation

INDUSINDBK -- India Stock  

INR 1,805  71.20  3.80%

Macroaxis considers IndusInd Bank to be not too risky. IndusInd Bank Limited holds Efficiency (Sharpe) Ratio of -0.2488 which attests that IndusInd Bank Limited had -0.2488% of return per unit of risk over the last 1 month. Macroaxis philosophy 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. IndusInd Bank 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 IndusInd Bank Market Risk Adjusted Performance of 1.00 and Risk Adjusted Performance of 0.1 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

IndusInd Bank Market Sensitivity

As returns on market increase, IndusInd Bank returns are expected to increase less than the market. However during bear market, the loss on holding IndusInd Bank will be expected to be smaller as well.
One Month Beta |Analyze IndusInd Bank Limited Demand Trend
Check current 30 days IndusInd Bank correlation with market (DOW)
β = 0.4189
IndusInd Bank Small BetaIndusInd Bank Limited Beta Legend

IndusInd Bank Limited Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. IndusInd Bank 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.

IndusInd Bank Projected Return Density Against Market

Assuming 30 trading days horizon, IndusInd Bank has beta of 0.4189 . This indicates as returns on market go up, IndusInd Bank average returns are expected to increase less than the benchmark. However during bear market, the loss on holding IndusInd Bank Limited will be expected to be much smaller as well. Additionally, IndusInd Bank 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 IndusInd Bank is -401.89. The daily returns are destributed with a variance of 2.49 and standard deviation of 1.58. The mean deviation of IndusInd Bank Limited is currently at 1.23. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.46
β
Beta against DOW=0.42
σ
Overall volatility
=1.58
Ir
Information ratio =0.33

IndusInd Bank Return Volatility

IndusInd Bank Limited accepts 1.5793% volatility on return distribution over the 30 days horizon. DOW inherits 0.3947% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

IndusInd Bank Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Slowly supersedes market

Investment Outlook

IndusInd Bank Investment Opportunity

IndusInd Bank Limited has a volatility of 1.58 and is 4.05 times more volatile than DOW. 14% of all equities and portfolios are less risky than IndusInd Bank. Compared to the overall equity markets, volatility of historical daily returns of IndusInd Bank Limited is lower than 14 (%) of all global equities and portfolios over the last 30 days. Use IndusInd Bank Limited to protect against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of IndusInd Bank to be traded at 1732.46 in 30 days. As returns on market increase, IndusInd Bank returns are expected to increase less than the market. However during bear market, the loss on holding IndusInd Bank will be expected to be smaller as well.

IndusInd Bank correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding IndusInd Bank Limited and equity matching DJI index in the same portfolio.

IndusInd Bank Volatility Indicators

IndusInd Bank 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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