IndusInd Bank (India) Risk Analysis And Volatility

INDUSINDBK -- India Stock  

INR 1,466  3.50  0.24%

Macroaxis considers IndusInd Bank to be not too risky. IndusInd Bank Limited holds Efficiency (Sharpe) Ratio of -0.1115 which attests that the entity had -0.1115% of return per unit of risk over the last 2 months. 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 1.72 and Risk Adjusted Performance of (0.27) to validate risk estimate we provide.
Horizon     30 Days    Login   to change

IndusInd Bank Market Sensitivity

As returns on market increase, returns on owning IndusInd Bank are expected to decrease at a much smaller rate. During bear market, IndusInd Bank is likely to outperform the market.
2 Months Beta |Analyze IndusInd Bank Limited Demand Trend
Check current 30 days IndusInd Bank correlation with market (DOW)
β = -0.1248

IndusInd Bank Central Daily Price Deviation

IndusInd Bank Limited Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. 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 Limited has beta of -0.1248 . This indicates as returns on benchmark increase, returns on holding IndusInd Bank are expected to decrease at a much smaller rate. During bear market, however, IndusInd Bank 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. IndusInd Bank Limited is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of IndusInd Bank is -896.49. The daily returns are destributed with a variance of 1.77 and standard deviation of 1.33. The mean deviation of IndusInd Bank Limited is currently at 0.99. For similar time horizon, the selected benchmark (DOW) has volatility of 1.74
α
Alpha over DOW
=0.18
β
Beta against DOW=0.12
σ
Overall volatility
=1.33
Ir
Information ratio =0.34

IndusInd Bank Return Volatility

the corporation accepts 1.3289% volatility on return distribution over the 30 days horizon. the entity inherits 1.5638% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

IndusInd Bank Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Moves indifferently to market moves

Investment Outlook

IndusInd Bank Investment Opportunity

DOW has a standard deviation of returns of 1.56 and is 1.17 times more volatile than IndusInd Bank Limited. 12% 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 12 (%) of all global equities and portfolios over the last 30 days. Use IndusInd Bank Limited to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of IndusInd Bank to be traded at 1539.62 in 30 days. . As returns on market increase, returns on owning IndusInd Bank are expected to decrease at a much smaller rate. During bear market, IndusInd Bank is likely to outperform the market.

IndusInd Bank correlation with market

correlation synergy
Good 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 Commodity Channel Index module to use commodity channel index to analyze current equity momentum.
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