IndusInd Bank (India) Risk Analysis And Volatility Evaluation

INDUSINDBK -- India Stock  

INR 1,501  17.90  1.18%

Macroaxis considers IndusInd Bank unknown risk given 1 month investment horizon. IndusInd Bank Limited holds Efficiency (Sharpe) Ratio of 0.0801 which attests that IndusInd Bank Limited had 0.0801% 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. We have found twenty-one technical indicators for IndusInd Bank Limited which you can use to evaluate future volatility of the corporation. Please utilize IndusInd Bank Market Risk Adjusted Performance of 0.2298 and Risk Adjusted Performance of 0.07 to validate if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

IndusInd Bank Market Sensitivity

IndusInd Bank Limited Technical Analysis

Transformation
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IndusInd Bank Projected Return Density Against Market

Assuming 30 trading days horizon, IndusInd Bank Limited has beta of -1.1337 . This indicates 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 1248.63. The daily returns are destributed with a variance of 16.63 and standard deviation of 4.08. The mean deviation of IndusInd Bank Limited is currently at 2.87. For similar time horizon, the selected benchmark (DOW) has volatility of 1.24
α
Alpha over DOW
=0.34
β
Beta against DOW=1.13
σ
Overall volatility
=4.08
Ir
Information ratio =0.04

IndusInd Bank Return Volatility

IndusInd Bank Limited accepts 4.0777% volatility on return distribution over the 30 days horizon. DOW inherits 1.2989% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

IndusInd Bank Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

IndusInd Bank Investment Opportunity

IndusInd Bank Limited has a volatility of 4.08 and is 3.14 times more volatile than DOW. 36% 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 36 (%) of all global equities and portfolios over the last 30 days. Use IndusInd Bank Limited to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of IndusInd Bank to be traded at 1456.07 in 30 days.

IndusInd Bank correlation with market

correlation synergy
Very 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 CEO Directory module to screen ceos from public companies around the world.
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