Indian Oil (India) Risk Analysis And Volatility Evaluation

IOC -- India Stock  

INR 158.15  3.70  2.40%

We consider Indian Oil not too risky. Indian Oil Limited holds Efficiency (Sharpe) Ratio of 0.0341 which attests that Indian Oil Limited had 0.0341% 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 Indian Oil Limited which you can use to evaluate future volatility of the corporation. Please check out Indian Oil Market Risk Adjusted Performance of 0.1251 and Risk Adjusted Performance of 0.006684 to validate if risk estimate we provide are consistent with the epected return of 0.0466%.
Horizon     30 Days    Login   to change

Indian Oil Market Sensitivity

As returns on market increase, returns on owning Indian Oil are expected to decrease at a much smaller rate. During bear market, Indian Oil is likely to outperform the market.
One Month Beta |Analyze Indian Oil Limited Demand Trend
Check current 30 days Indian Oil correlation with market (DOW)
β = -0.6061
Indian Oil Almost negative betaIndian Oil Limited Beta Legend

Indian Oil Limited Technical Analysis

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

Indian Oil Projected Return Density Against Market

Assuming 30 trading days horizon, Indian Oil Corporation Limited has beta of -0.6061 . This indicates as returns on benchmark increase, returns on holding Indian Oil are expected to decrease at a much smaller rate. During bear market, however, Indian Oil Corporation Limited is likely to outperform the market. Additionally, Indian Oil Corporation 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 Indian Oil is 2929.28. The daily returns are destributed with a variance of 1.86 and standard deviation of 1.36. The mean deviation of Indian Oil Corporation Limited is currently at 0.86. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.01
β
Beta against DOW=0.61
σ
Overall volatility
=1.36
Ir
Information ratio =0.1

Indian Oil Return Volatility

Indian Oil Corporation Limited assumes 1.3646% volatility of returns over the 30 days investment horizon. DOW inherits 0.4208% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Indian Oil Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Slightly opposite to market

Investment Outlook

Indian Oil Investment Opportunity

Indian Oil Corporation Limited has a volatility of 1.36 and is 3.24 times more volatile than DOW. 12% of all equities and portfolios are less risky than Indian Oil. Compared to the overall equity markets, volatility of historical daily returns of Indian Oil Corporation Limited is lower than 12 (%) of all global equities and portfolios over the last 30 days. Use Indian Oil Corporation Limited to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of Indian Oil to be traded at 189.78 in 30 days. As returns on market increase, returns on owning Indian Oil are expected to decrease at a much smaller rate. During bear market, Indian Oil is likely to outperform the market.

Indian Oil correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Indian Oil Corp. Limited and equity matching DJI index in the same portfolio.

Indian Oil Volatility Indicators

Indian Oil Corporation Limited Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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