Indian Oil (India) Risk Analysis And Volatility Evaluation

IOC -- India Stock  

INR 147.45  12.40  9.18%

Macroaxis considers Indian Oil unknown risk given 1 month investment horizon. Indian Oil Limited holds Efficiency (Sharpe) Ratio of 0.2236 which attests that Indian Oil Limited had 0.2236% 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. By evaluating Indian Oil Limited technical indicators you can presently evaluate if the expected return of 0.922% is justified by implied risk. Please utilize Indian Oil Downside Deviation of 3.89, Market Risk Adjusted Performance of 0.8318 and Risk Adjusted Performance of 0.3075 to validate if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Indian Oil Market Sensitivity

Indian Oil returns are very sensitive to returns on the market. As market goes up or down, Indian Oil is expected to follow.
One Month Beta |Analyze Indian Oil Limited Demand Trend
Check current 30 days Indian Oil correlation with market (DOW)
β = 1.0884

Indian Oil Central Daily Price Deviation

Indian Oil Limited Technical Analysis

Transformation
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Indian Oil Projected Return Density Against Market

Assuming 30 trading days horizon, the stock has beta coefficient of 1.0884 . This indicates Indian Oil Corporation Limited market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Indian Oil is expected to follow. Moreover, Indian Oil Corporation Limited has an alpha of 0.9785 implying that it can potentially generate 0.9785% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Indian Oil is 447.14. The daily returns are destributed with a variance of 16.99 and standard deviation of 4.12. The mean deviation of Indian Oil Corporation Limited is currently at 3.11. For similar time horizon, the selected benchmark (DOW) has volatility of 1.22
α
Alpha over DOW
=0.98
β
Beta against DOW=1.09
σ
Overall volatility
=4.12
Ir
Information ratio =0.26

Indian Oil Return Volatility

Indian Oil Corporation Limited assumes 4.1224% volatility of returns over the 30 days investment horizon. DOW inherits 1.225% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Indian Oil Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Indian Oil Investment Opportunity

Indian Oil Corporation Limited has a volatility of 4.12 and is 3.35 times more volatile than DOW. 37% 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 37 (%) 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 very speculative upward sentiment.. Check odds of Indian Oil to be traded at 184.31 in 30 days. Indian Oil returns are very sensitive to returns on the market. As market goes up or down, Indian Oil is expected to follow.

Indian Oil correlation with market

correlation synergy
Weak 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 Instant Ratings module to determine any equity ratings based on digital recommendations. macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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