Independent News (Ireland) Risk Analysis And Volatility Evaluation

IPDC -- Ireland Stock  

EUR 0.1  0.002  2.13%

Macroaxis considers Independent News to be abnormally risky. Independent News Media holds Efficiency (Sharpe) Ratio of -0.1229 which attests that Independent News Media had -0.1229% 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. Independent News Media exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Independent News Market Risk Adjusted Performance of 0.6683 and Risk Adjusted Performance of 0.20 to validate risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Independent News Market Sensitivity

As returns on market increase, returns on owning Independent News are expected to decrease at a much smaller rate. During bear market, Independent News is likely to outperform the market.
One Month Beta |Analyze Independent News Media Demand Trend
Check current 30 days Independent News correlation with market (DOW)
β = -0.3668
Independent News Almost negative betaIndependent News Media Beta Legend

Independent News Media Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Independent News Media 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.

Projected Return Density Against Market

Assuming 30 trading days horizon, Independent News Media plc has beta of -0.3668 . This indicates as returns on benchmark increase, returns on holding Independent News are expected to decrease at a much smaller rate. During bear market, however, Independent News Media plc is likely to outperform the market. Additionally, Independent News Media plc 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 Independent News is -813.38. The daily returns are destributed with a variance of 2.23 and standard deviation of 1.49. The mean deviation of Independent News Media plc is currently at 0.91. For similar time horizon, the selected benchmark (DOW) has volatility of 0.46
α
Alpha over DOW
=0.2
β
Beta against DOW=0.37
σ
Overall volatility
=1.49
Ir
Information ratio =0.66

Actual Return Volatility

Independent News Media plc accepts 1.4934% volatility on return distribution over the 30 days horizon. DOW inherits 0.5115% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

Independent News Investment Opportunity
Independent News Media plc has a volatility of 1.49 and is 2.92 times more volatile than DOW. 13% of all equities and portfolios are less risky than Independent News. Compared to the overall equity markets, volatility of historical daily returns of Independent News Media plc is lower than 13 (%) of all global equities and portfolios over the last 30 days. Use Independent News Media plc to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of Independent News to be traded at €0.1152 in 30 days. As returns on market increase, returns on owning Independent News are expected to decrease at a much smaller rate. During bear market, Independent News is likely to outperform the market.

Independent News correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Independent News Media plc and equity matching DJI index in the same portfolio.
Please also check Risk vs Return Analysis. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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