Kokuyo Camlin (India) Risk Analysis And Volatility Evaluation

KOKUYOCMLN -- India Stock  

INR 138.35  1.85  1.32%

Macroaxis considers Kokuyo Camlin to be not too risky. Kokuyo Camlin Limited has Sharpe Ratio of -0.0498 which conveys that Kokuyo Camlin Limited had -0.0498% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating 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. Kokuyo Camlin exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Kokuyo Camlin Limited Downside Deviation of 2.0, Mean Deviation of 1.39 and Risk Adjusted Performance of 0.1363 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Kokuyo Camlin Market Sensitivity

One Month Beta |Analyze Kokuyo Camlin Limited Demand Trend
Check current 30 days Kokuyo Camlin correlation with market (DOW)
β = -0.9114
Kokuyo Camlin llmost one BetaKokuyo Camlin Limited Beta Legend

Kokuyo Camlin Limited Technical Analysis

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

Kokuyo Camlin Projected Return Density Against Market

Assuming 30 trading days horizon, Kokuyo Camlin Limited has beta of -0.9114 indicating Moreover, Kokuyo Camlin Limited has an alpha of 0.6797 implying that it can potentially generate 0.6797% 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 Kokuyo Camlin is -2008.25. The daily returns are destributed with a variance of 2.68 and standard deviation of 1.64. The mean deviation of Kokuyo Camlin Limited is currently at 1.23. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.68
β
Beta against DOW=0.91
σ
Overall volatility
=1.64
Ir
Information ratio =0.19

Kokuyo Camlin Return Volatility

Kokuyo Camlin Limited accepts 1.6365% volatility on return distribution over the 30 days horizon. DOW inherits 0.4529% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Kokuyo Camlin Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Very low

30 Days Economic Sensitivity

Totally opposite to market

Investment Outlook

Kokuyo Camlin Investment Opportunity

Kokuyo Camlin Limited has a volatility of 1.64 and is 3.64 times more volatile than DOW. 14% of all equities and portfolios are less risky than Kokuyo Camlin. Compared to the overall equity markets, volatility of historical daily returns of Kokuyo Camlin Limited is lower than 14 (%) of all global equities and portfolios over the last 30 days. Use Kokuyo Camlin Limited to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Kokuyo Camlin to be traded at 134.2 in 30 days.

Kokuyo Camlin correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Kokuyo Camlin Limited and equity matching DJI index in the same portfolio.

Kokuyo Camlin Volatility Indicators

Kokuyo Camlin Limited Current Risk Indicators

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