Kokuyo Camlin (India) Risk Analysis And Volatility Evaluation

KOKUYOCMLN -- India Stock  

INR 105.10  2.60  2.41%

Macroaxis considers Kokuyo Camlin to be unknown risk. Kokuyo Camlin Limited has Sharpe Ratio of -0.1492 which conveys that Kokuyo Camlin Limited had -0.1492% 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 Mean Deviation of 3.34 and Risk Adjusted Performance of 0.14 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Kokuyo Camlin Market Sensitivity

As returns on market increase, Kokuyo Camlin returns are expected to increase less than the market. However during bear market, the loss on holding Kokuyo Camlin will be expected to be smaller as well.
One Month Beta |Analyze Kokuyo Camlin Limited Demand Trend
Check current 30 days Kokuyo Camlin correlation with market (DOW)
β = 0.1055

Kokuyo Camlin Central Daily Price Deviation

Kokuyo Camlin Limited Technical Analysis

Transformation
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Kokuyo Camlin Projected Return Density Against Market

Assuming 30 trading days horizon, Kokuyo Camlin has beta of 0.1055 indicating as returns on market go up, Kokuyo Camlin average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Kokuyo Camlin Limited will be expected to be much smaller as well. Additionally, Kokuyo Camlin 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 Kokuyo Camlin is -670.03. The daily returns are destributed with a variance of 17.55 and standard deviation of 4.19. The mean deviation of Kokuyo Camlin Limited is currently at 2.93. For similar time horizon, the selected benchmark (DOW) has volatility of 1.24
α
Alpha over DOW
=0.57
β
Beta against DOW=0.11
σ
Overall volatility
=4.19
Ir
Information ratio =0.11

Kokuyo Camlin Return Volatility

Kokuyo Camlin Limited accepts 4.1891% volatility on return distribution over the 30 days horizon. DOW inherits 1.3198% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Kokuyo Camlin Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Kokuyo Camlin Investment Opportunity

Kokuyo Camlin Limited has a volatility of 4.19 and is 3.17 times more volatile than DOW. 37% 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 37 (%) of all global equities and portfolios over the last 30 days. Use Kokuyo Camlin Limited to protect against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Kokuyo Camlin to be traded at 100.9 in 30 days. As returns on market increase, Kokuyo Camlin returns are expected to increase less than the market. However during bear market, the loss on holding Kokuyo Camlin will be expected to be smaller as well.

Kokuyo Camlin correlation with market

correlation synergy
Significant 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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