Kokuyo Camlin (India) Risk Analysis And Volatility

KOKUYOCMLN -- India Stock  

INR 96.00  3.05  3.08%

Macroaxis considers Kokuyo Camlin to be unknown risk. Kokuyo Camlin Limited has Sharpe Ratio of -0.2973 which conveys that the firm had -0.2973% of return per unit of risk over the last 2 months. 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 1.34 and Risk Adjusted Performance of (0.23) to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Kokuyo Camlin Market Sensitivity

As returns on market increase, returns on owning Kokuyo Camlin are expected to decrease at a much smaller rate. During bear market, Kokuyo Camlin is likely to outperform the market.
2 Months Beta |Analyze Kokuyo Camlin Limited Demand Trend
Check current 30 days Kokuyo Camlin correlation with market (DOW)
β = -0.0816

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 Limited has beta of -0.0816 indicating as returns on benchmark increase, returns on holding Kokuyo Camlin are expected to decrease at a much smaller rate. During bear market, however, Kokuyo Camlin Limited is likely to outperform the market. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Kokuyo Camlin Limited is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Kokuyo Camlin is -336.32. The daily returns are destributed with a variance of 3.81 and standard deviation of 1.95. The mean deviation of Kokuyo Camlin Limited is currently at 1.36. For similar time horizon, the selected benchmark (DOW) has volatility of 1.79
α
Alpha over DOW
=0.24
β
Beta against DOW=0.08
σ
Overall volatility
=1.95
Ir
Information ratio =0.17

Kokuyo Camlin Return Volatility

the company accepts 1.9527% volatility on return distribution over the 30 days horizon. the entity inherits 1.9% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Kokuyo Camlin Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Kokuyo Camlin Investment Opportunity

Kokuyo Camlin Limited has a volatility of 1.95 and is 1.03 times more volatile than DOW. 17% 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 17 (%) of all global equities and portfolios over the last 30 days. Use Kokuyo Camlin Limited to protect your portfolios 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 92.16 in 30 days. . As returns on market increase, returns on owning Kokuyo Camlin are expected to decrease at a much smaller rate. During bear market, Kokuyo Camlin is likely to outperform the market.

Kokuyo Camlin correlation with market

correlation synergy
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

Please see also Stocks Correlation. Please also try Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.
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