Mafatlal Industries (India) Risk Analysis And Volatility Evaluation

MAFATIND -- India Stock  

INR 197.85  3.75  1.93%

Macroaxis considers Mafatlal Industries to be not too risky. Mafatlal Industries has Sharpe Ratio of -0.0963 which conveys that Mafatlal Industries had -0.0963% 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. Mafatlal Industries exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Mafatlal Industries Limited Mean Deviation of 0.7762 and Risk Adjusted Performance of 0.07 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Mafatlal Industries Market Sensitivity

As returns on market increase, Mafatlal Industries returns are expected to increase less than the market. However during bear market, the loss on holding Mafatlal Industries will be expected to be smaller as well.
One Month Beta |Analyze Mafatlal Industries Demand Trend
Check current 30 days Mafatlal Industries correlation with market (DOW)
β = 0.4503
Mafatlal Industries Small BetaMafatlal Industries Beta Legend

Mafatlal Industries Technical Analysis

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

Mafatlal Industries Projected Return Density Against Market

Assuming 30 trading days horizon, Mafatlal Industries has beta of 0.4503 indicating as returns on market go up, Mafatlal Industries average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Mafatlal Industries Limited will be expected to be much smaller as well. Additionally, Mafatlal Industries 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 Mafatlal Industries is -1038.63. The daily returns are destributed with a variance of 7.4 and standard deviation of 2.72. The mean deviation of Mafatlal Industries Limited is currently at 1.94. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.29
β
Beta against DOW=0.45
σ
Overall volatility
=2.72
Ir
Information ratio =0.28

Mafatlal Industries Return Volatility

Mafatlal Industries Limited accepts 2.7202% volatility on return distribution over the 30 days horizon. DOW inherits 0.3947% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Mafatlal Industries Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Slowly supersedes market

Investment Outlook

Mafatlal Industries Investment Opportunity

Mafatlal Industries Limited has a volatility of 2.72 and is 6.97 times more volatile than DOW. 24% of all equities and portfolios are less risky than Mafatlal Industries. Compared to the overall equity markets, volatility of historical daily returns of Mafatlal Industries Limited is lower than 24 (%) of all global equities and portfolios over the last 30 days. Use Mafatlal Industries Limited to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Mafatlal Industries to be traded at 217.64 in 30 days. As returns on market increase, Mafatlal Industries returns are expected to increase less than the market. However during bear market, the loss on holding Mafatlal Industries will be expected to be smaller as well.

Mafatlal Industries correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Mafatlal Industries Limited and equity matching DJI index in the same portfolio.

Mafatlal Industries Volatility Indicators

Mafatlal Industries Limited Current Risk Indicators

Please see also Stocks Correlation. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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