Mafatlal Industries (India) Risk Analysis And Volatility

MAFATIND -- India Stock  

INR 116.00  1.95  1.65%

Macroaxis considers Mafatlal Industries to be unknown risk. Mafatlal Industries has Sharpe Ratio of -0.151 which conveys that the firm had -0.151% 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. 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 1.2 and Risk Adjusted Performance of (0.20) to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Mafatlal Industries Market Sensitivity

As returns on market increase, returns on owning Mafatlal Industries are expected to decrease at a much smaller rate. During bear market, Mafatlal Industries is likely to outperform the market.
2 Months Beta |Analyze Mafatlal Industries Demand Trend
Check current 30 days Mafatlal Industries correlation with market (DOW)
β = -0.0684

Mafatlal Industries Central Daily Price Deviation

Mafatlal Industries Technical Analysis

Transformation
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Mafatlal Industries Projected Return Density Against Market

Assuming 30 trading days horizon, Mafatlal Industries Limited has beta of -0.0684 indicating as returns on benchmark increase, returns on holding Mafatlal Industries are expected to decrease at a much smaller rate. During bear market, however, Mafatlal Industries 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. Mafatlal Industries is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Mafatlal Industries is -662.18. The daily returns are destributed with a variance of 5.92 and standard deviation of 2.43. The mean deviation of Mafatlal Industries Limited is currently at 1.81. For similar time horizon, the selected benchmark (DOW) has volatility of 1.79
α
Alpha over DOW
=0.21
β
Beta against DOW=0.07
σ
Overall volatility
=2.43
Ir
Information ratio =0.15

Mafatlal Industries Return Volatility

the corporation accepts 2.4327% volatility on return distribution over the 30 days horizon. the entity inherits 1.9131% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Mafatlal Industries Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Mafatlal Industries Investment Opportunity

Mafatlal Industries Limited has a volatility of 2.43 and is 1.27 times more volatile than DOW. 22% 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 22 (%) of all global equities and portfolios over the last 30 days. Use Mafatlal Industries Limited to protect your portfolios against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Mafatlal Industries to be traded at 112.52 in 30 days. . As returns on market increase, returns on owning Mafatlal Industries are expected to decrease at a much smaller rate. During bear market, Mafatlal Industries is likely to outperform the market.

Mafatlal Industries correlation with market

correlation synergy
Good 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 Focused Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
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