Mercator (India) Risk Analysis And Volatility Evaluation

MERCATOR -- India Stock  

INR 16.65  1.40  9.18%

Mercator is relatively risky given 1 month investment horizon. Mercator Limited has Sharpe Ratio of 0.4469 which conveys that Mercator Limited had 0.4469% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a stock is to use Mercator Limited market data together with company specific technical indicators. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 2.7145% are justified by taking the suggested risk. Use Mercator Limited Downside Deviation of 5.84, Mean Deviation of 4.81 and Risk Adjusted Performance of 0.2187 to evaluate company specific risk that cannot be diversified away.
Horizon     30 Days    Login   to change

Mercator Market Sensitivity

As returns on market increase, Mercator returns are expected to increase less than the market. However during bear market, the loss on holding Mercator will be expected to be smaller as well.
One Month Beta |Analyze Mercator Limited Demand Trend
Check current 30 days Mercator correlation with market (DOW)
β = 0.4022

Mercator Central Daily Price Deviation

Mercator Limited Technical Analysis

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

Mercator Projected Return Density Against Market

Assuming 30 trading days horizon, Mercator has beta of 0.4022 indicating as returns on market go up, Mercator average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Mercator Limited will be expected to be much smaller as well. In addition to that, Mercator Limited has an alpha of 1.0749 implying that it can potentially generate 1.0749% 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 Mercator is 223.75. The daily returns are destributed with a variance of 36.89 and standard deviation of 6.07. The mean deviation of Mercator Limited is currently at 4.98. For similar time horizon, the selected benchmark (DOW) has volatility of 1.24
α
Alpha over DOW
=1.07
β
Beta against DOW=0.40
σ
Overall volatility
=6.07
Ir
Information ratio =0.18

Mercator Return Volatility

Mercator Limited accepts 6.0739% 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

Mercator Volatility Factors

30 Days Market Risk

Relatively risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Slowly supersedes market

Investment Outlook

Mercator Investment Opportunity

Mercator Limited has a volatility of 6.07 and is 4.6 times more volatile than DOW. 55% of all equities and portfolios are less risky than Mercator. Compared to the overall equity markets, volatility of historical daily returns of Mercator Limited is higher than 55 (%) of all global equities and portfolios over the last 30 days. Use Mercator Limited to enhance returns of your portfolios. The stock experiences very speculative upward sentiment.. Check odds of Mercator to be traded at 20.81 in 30 days. As returns on market increase, Mercator returns are expected to increase less than the market. However during bear market, the loss on holding Mercator will be expected to be smaller as well.

Mercator correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Mercator Limited and equity matching DJI index in the same portfolio.

Mercator Volatility Indicators

Mercator Limited Current Risk Indicators

Please see also Stocks Correlation. Please also try Headlines Timeline module to stay connected to all market stories and filter out noise. drill down to analyze hype elasticity.
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