Metkore Alloys (India) Risk Analysis And Volatility Evaluation

METKORE -- India Stock  

INR 1.52  0.00  0.00%

Macroaxis considers Metkore Alloys to be unknown risk. Metkore Alloys Indus has Sharpe Ratio of -0.1462 which conveys that Metkore Alloys Indus had -0.1462% 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. Metkore Alloys exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Metkore Alloys Industries Limited Mean Deviation of 1.35 and Risk Adjusted Performance of 0.1432 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Metkore Alloys Market Sensitivity

As returns on market increase, returns on owning Metkore Alloys are expected to decrease at a much smaller rate. During bear market, Metkore Alloys is likely to outperform the market.
One Month Beta |Analyze Metkore Alloys Indus Demand Trend
Check current 30 days Metkore Alloys correlation with market (DOW)
β = -0.2183

Metkore Alloys Central Daily Price Deviation

Metkore Alloys Indus Technical Analysis

Transformation
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Metkore Alloys Projected Return Density Against Market

Assuming 30 trading days horizon, Metkore Alloys Industries Limited has beta of -0.2183 indicating as returns on benchmark increase, returns on holding Metkore Alloys are expected to decrease at a much smaller rate. During bear market, however, Metkore Alloys Industries Limited is likely to outperform the market. Moreover, Metkore Alloys Industries Limited has an alpha of 0.2715 implying that it can potentially generate 0.2715% 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 Metkore Alloys is -684.14. The daily returns are destributed with a variance of 4.88 and standard deviation of 2.21. The mean deviation of Metkore Alloys Industries Limited is currently at 1.26. For similar time horizon, the selected benchmark (DOW) has volatility of 1.24
α
Alpha over DOW
=0.27
β
Beta against DOW=0.22
σ
Overall volatility
=2.21
Ir
Information ratio =0.14

Metkore Alloys Return Volatility

Metkore Alloys Industries Limited accepts 2.2101% 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

Metkore Alloys Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Metkore Alloys Investment Opportunity

Metkore Alloys Industries Limited has a volatility of 2.21 and is 1.67 times more volatile than DOW. 20% of all equities and portfolios are less risky than Metkore Alloys. Compared to the overall equity markets, volatility of historical daily returns of Metkore Alloys Industries Limited is lower than 20 (%) of all global equities and portfolios over the last 30 days. Use Metkore Alloys Industries Limited to protect against small markets fluctuations. The stock experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Metkore Alloys to be traded at 1.5048 in 30 days. As returns on market increase, returns on owning Metkore Alloys are expected to decrease at a much smaller rate. During bear market, Metkore Alloys is likely to outperform the market.

Metkore Alloys correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Metkore Alloys Industries Limi and equity matching DJI index in the same portfolio.

Metkore Alloys Volatility Indicators

Metkore Alloys Industries Limited Current Risk Indicators

Please see also Stocks Correlation. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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