MRF (India) Risk Analysis And Volatility Evaluation

MRF -- India Stock  

INR 66,791  868.45  1.32%

Macroaxis considers MRF to be not too risky. MRF Limited has Sharpe Ratio of -0.5164 which conveys that MRF Limited had -0.5164% of return per unit of risk over the last 1 month. Macroaxis philosophy in 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. MRF exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify MRF Limited Mean Deviation of 0.8271 and Risk Adjusted Performance of 0.01 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

MRF Limited Technical Analysis

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

MRF Projected Return Density Against Market

Assuming 30 trading days horizon, MRF has beta of 0.0 indicating unless we do not have required data, the returns on DOW and MRF are completely uncorrelated. Furthermore, MRF LimitedIt does not look like MRF alpha can have any bearing on the equity current valuation.
Assuming 30 trading days horizon, the coefficient of variation of MRF is -193.66. The daily returns are destributed with a variance of 1.38 and standard deviation of 1.18. The mean deviation of MRF Limited is currently at 0.91. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=1.18
Ir
Information ratio =0.00

MRF Return Volatility

MRF Limited assumes 1.176% volatility of returns over the 30 days investment horizon. DOW inherits 0.0% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

MRF Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

MRF Investment Opportunity

MRF Limited has a volatility of 1.18 and is 2.62 times more volatile than DOW. 10% of all equities and portfolios are less risky than MRF. Compared to the overall equity markets, volatility of historical daily returns of MRF Limited is lower than 10 (%) of all global equities and portfolios over the last 30 days.

MRF Volatility Indicators

MRF Limited Current Risk Indicators

Please see also Stocks Correlation. Please also try Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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