MRF (India) Risk Analysis And Volatility Evaluation

MRF -- India Stock  

INR 65,908  82.20  0.12%

Macroaxis considers MRF unknown risk given 1 month investment horizon. MRF Limited has Sharpe Ratio of 0.4179 which conveys that MRF Limited had 0.4179% of return per unit of risk over the last 1 month. Our philosophy in estimating volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for MRF which you can use to evaluate future volatility of the firm. Please exercise MRF Limited Mean Deviation of 1.04 and Risk Adjusted Performance of 0.3485 to check out if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

MRF Market Sensitivity

As returns on market increase, MRF returns are expected to increase less than the market. However during bear market, the loss on holding MRF will be expected to be smaller as well.
One Month Beta |Analyze MRF Limited Demand Trend
Check current 30 days MRF correlation with market (DOW)
β = 0.1561

MRF Central Daily Price Deviation

MRF Limited Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

MRF Projected Return Density Against Market

Assuming 30 trading days horizon, MRF has beta of 0.1561 indicating as returns on market go up, MRF average returns are expected to increase less than the benchmark. However during bear market, the loss on holding MRF Limited will be expected to be much smaller as well. Moreover, MRF Limited has an alpha of 0.3803 implying that it can potentially generate 0.3803% 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 MRF is 239.27. The daily returns are destributed with a variance of 1.03 and standard deviation of 1.01. The mean deviation of MRF Limited is currently at 0.78. For similar time horizon, the selected benchmark (DOW) has volatility of 1.22
α
Alpha over DOW
=0.38
β
Beta against DOW=0.16
σ
Overall volatility
=1.01
Ir
Information ratio =0.34

MRF Return Volatility

MRF Limited assumes 1.0129% volatility of returns over the 30 days investment horizon. DOW inherits 1.1967% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

MRF Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

MRF Investment Opportunity

DOW has a standard deviation of returns of 1.2 and is 1.19 times more volatile than MRF Limited. 9% 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 9 (%) of all global equities and portfolios over the last 30 days. Use MRF Limited to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of MRF to be traded at 69203.4 in 30 days. As returns on market increase, MRF returns are expected to increase less than the market. However during bear market, the loss on holding MRF will be expected to be smaller as well.

MRF correlation with market

correlation synergy
Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding MRF Limited and equity matching DJI index in the same portfolio.
Please see also Stocks Correlation. Please also try Portfolio Manager module to state of the art portfolio manager to monitor and improve performance of your invested capital.
Search macroaxis.com