MRF (India) Risk Analysis And Volatility

MRF -- India Stock  

INR 55,190  1,119  2.07%

Macroaxis considers MRF to be not too risky. MRF Limited has Sharpe Ratio of -0.4548 which conveys that the firm had -0.4548% of return per unit of risk over the last 2 months. 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 Risk Adjusted Performance of (0.40) and Mean Deviation of 0.9592 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

MRF Market Sensitivity

As returns on market increase, returns on owning MRF are expected to decrease at a much smaller rate. During bear market, MRF is likely to outperform the market.
2 Months Beta |Analyze MRF Limited Demand Trend
Check current 30 days MRF correlation with market (DOW)
β = -0.0211

MRF Central Daily Price Deviation

MRF Limited Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. 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 Limited has beta of -0.0211 indicating as returns on benchmark increase, returns on holding MRF are expected to decrease at a much smaller rate. During bear market, however, MRF 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. MRF Limited is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of MRF is -219.86. The daily returns are destributed with a variance of 1.74 and standard deviation of 1.32. The mean deviation of MRF Limited is currently at 0.85. For similar time horizon, the selected benchmark (DOW) has volatility of 1.79
α
Alpha over DOW
=0.37
β
Beta against DOW=0.02
σ
Overall volatility
=1.32
Ir
Information ratio =0.27

MRF Return Volatility

the corporation assumes 1.3203% volatility of returns over the 30 days investment horizon. the entity inherits 1.9131% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

MRF Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Very Small

60 Days Economic Sensitivity

Moves indifferently to market moves

Investment Outlook

MRF Investment Opportunity

DOW has a standard deviation of returns of 1.91 and is 1.45 times more volatile than MRF Limited. 12% 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 12 (%) of all global equities and portfolios over the last 30 days. Use MRF Limited to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of MRF to be traded at 66228.3 in 30 days. . As returns on market increase, returns on owning MRF are expected to decrease at a much smaller rate. During bear market, MRF is likely to outperform the market.

MRF correlation with market

correlation synergy
Good 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.

MRF Volatility Indicators

MRF Limited Current Risk Indicators

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