Natraj Proteins (India) Risk Analysis And Volatility Evaluation

NATRAJPR -- India Stock  

INR 35.00  0.00  0.00%

Macroaxis considers Natraj Proteins not too volatile given 1 month investment horizon. Natraj Proteins has Sharpe Ratio of 0.4636 which conveys that Natraj Proteins had 0.4636% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By analyzing Natraj Proteins technical indicators you can presently evaluate if the expected return of 0.8395% is justified by implied risk. Please exercise Natraj Proteins Ltd Mean Deviation of 1.31 and Risk Adjusted Performance of 0.2439 to check out if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Natraj Proteins Market Sensitivity

Natraj Proteins returns are very sensitive to returns on the market. As market goes up or down, Natraj Proteins is expected to follow.
One Month Beta |Analyze Natraj Proteins Demand Trend
Check current 30 days Natraj Proteins correlation with market (DOW)
β = 1.0303
Natraj Proteins llmost one BetaNatraj Proteins Beta Legend

Natraj Proteins Technical Analysis

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

Natraj Proteins Projected Return Density Against Market

Assuming 30 trading days horizon, the stock has beta coefficient of 1.0303 indicating Natraj Proteins Ltd market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Natraj Proteins is expected to follow. Moreover, Natraj Proteins Ltd has an alpha of 0.6684 implying that it can potentially generate 0.6684% 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 Natraj Proteins is 215.73. The daily returns are destributed with a variance of 3.28 and standard deviation of 1.81. The mean deviation of Natraj Proteins Ltd is currently at 1.37. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.67
β
Beta against DOW=1.03
σ
Overall volatility
=1.81
Ir
Information ratio =0.40

Natraj Proteins Return Volatility

Natraj Proteins Ltd accepts 1.8111% volatility on return distribution over the 30 days horizon. DOW inherits 0.4541% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Natraj Proteins Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

30 Days Economic Sensitivity

Almost mirrors market

Investment Outlook

Natraj Proteins Investment Opportunity

Natraj Proteins Ltd has a volatility of 1.81 and is 4.02 times more volatile than DOW. 16% of all equities and portfolios are less risky than Natraj Proteins. Compared to the overall equity markets, volatility of historical daily returns of Natraj Proteins Ltd is lower than 16 (%) of all global equities and portfolios over the last 30 days. Use Natraj Proteins Ltd 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 Natraj Proteins to be traded at 34.65 in 30 days. Natraj Proteins returns are very sensitive to returns on the market. As market goes up or down, Natraj Proteins is expected to follow.

Natraj Proteins correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Natraj Proteins Ltd and equity matching DJI index in the same portfolio.

Natraj Proteins Volatility Indicators

Natraj Proteins Ltd Current Risk Indicators

Please see also Stocks Correlation. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.
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