Macroaxis considers TATNEFT PJSC to be very steady. TATNEFT PJSC owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.141 which indicates the company had -0.141% of return per unit of standard deviation over the last 2 months. Macroaxis approach into measuring 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. TATNEFT PJSC exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate TATNEFT PJSC Risk Adjusted Performance of
(0.16) and Market Risk Adjusted Performance of 3.61 to confirm risk estimate we provide.
60 Days Market Risk
Chance of Distress in 24 months
60 Days Economic Sensitivity
Moves indifferently to market moves
|Horizon||30 Days Login to change|
TATNEFT PJSC Market Sensitivity
|As returns on market increase, returns on owning TATNEFT PJSC are expected to decrease at a much smaller rate. During bear market, TATNEFT PJSC is likely to outperform the market. 2 Months Beta |Analyze TATNEFT PJSC Demand TrendCheck current 30 days TATNEFT PJSC correlation with market (DOW)|
β = -0.0736
TATNEFT PJSC Central Daily Price Deviation
TATNEFT PJSC Technical Analysis
TATNEFT PJSC Projected Return Density Against MarketAssuming 30 trading days horizon, TATNEFT PJSC has beta of -0.0736 . This implies as returns on benchmark increase, returns on holding TATNEFT PJSC are expected to decrease at a much smaller rate. During bear market, however, TATNEFT PJSC 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. TATNEFT PJSC is significantly underperforming DOW.
Predicted Return Density
Assuming 30 trading days horizon, the coefficient of variation of TATNEFT PJSC is -709.34. The daily returns are destributed with a variance of 2.63 and standard deviation of 1.62. The mean deviation of TATNEFT PJSC is currently at 1.22. For similar time horizon, the selected benchmark (DOW) has volatility of 0.98
|Alpha over DOW||=||0.27|
|Beta against DOW||=||0.07|
TATNEFT PJSC Return Volatilitythe company shows 1.6202% volatility of returns over 30 trading days. the entity inherits 1.0676% risk (volatility on return distribution) over the 30 days horizon.
TATNEFT PJSC Investment Opportunity
TATNEFT PJSC has a volatility of 1.62 and is 1.51 times more volatile than DOW. 14% of all equities and portfolios are less risky than TATNEFT PJSC. Compared to the overall equity markets, volatility of historical daily returns of TATNEFT PJSC is lower than 14 (%) of all global equities and portfolios over the last 30 days. Use TATNEFT PJSC to enhance returns of your portfolios. The otc stock experiences normal upward fluctuation. Check odds of TATNEFT PJSC to be traded at $68.81 in 30 days. . As returns on market increase, returns on owning TATNEFT PJSC are expected to decrease at a much smaller rate. During bear market, TATNEFT PJSC is likely to outperform the market.
TATNEFT PJSC correlation with market
TATNEFT PJSC Current Risk Indicators
|Risk Adjusted Performance||(0.16)|
|Market Risk Adjusted Performance||3.61|
|Coefficient Of Variation||(616.54)|
TATNEFT PJSC Suggested Diversification Pairs