TATNEFT PJSC Risk Analysis And Volatility

OAOFY -- USA Stock  

USD 69.81  0.13  0.19%

Macroaxis considers TATNEFT PJSC to be very steady. TATNEFT PJSC owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.003 which indicates the company had -0.003% of return per unit of standard deviation over the last 3 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 Market Risk Adjusted Performance of (0.11), Risk Adjusted Performance of 0.0214 and Downside Deviation of 1.64 to confirm risk estimate we provide.

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Very Small

90 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.
3 Months Beta |Analyze TATNEFT PJSC Demand Trend
Check current 30 days TATNEFT PJSC correlation with market (DOW)
β = -0.185

TATNEFT PJSC Central Daily Price Deviation

TATNEFT PJSC Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. TATNEFT PJSC 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.

TATNEFT PJSC Projected Return Density Against Market

Assuming 30 trading days horizon, TATNEFT PJSC has beta of -0.185 . 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. Moreover, The company has an alpha of 0.0272 implying that it can potentially generate 0.0272% 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 TATNEFT PJSC is -33309.36. The daily returns are destributed with a variance of 2.76 and standard deviation of 1.66. The mean deviation of TATNEFT PJSC is currently at 1.08. For similar time horizon, the selected benchmark (DOW) has volatility of 0.9
α
Alpha over DOW
=0.0272
β
Beta against DOW=0.18
σ
Overall volatility
=1.66
Ir
Information ratio =0.0046

TATNEFT PJSC Return Volatility

the company shows 1.6603% volatility of returns over 30 trading days. the entity inherits 0.9088% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

TATNEFT PJSC Investment Opportunity

TATNEFT PJSC has a volatility of 1.66 and is 1.82 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 protect your portfolios against small markets fluctuations. The otc stock experiences normal downward fluctuation but is a risky buy. Check odds of TATNEFT PJSC to be traded at $69.11 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

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding TATNEFT PJSC and equity matching DJI index in the same portfolio.

TATNEFT PJSC Current Risk Indicators

TATNEFT PJSC Suggested Diversification Pairs

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