PENNAR ALUMINIUM (India) Risk Analysis And Volatility Evaluation

PENNARALUM -- India Stock  

INR 0.19  0.00  0.00%

Our approach towards forecasting 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 PENNAR ALUMINIUM LTD which you can use to evaluate future volatility of the company. Please check PENNAR ALUMINIUM LTD Risk Adjusted Performance of 0.26 to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

PENNAR ALUMINIUM Market Sensitivity

As returns on market increase, PENNAR ALUMINIUM returns are expected to increase less than the market. However during bear market, the loss on holding PENNAR ALUMINIUM will be expected to be smaller as well.
One Month Beta |Analyze PENNAR ALUMINIUM LTD Demand Trend
Check current 30 days PENNAR ALUMINIUM correlation with market (DOW)
β = 0.1922

PENNAR ALUMINIUM Central Daily Price Deviation

PENNAR ALUMINIUM LTD Technical Analysis

Transformation
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PENNAR ALUMINIUM Projected Return Density Against Market

Assuming 30 trading days horizon, PENNAR ALUMINIUM has beta of 0.1922 . This implies as returns on market go up, PENNAR ALUMINIUM average returns are expected to increase less than the benchmark. However during bear market, the loss on holding PENNAR ALUMINIUM LTD will be expected to be much smaller as well. Additionally, PENNAR ALUMINIUM LTD has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.22
β
Beta against DOW=0.19
σ
Overall volatility
=0.00
Ir
Information ratio =0.15

PENNAR ALUMINIUM Return Volatility

PENNAR ALUMINIUM LTD accepts 0.0% volatility on return distribution over the 30 days horizon. DOW inherits 1.1996% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

PENNAR ALUMINIUM Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

PENNAR ALUMINIUM Investment Opportunity

DOW has a standard deviation of returns of 1.2 and is 9.223372036854776E16 times more volatile than PENNAR ALUMINIUM LTD. 0% of all equities and portfolios are less risky than PENNAR ALUMINIUM. Compared to the overall equity markets, volatility of historical daily returns of PENNAR ALUMINIUM LTD is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use PENNAR ALUMINIUM 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 PENNAR ALUMINIUM to be traded at 0.1881 in 30 days. As returns on market increase, PENNAR ALUMINIUM returns are expected to increase less than the market. However during bear market, the loss on holding PENNAR ALUMINIUM will be expected to be smaller as well.

PENNAR ALUMINIUM correlation with market

correlation synergy
Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding PENNAR ALUMINIUM CO LTD and equity matching DJI index in the same portfolio.

PENNAR ALUMINIUM Volatility Indicators

PENNAR ALUMINIUM LTD Current Risk Indicators

Additionally take a look at Your Equity Center. Please also try Fundamentals Matrix module to view fundamentals matrix and analyze how accounts are interrelated and interconnected with each other.
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