PENNAR ALUMINIUM (India) Risk Analysis And Volatility

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 (0.28) 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, returns on owning PENNAR ALUMINIUM are expected to decrease at a much smaller rate. During bear market, PENNAR ALUMINIUM is likely to outperform the market.
2 Months Beta |Analyze PENNAR ALUMINIUM LTD Demand Trend
Check current 30 days PENNAR ALUMINIUM correlation with market (DOW)
β = -0.0156

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 LTD has beta of -0.0156 . This implies as returns on benchmark increase, returns on holding PENNAR ALUMINIUM are expected to decrease at a much smaller rate. During bear market, however, PENNAR ALUMINIUM LTD 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. PENNAR ALUMINIUM LTD is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of PENNAR ALUMINIUM is 0.0. The daily returns are destributed with a variance of 0.0 and standard deviation of 0.0. The mean deviation of PENNAR ALUMINIUM LTD is currently at 0.0. For similar time horizon, the selected benchmark (DOW) has volatility of 1.79
α
Alpha over DOW
=0.12
β
Beta against DOW=0.02
σ
Overall volatility
=0.00
Ir
Information ratio =0.26

PENNAR ALUMINIUM Return Volatility

the company accepts 0.0% volatility on return distribution over the 30 days horizon. the entity inherits 1.8362% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

PENNAR ALUMINIUM Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

PENNAR ALUMINIUM Investment Opportunity

DOW has a standard deviation of returns of 1.84 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 your portfolios 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, returns on owning PENNAR ALUMINIUM are expected to decrease at a much smaller rate. During bear market, PENNAR ALUMINIUM is likely to outperform the market.

PENNAR ALUMINIUM correlation with market

correlation synergy
Good 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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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