Pennar Engineered (India) Risk Analysis And Volatility Evaluation

PENPEBS -- India Stock  

INR 57.15  0.05  0.09%

Macroaxis considers Pennar Engineered to be not too volatile. Pennar Engineered maintains Sharpe Ratio (i.e. Efficiency) of -0.1239 which implies Pennar Engineered had -0.1239% of return per unit of risk over the last 1 month. Macroaxis philosophy towards forecasting 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. Pennar Engineered exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Pennar Engineered Coefficient Of Variation of 5,368 and Risk Adjusted Performance of 0.0004603 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Pennar Engineered Market Sensitivity

Pennar Engineered returns are very sensitive to returns on the market. As market goes up or down, Pennar Engineered is expected to follow.
One Month Beta |Analyze Pennar Engineered Demand Trend
Check current 30 days Pennar Engineered correlation with market (DOW)
β = 0.9069
Pennar Engineered llmost one BetaPennar Engineered Beta Legend

Pennar Engineered Technical Analysis

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

Pennar Engineered Projected Return Density Against Market

Assuming 30 trading days horizon, Pennar Engineered has beta of 0.9069 . This implies Pennar Engineered Building Systems Limited market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Pennar Engineered is expected to follow. Additionally, Pennar Engineered Building Systems Limited 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 
Assuming 30 trading days horizon, the coefficient of variation of Pennar Engineered is -807.32. The daily returns are destributed with a variance of 8.36 and standard deviation of 2.89. The mean deviation of Pennar Engineered Building Systems Limited is currently at 2.03. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.2
β
Beta against DOW=0.91
σ
Overall volatility
=2.89
Ir
Information ratio =0.07

Pennar Engineered Return Volatility

Pennar Engineered Building Systems Limited accepts 2.8913% volatility on return distribution over the 30 days horizon. DOW inherits 0.4303% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Pennar Engineered Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Slowly supersedes market

Investment Outlook

Pennar Engineered Investment Opportunity

Pennar Engineered Building Systems Limited has a volatility of 2.89 and is 6.72 times more volatile than DOW. 26% of all equities and portfolios are less risky than Pennar Engineered. Compared to the overall equity markets, volatility of historical daily returns of Pennar Engineered Building Systems Limited is lower than 26 (%) of all global equities and portfolios over the last 30 days. Use Pennar Engineered Building Systems Limited to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Pennar Engineered to be traded at 56.58 in 30 days. Pennar Engineered returns are very sensitive to returns on the market. As market goes up or down, Pennar Engineered is expected to follow.

Pennar Engineered correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Pennar Engineered Building Sys and equity matching DJI index in the same portfolio.

Pennar Engineered Volatility Indicators

Pennar Engineered Building Systems Limited Current Risk Indicators

Additionally take a look at Your Equity Center. Please also try World Markets Correlation module to find global opportunities by holding instruments from different markets.
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