Pennar Engineered (India) Risk Analysis And Volatility

PENPEBS -- India Stock  

INR 52.95  1.65  3.02%

Macroaxis considers Pennar Engineered to be not too volatile. Pennar Engineered maintains Sharpe Ratio (i.e. Efficiency) of -0.2183 which implies the corporation had -0.2183% of return per unit of risk over the last 2 months. 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 Risk Adjusted Performance of (0.11) and Coefficient Of Variation of (1,658) to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Pennar Engineered Market Sensitivity

As returns on market increase, returns on owning Pennar Engineered are expected to decrease at a much smaller rate. During bear market, Pennar Engineered is likely to outperform the market.
2 Months Beta |Analyze Pennar Engineered Demand Trend
Check current 30 days Pennar Engineered correlation with market (DOW)
β = -0.4496

Pennar Engineered Central Daily Price Deviation

Pennar Engineered Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. 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 Building Systems Limited has beta of -0.4496 . This implies as returns on benchmark increase, returns on holding Pennar Engineered are expected to decrease at a much smaller rate. During bear market, however, Pennar Engineered Building Systems Limited 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 Engineered is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Pennar Engineered is -458.07. The daily returns are destributed with a variance of 5.52 and standard deviation of 2.35. The mean deviation of Pennar Engineered Building Systems Limited is currently at 1.81. For similar time horizon, the selected benchmark (DOW) has volatility of 1.79
α
Alpha over DOW
=0.13
β
Beta against DOW=0.45
σ
Overall volatility
=2.35
Ir
Information ratio =0.09

Pennar Engineered Return Volatility

the enterprise accepts 2.3487% volatility on return distribution over the 30 days horizon. the entity inherits 1.8873% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Pennar Engineered Volatility Factors

60 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Almost neglects market trends

Investment Outlook

Pennar Engineered Investment Opportunity

Pennar Engineered Building Systems Limited has a volatility of 2.35 and is 1.24 times more volatile than DOW. 21% 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 21 (%) of all global equities and portfolios over the last 30 days. Use Pennar Engineered Building Systems Limited to protect your portfolios against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Pennar Engineered to be traded at 50.83 in 30 days. . As returns on market increase, returns on owning Pennar Engineered are expected to decrease at a much smaller rate. During bear market, Pennar Engineered is likely to outperform the market.

Pennar Engineered correlation with market

correlation synergy
Very good 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

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