Pennar Engineered (India) Risk Analysis And Volatility Evaluation

PENPEBS -- India Stock  

INR 58.30  0.30  0.52%

Macroaxis considers Pennar Engineered not too volatile given 1 month investment horizon. Pennar Engineered maintains Sharpe Ratio (i.e. Efficiency) of 0.2621 which implies Pennar Engineered had 0.2621% of return per unit of risk over the last 1 month. Our philosophy towards forecasting volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By analyzing Pennar Engineered technical indicators you can presently evaluate if the expected return of 0.7419% is justified by implied risk. Please employ Pennar Engineered Coefficient Of Variation of 634.46, Semi Deviation of 2.01 and Risk Adjusted Performance of 0.2012 to confirm if our risk estimates are consistent with your expectations.
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.
One Month Beta |Analyze Pennar Engineered Demand Trend
Check current 30 days Pennar Engineered correlation with market (DOW)
β = -0.0283

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 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 Building Systems Limited has beta of -0.0283 . 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. Moreover, Pennar Engineered Building Systems Limited has an alpha of 0.4338 implying that it can potentially generate 0.4338% 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 Pennar Engineered is 381.51. The daily returns are destributed with a variance of 8.01 and standard deviation of 2.83. The mean deviation of Pennar Engineered Building Systems Limited is currently at 2.07. For similar time horizon, the selected benchmark (DOW) has volatility of 1.24
α
Alpha over DOW
=0.43
β
Beta against DOW=0.03
σ
Overall volatility
=2.83
Ir
Information ratio =0.18

Pennar Engineered Return Volatility

Pennar Engineered Building Systems Limited accepts 2.8303% volatility on return distribution over the 30 days horizon. DOW inherits 1.3198% 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

Moves indifferently to market move

Investment Outlook

Pennar Engineered Investment Opportunity

Pennar Engineered Building Systems Limited has a volatility of 2.83 and is 2.14 times more volatile than DOW. 25% 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 25 (%) of all global equities and portfolios over the last 30 days. Use Pennar Engineered Building Systems Limited to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Pennar Engineered to be traded at 64.13 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
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

Additionally take a look at Your Equity Center. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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