PNC Infratech (India) Risk Analysis And Volatility Evaluation

PNCINFRA -- India Stock  

INR 145.65  2.25  1.52%

Macroaxis considers PNC Infratech unknown risk given 1 month investment horizon. PNC Infratech Limited retains Efficiency (Sharpe Ratio) of 0.3473 which implies PNC Infratech Limited had 0.3473% of return per unit of risk over the last 1 month. Our philosophy in forecasting volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By examining PNC Infratech Limited technical indicators you can now evaluate if the expected return of 0.8223% is justified by implied risk. Please employ PNC Infratech Limited Semi Deviation of 1.6 and Market Risk Adjusted Performance of 6.80 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

PNC Infratech Market Sensitivity

As returns on market increase, returns on owning PNC Infratech are expected to decrease at a much smaller rate. During bear market, PNC Infratech is likely to outperform the market.
One Month Beta |Analyze PNC Infratech Limited Demand Trend
Check current 30 days PNC Infratech correlation with market (DOW)
β = -0.0538

PNC Infratech Central Daily Price Deviation

PNC Infratech Limited Technical Analysis

Transformation
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PNC Infratech Projected Return Density Against Market

Assuming 30 trading days horizon, PNC Infratech Limited has beta of -0.0538 . This implies as returns on benchmark increase, returns on holding PNC Infratech are expected to decrease at a much smaller rate. During bear market, however, PNC Infratech Limited is likely to outperform the market. Moreover, PNC Infratech Limited has an alpha of 0.3624 implying that it can potentially generate 0.3624% 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 PNC Infratech is 287.93. The daily returns are destributed with a variance of 5.61 and standard deviation of 2.37. The mean deviation of PNC Infratech Limited is currently at 1.76. For similar time horizon, the selected benchmark (DOW) has volatility of 1.22
α
Alpha over DOW
=0.36
β
Beta against DOW=0.05
σ
Overall volatility
=2.37
Ir
Information ratio =0.20

PNC Infratech Return Volatility

PNC Infratech Limited accepts 2.3676% volatility on return distribution over the 30 days horizon. DOW inherits 1.1939% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

PNC Infratech Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

PNC Infratech Investment Opportunity

PNC Infratech Limited has a volatility of 2.37 and is 1.99 times more volatile than DOW. 21% of all equities and portfolios are less risky than PNC Infratech. Compared to the overall equity markets, volatility of historical daily returns of PNC Infratech Limited is lower than 21 (%) of all global equities and portfolios over the last 30 days. Use PNC Infratech Limited to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of PNC Infratech to be traded at 141.28 in 30 days. As returns on market increase, returns on owning PNC Infratech are expected to decrease at a much smaller rate. During bear market, PNC Infratech is likely to outperform the market.

PNC Infratech correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding PNC Infratech Limited and equity matching DJI index in the same portfolio.

PNC Infratech Volatility Indicators

PNC Infratech Limited Current Risk Indicators

Additionally take a look at Your Equity Center. Please also try Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.
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