PNC Infratech (India) Risk Analysis And Volatility Evaluation

PNCINFRA -- India Stock  

INR 143.45  12.90  8.25%

Macroaxis considers PNC Infratech to be not too volatile. PNC Infratech Limited retains Efficiency (Sharpe Ratio) of -0.0895 which implies PNC Infratech Limited had -0.0895% of return per unit of risk over the last 1 month. Macroaxis philosophy in 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. PNC Infratech exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check PNC Infratech Limited Market Risk Adjusted Performance of 0.13 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

PNC Infratech Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, PNC Infratech will likely underperform.
One Month Beta |Analyze PNC Infratech Limited Demand Trend
Check current 30 days PNC Infratech correlation with market (DOW)
β = 2.5391
PNC Infratech Large BetaPNC Infratech Limited Beta Legend

PNC Infratech Limited Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. PNC Infratech Limited 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.

PNC Infratech Projected Return Density Against Market

Assuming 30 trading days horizon, the stock has beta coefficient of 2.5391 . This implies as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, PNC Infratech will likely underperform. Additionally, PNC Infratech 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 PNC Infratech is -1117.58. The daily returns are destributed with a variance of 16.46 and standard deviation of 4.06. The mean deviation of PNC Infratech Limited is currently at 2.77. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.73
β
Beta against DOW=2.54
σ
Overall volatility
=4.06
Ir
Information ratio =0.13

PNC Infratech Return Volatility

PNC Infratech Limited accepts 4.0572% 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

PNC Infratech Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Close to average

30 Days Economic Sensitivity

Hypersensitive to market

Investment Outlook

PNC Infratech Investment Opportunity

PNC Infratech Limited has a volatility of 4.06 and is 9.44 times more volatile than DOW. 36% 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 36 (%) of all global equities and portfolios over the last 30 days. Use PNC Infratech Limited to protect against small markets fluctuations. The stock experiences very speculative upward sentiment.. Check odds of PNC Infratech to be traded at 136.28 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, PNC Infratech will likely underperform.

PNC Infratech correlation with market

Weak 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 Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.
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