Raj Rayon (India) Risk Analysis And Volatility Evaluation

RAJRAYON -- India Stock  

INR 0.20  0.05  33.33%

Raj Rayon is abnormally risky given 1 month investment horizon. Raj Rayon Industries maintains Sharpe Ratio (i.e. Efficiency) of 0.0686 which implies Raj Rayon Industries had 0.0686% of return per unit of risk over the last 1 month. Our philosophy towards forecasting risk of a stock is to use both market data as well as company specific technical data. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 1.0417% are justified by taking the suggested risk. Use Raj Rayon Coefficient Of Variation of 638.17 and Risk Adjusted Performance of 0.081 to evaluate company specific risk that cannot be diversified away.
Horizon     30 Days    Login   to change

Raj Rayon Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Raj Rayon will likely underperform.
One Month Beta |Analyze Raj Rayon Industries Demand Trend
Check current 30 days Raj Rayon correlation with market (DOW)
β = 1.6926
Raj Rayon Large BetaRaj Rayon Industries Beta Legend

Raj Rayon Industries Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Raj Rayon Industries 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.

Raj Rayon Projected Return Density Against Market

Assuming 30 trading days horizon, the stock has beta coefficient of 1.6926 . 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, Raj Rayon will likely underperform. In addition to that, Raj Rayon Industries Limited has an alpha of 2.7391 implying that it can potentially generate 2.7391% 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 Raj Rayon is 1456.94. The daily returns are destributed with a variance of 230.32 and standard deviation of 15.18. The mean deviation of Raj Rayon Industries Limited is currently at 8.07. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=2.74
β
Beta against DOW=1.69
σ
Overall volatility
=15.18
Ir
Information ratio =0.15

Raj Rayon Return Volatility

Raj Rayon Industries Limited accepts 15.1764% volatility on return distribution over the 30 days horizon. DOW inherits 0.4487% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Raj Rayon Volatility Factors

30 Days Market Risk

Abnormally risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Very susceptible to market

Investment Outlook

Raj Rayon Investment Opportunity

Raj Rayon Industries Limited has a volatility of 15.18 and is 33.73 times more volatile than DOW. 96% of all equities and portfolios are less risky than Raj Rayon. Compared to the overall equity markets, volatility of historical daily returns of Raj Rayon Industries Limited is higher than 96 (%) of all global equities and portfolios over the last 30 days. Use Raj Rayon Industries Limited to enhance returns of your portfolios. The stock experiences very speculative upward sentiment.. Check odds of Raj Rayon to be traded at 0.25 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Raj Rayon will likely underperform.

Raj Rayon correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Raj Rayon Industries Limited and equity matching DJI index in the same portfolio.

Raj Rayon Volatility Indicators

Raj Rayon Industries Limited Current Risk Indicators

Additionally take a look at Your Equity Center. Please also try Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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