ICICI PRUDENTIAL (India) Risk Analysis And Volatility

SENSEXIWIN -- India Stock  

INR 353.95  0.00  0.00%

Our approach towards determining volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for ICICI PRUDENTIAL SENSEX which you can use to evaluate future volatility of the entity. Please check out ICICI PRUDENTIAL Downside Deviation of 2.26 and Semi Deviation of 1.94 to validate if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

ICICI PRUDENTIAL Market Sensitivity

As returns on market increase, returns on owning ICICI PRUDENTIAL are expected to decrease at a much smaller rate. During bear market, ICICI PRUDENTIAL is likely to outperform the market.
2 Months Beta |Analyze ICICI PRUDENTIAL SENSEX Demand Trend
Check current 30 days ICICI PRUDENTIAL correlation with market (DOW)
β = -0.055

ICICI PRUDENTIAL Central Daily Price Deviation

ICICI PRUDENTIAL SENSEX Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

ICICI PRUDENTIAL Projected Return Density Against Market

Assuming 30 trading days horizon, ICICI PRUDENTIAL SENSEX iWIN E has beta of -0.055 . This entails as returns on benchmark increase, returns on holding ICICI PRUDENTIAL are expected to decrease at a much smaller rate. During bear market, however, ICICI PRUDENTIAL SENSEX iWIN E 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. ICICI PRUDENTIAL SENSEX is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.0038
β
Beta against DOW=0.06
σ
Overall volatility
=0.00
Ir
Information ratio =0.0284

ICICI PRUDENTIAL Return Volatility

the entity accepts 0.0% volatility on return distribution over the 30 days horizon. the entity inherits 1.9504% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 
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