Shah Alloys (India) Risk Analysis And Volatility Evaluation

SHAHALLOYS -- India Stock  

INR 22.45  0.40  1.75%

Macroaxis considers Shah Alloys to be not very risky. Shah Alloys Limited owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.121 which indicates Shah Alloys Limited had -0.121% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring 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. Shah Alloys Limited exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Shah Alloys Coefficient Of Variation of 5,414 and Risk Adjusted Performance of 0.0014 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Shah Alloys Market Sensitivity

As returns on market increase, Shah Alloys returns are expected to increase less than the market. However during bear market, the loss on holding Shah Alloys will be expected to be smaller as well.
One Month Beta |Analyze Shah Alloys Limited Demand Trend
Check current 30 days Shah Alloys correlation with market (DOW)
β = 0.13
Shah Alloys Small BetaShah Alloys Limited Beta Legend

Shah Alloys Limited Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Shah Alloys 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.

Shah Alloys Projected Return Density Against Market

Assuming 30 trading days horizon, Shah Alloys has beta of 0.13 . This entails as returns on market go up, Shah Alloys average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Shah Alloys Limited will be expected to be much smaller as well. Additionally, Shah Alloys 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 Shah Alloys is -826.55. The daily returns are destributed with a variance of 7.47 and standard deviation of 2.73. The mean deviation of Shah Alloys Limited is currently at 2.38. For similar time horizon, the selected benchmark (DOW) has volatility of 0.4
α
Alpha over DOW
=0.08
β
Beta against DOW=0.13
σ
Overall volatility
=2.73
Ir
Information ratio =0.06

Shah Alloys Return Volatility

Shah Alloys Limited accepts 2.7337% volatility on return distribution over the 30 days horizon. DOW inherits 0.4038% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Shah Alloys Volatility Factors

30 Days Market Risk

Not very risky

Chance of Distress in 24 months

High

30 Days Economic Sensitivity

Barely shadows market

Investment Outlook

Shah Alloys Investment Opportunity

Shah Alloys Limited has a volatility of 2.73 and is 6.82 times more volatile than DOW. 24% of all equities and portfolios are less risky than Shah Alloys. Compared to the overall equity markets, volatility of historical daily returns of Shah Alloys Limited is lower than 24 (%) of all global equities and portfolios over the last 30 days. Use Shah Alloys Limited to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Shah Alloys to be traded at 21.78 in 30 days. As returns on market increase, Shah Alloys returns are expected to increase less than the market. However during bear market, the loss on holding Shah Alloys will be expected to be smaller as well.

Shah Alloys correlation with market

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

Shah Alloys Volatility Indicators

Shah Alloys Limited Current Risk Indicators

Also please take a look at World Market Map. Please also try Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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