TSINGTAO BREWERY (Germany) Risk Analysis And Volatility Evaluation

TSI -- Germany Stock  

EUR 3.44  0.04  1.18%

Macroaxis considers TSINGTAO BREWERY to be unusually risky. TSINGTAO BREWERY H owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.044 which indicates TSINGTAO BREWERY H had -0.044% of return per unit of volatility over the last 2 months. Macroaxis way in which we are 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. TSINGTAO BREWERY H YC 1 exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate TSINGTAO BREWERY Risk Adjusted Performance of (0.20) and Coefficient Of Variation of (673.81) to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

TSINGTAO BREWERY Market Sensitivity

As returns on market increase, TSINGTAO BREWERY returns are expected to increase less than the market. However during bear market, the loss on holding TSINGTAO BREWERY will be expected to be smaller as well.
2 Months Beta |Analyze TSINGTAO BREWERY H Demand Trend
Check current 30 days TSINGTAO BREWERY correlation with market (DOW)
β = 0.6013

TSINGTAO BREWERY Central Daily Price Deviation

TSINGTAO BREWERY H Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. TSINGTAO BREWERY H 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.

TSINGTAO BREWERY Projected Return Density Against Market

Assuming 30 trading days horizon, TSINGTAO BREWERY has beta of 0.6013 . This entails as returns on market go up, TSINGTAO BREWERY average returns are expected to increase less than the benchmark. However during bear market, the loss on holding TSINGTAO BREWERY H YC 1 will be expected to be much smaller as well. Additionally, TSINGTAO BREWERY H YC 1 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 TSINGTAO BREWERY is -2274.02. The daily returns are destributed with a variance of 5.61 and standard deviation of 2.37. The mean deviation of TSINGTAO BREWERY H YC 1 is currently at 1.74. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.24
β
Beta against DOW=0.60
σ
Overall volatility
=2.37
Ir
Information ratio =0.08

TSINGTAO BREWERY Return Volatility

TSINGTAO BREWERY H YC 1 assumes 2.3688% volatility of returns over the 30 days investment horizon. DOW inherits 1.3037% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

TSINGTAO BREWERY Investment Opportunity

TSINGTAO BREWERY H YC 1 has a volatility of 2.37 and is 1.82 times more volatile than DOW. 21% of all equities and portfolios are less risky than TSINGTAO BREWERY. Compared to the overall equity markets, volatility of historical daily returns of TSINGTAO BREWERY H YC 1 is lower than 21 (%) of all global equities and portfolios over the last 30 days. Use TSINGTAO BREWERY H YC 1 to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of TSINGTAO BREWERY to be traded at €3.78 in 30 days. As returns on market increase, TSINGTAO BREWERY returns are expected to increase less than the market. However during bear market, the loss on holding TSINGTAO BREWERY will be expected to be smaller as well.

TSINGTAO BREWERY correlation with market

correlation synergy
Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding TSINGTAO BREWERY H YC 1 and equity matching DJI index in the same portfolio.

TSINGTAO BREWERY Volatility Indicators

TSINGTAO BREWERY H YC 1 Current Risk Indicators

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