TSINGTAO BREWERY (Germany) Risk Analysis And Volatility Evaluation

TSI -- Germany Stock  

EUR 3.77  0.00  0.00%

Macroaxis considers TSINGTAO BREWERY unknown risk given 1 month investment horizon. TSINGTAO BREWERY H owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.146 which indicates TSINGTAO BREWERY H had 0.146% of return per unit of volatility over the last 1 month. Our way in which we are measuring 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 TSINGTAO BREWERY H YC 1 which you can use to evaluate future volatility of the company. Please operate TSINGTAO BREWERY Risk Adjusted Performance of 0.07 and Coefficient Of Variation of 1,348 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

TSINGTAO BREWERY Market Sensitivity

As returns on market increase, returns on owning TSINGTAO BREWERY are expected to decrease at a much smaller rate. During bear market, TSINGTAO BREWERY is likely to outperform the market.
One Month Beta |Analyze TSINGTAO BREWERY H Demand Trend
Check current 30 days TSINGTAO BREWERY correlation with market (DOW)
β = -0.1255
TSINGTAO BREWERY Almost negative betaTSINGTAO BREWERY H Beta Legend

TSINGTAO BREWERY H Technical Analysis

Transformation
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TSINGTAO BREWERY Projected Return Density Against Market

Assuming 30 trading days horizon, TSINGTAO BREWERY H YC 1 has beta of -0.1255 . This entails as returns on benchmark increase, returns on holding TSINGTAO BREWERY are expected to decrease at a much smaller rate. During bear market, however, TSINGTAO BREWERY H YC 1 is likely to outperform the market. 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 684.78. The daily returns are destributed with a variance of 6.62 and standard deviation of 2.57. The mean deviation of TSINGTAO BREWERY H YC 1 is currently at 1.83. For similar time horizon, the selected benchmark (DOW) has volatility of 1.02
α
Alpha over DOW
=0.2
β
Beta against DOW=0.13
σ
Overall volatility
=2.57
Ir
Information ratio =0.01

TSINGTAO BREWERY Return Volatility

TSINGTAO BREWERY H YC 1 assumes 2.5722% volatility of returns over the 30 days investment horizon. DOW inherits 1.0479% 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 2.57 and is 2.45 times more volatile than DOW. 23% 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 23 (%) of all global equities and portfolios over the last 30 days. Use TSINGTAO BREWERY H YC 1 to protect against small markets fluctuations. The stock experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of TSINGTAO BREWERY to be traded at €3.73 in 30 days. As returns on market increase, returns on owning TSINGTAO BREWERY are expected to decrease at a much smaller rate. During bear market, TSINGTAO BREWERY is likely to outperform the market.

TSINGTAO BREWERY correlation with market

Good 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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