Tsingtao Brewery (Germany) Risk Analysis And Volatility Evaluation

TSI -- Germany Stock  

EUR 3.78  0.15  4.13%

Macroaxis considers Tsingtao Brewery to be unknown risk. Tsingtao Brewery Limited owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.2967 which indicates Tsingtao Brewery Limited had -0.2967% 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. Tsingtao Brewery Company Limited 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 Coefficient Of Variation of 333.22 and Risk Adjusted Performance of 0.32 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.
One Month Beta |Analyze Tsingtao Brewery Limited Demand Trend
Check current 30 days Tsingtao Brewery correlation with market (DOW)
β = 0.1733
Tsingtao Brewery Small BetaTsingtao Brewery Limited Beta Legend

Tsingtao Brewery Limited Technical Analysis

Transformation
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Tsingtao Brewery Projected Return Density Against Market

Assuming 30 trading days horizon, Tsingtao Brewery has beta of 0.1733 . 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 Company Limited will be expected to be much smaller as well. Additionally, Tsingtao Brewery Company 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 Tsingtao Brewery is -337.02. The daily returns are destributed with a variance of 13.63 and standard deviation of 3.69. The mean deviation of Tsingtao Brewery Company Limited is currently at 2.49. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=1.14
β
Beta against DOW=0.17
σ
Overall volatility
=3.69
Ir
Information ratio =0.26

Tsingtao Brewery Return Volatility

Tsingtao Brewery Company Limited assumes 3.6919% volatility of returns over the 30 days investment horizon. DOW inherits 1.0379% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

Tsingtao Brewery Investment Opportunity

Tsingtao Brewery Company Limited has a volatility of 3.69 and is 3.55 times more volatile than DOW. 33% 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 Company Limited is lower than 33 (%) of all global equities and portfolios over the last 30 days. Use Tsingtao Brewery Company Limited to enhance returns of your portfolios. The stock experiences very speculative upward sentiment.. Check odds of Tsingtao Brewery to be traded at €4.72 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

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Tsingtao Brewery Company Limit and equity matching DJI index in the same portfolio.

Tsingtao Brewery Volatility Indicators

Tsingtao Brewery Company Limited Current Risk Indicators

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