TSINGTAO BREWERY (Germany) Risk Analysis And Volatility

TSI -- Germany Stock  

EUR 3.72  0.05  0.01%

Macroaxis considers TSINGTAO BREWERY unknown risk given 2 months investment horizon. TSINGTAO BREWERY H owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2349 which indicates the firm had 0.2349% of return per unit of volatility over the last 2 months. 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. By evaluating TSINGTAO BREWERY H technical indicators you can currently evaluate if the expected return of 0.5064% is justified by implied risk. Please operate TSINGTAO BREWERY Coefficient Of Variation of (1,521) and Risk Adjusted Performance of (0.13) 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, 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 = 0.15

TSINGTAO BREWERY Central Daily Price Deviation

TSINGTAO BREWERY H Technical Analysis

Transformation
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TSINGTAO BREWERY Projected Return Density Against Market

Assuming 30 trading days horizon, TSINGTAO BREWERY has beta of 0.15 . 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, The company has a negative alpha implying that the risk taken by holding this equity is not justified. TSINGTAO BREWERY H is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of TSINGTAO BREWERY is 425.65. The daily returns are destributed with a variance of 4.65 and standard deviation of 2.16. The mean deviation of TSINGTAO BREWERY H YC 1 is currently at 1.47. For similar time horizon, the selected benchmark (DOW) has volatility of 1.94
α
Alpha over DOW
=0.16
β
Beta against DOW=0.15
σ
Overall volatility
=2.16
Ir
Information ratio =0.05

TSINGTAO BREWERY Return Volatility

the firm assumes 2.1555% volatility of returns over the 30 days investment horizon. the entity inherits 1.9746% 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 2.16 and is 1.1 times more volatile than DOW. 19% 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 19 (%) 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 normal upward fluctuation. Check odds of TSINGTAO BREWERY to be traded at €3.91 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
Average 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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