T T (India) Risk Analysis And Volatility Evaluation

TTL -- India Stock  

INR 67.60  2.00  3.05%

We consider T T unknown risk. T T Limited owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0315 which indicates T T Limited had 0.0315% of return per unit of standard deviation over the last 1 month. Our way of 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 T T Limited which you can use to evaluate future volatility of the entity. Please validate T T Risk Adjusted Performance of 0.1189, Market Risk Adjusted Performance of 1.16 and Downside Deviation of 4.72 to confirm if risk estimate we provide are consistent with the epected return of 0.0966%.
Horizon     30 Days    Login   to change

T T Market Sensitivity

As returns on market increase, T T returns are expected to increase less than the market. However during bear market, the loss on holding T T will be expected to be smaller as well.
One Month Beta |Analyze T T Limited Demand Trend
Check current 30 days T T correlation with market (DOW)
β = 0.3537

T T Central Daily Price Deviation

T T Limited Technical Analysis

Transformation
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T T Projected Return Density Against Market

Assuming 30 trading days horizon, T T has beta of 0.3537 . This entails as returns on market go up, T T average returns are expected to increase less than the benchmark. However during bear market, the loss on holding T T Limited will be expected to be much smaller as well. Moreover, T T Limited has an alpha of 0.4474 implying that it can potentially generate 0.4474% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of T T is 3178.38. The daily returns are destributed with a variance of 9.43 and standard deviation of 3.07. The mean deviation of T T Limited is currently at 1.68. For similar time horizon, the selected benchmark (DOW) has volatility of 1.21
α
Alpha over DOW
=0.45
β
Beta against DOW=0.35
σ
Overall volatility
=3.07
Ir
Information ratio =0.12

T T Return Volatility

T T Limited assumes 3.0703% volatility of returns over the 30 days investment horizon. DOW inherits 1.2054% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

T T Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

T T Investment Opportunity

T T Limited has a volatility of 3.07 and is 2.54 times more volatile than DOW. 27% of all equities and portfolios are less risky than T T. Compared to the overall equity markets, volatility of historical daily returns of T T Limited is lower than 27 (%) of all global equities and portfolios over the last 30 days. Use T T Limited to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of T T to be traded at 81.12 in 30 days. As returns on market increase, T T returns are expected to increase less than the market. However during bear market, the loss on holding T T will be expected to be smaller as well.

T T correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding T T Limited and equity matching DJI index in the same portfolio.
Also please take a look at World Market Map. Please also try Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.
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