T T (India) Risk Analysis And Volatility

TTL -- India Stock  

INR 64.80  0.30  0.46%

Macroaxis considers T T to be unknown risk. T T Limited owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0076 which indicates T T Limited had -0.0076% of return per unit of standard deviation over the last 2 months. Macroaxis way of 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. T T Limited exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate T T Risk Adjusted Performance of 0.1605, Market Risk Adjusted Performance of 3.23 and Downside Deviation of 3.16 to confirm risk estimate we provide.
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.
2 Months Beta |Analyze T T Limited Demand Trend
Check current 30 days T T correlation with market (DOW)
β = 0.0806

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 0.0806 . 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 0.2741 implying that it can potentially generate 0.2741% 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 -13191.85. The daily returns are destributed with a variance of 8.03 and standard deviation of 2.83. The mean deviation of T T Limited is currently at 1.93. For similar time horizon, the selected benchmark (DOW) has volatility of 1.97
α
Alpha over DOW
=0.27
β
Beta against DOW=0.08
σ
Overall volatility
=2.83
Ir
Information ratio =0.13

T T Return Volatility

T T Limited assumes 2.8333% volatility of returns over the 30 days investment horizon. DOW inherits 2.026% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

T T Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

T T Investment Opportunity

T T Limited has a volatility of 2.83 and is 1.39 times more volatile than DOW. 25% 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 25 (%) of all global equities and portfolios over the last 30 days. Use T T Limited to protect your portfolios against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of T T to be traded at 64.15 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.
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