T T (India) Risk Analysis And Volatility Evaluation

TTL -- India Stock  

INR 71.05  4.80  7.25%

Macroaxis considers T T to be not too volatile. T T Limited owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.3973 which indicates T T Limited had -0.3973% of return per unit of standard deviation over the last 1 month. 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 0.12 and Market Risk Adjusted Performance of 0.44 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

T T Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, T T will likely underperform.
One Month Beta |Analyze T T Limited Demand Trend
Check current 30 days T T correlation with market (DOW)
β = 1.773
T T Large BetaT T Limited Beta Legend

T T Limited Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. T T Limited Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

T T Projected Return Density Against Market

Assuming 30 trading days horizon, the stock has beta coefficient of 1.773 . This entails as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, T T will likely underperform. Additionally, T T 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 T T is -251.68. The daily returns are destributed with a variance of 8.7 and standard deviation of 2.95. The mean deviation of T T Limited is currently at 2.29. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44
α
Alpha over DOW
=0.9
β
Beta against DOW=1.77
σ
Overall volatility
=2.95
Ir
Information ratio =0.31

T T Return Volatility

T T Limited assumes 2.9497% volatility of returns over the 30 days investment horizon. DOW inherits 0.4495% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

T T Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Close to average

30 Days Economic Sensitivity

Very susceptible to market

Investment Outlook

T T Investment Opportunity

T T Limited has a volatility of 2.95 and is 6.56 times more volatile than DOW. 26% 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 26 (%) of all global equities and portfolios over the last 30 days. Use T T Limited to enhance returns of your portfolios. The stock experiences very speculative upward sentiment.. Check odds of T T to be traded at 88.81 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, T T will likely underperform.

T T correlation with market

Modest 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 Commodity Channel Index module to use commodity channel index to analyze current equity momentum.
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