T T (India) Risk Analysis And Volatility Evaluation

TTL -- India Stock  

INR 69.25  0.50  0.72%

T T is unknown risk given 1 month investment horizon. T T Limited owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.5149 which indicates T T Limited had 0.5149% of return per unit of standard deviation over the last 1 month. Our way of measuring risk of a stock is to use both market data as well as company specific technical data. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 1.1759% are justified by taking the suggested risk. Use T T Limited Risk Adjusted Performance of 0.1582, Market Risk Adjusted Performance of 0.3283 and Downside Deviation of 3.85 to evaluate company specific risk that cannot be diversified away.
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 = 1.6569

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, the stock has beta coefficient of 1.6569 . 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. Moreover, T T Limited has an alpha of 0.5226 implying that it can potentially generate 0.5226% 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 194.21. The daily returns are destributed with a variance of 5.21 and standard deviation of 2.28. The mean deviation of T T Limited is currently at 1.91. For similar time horizon, the selected benchmark (DOW) has volatility of 1.2
α
Alpha over DOW
=0.52
β
Beta against DOW=1.66
σ
Overall volatility
=2.28
Ir
Information ratio =0.12

T T Return Volatility

T T Limited assumes 2.2836% volatility of returns over the 30 days investment horizon. DOW inherits 1.2197% 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 2.28 and is 1.87 times more volatile than DOW. 20% 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 20 (%) of all global equities and portfolios over the last 30 days. Use T T Limited to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of T T to be traded at 67.86 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

correlation synergy
Very weak 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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