Ucal Fuel (India) Risk Analysis And Volatility Evaluation

UCALFUEL -- India Stock  

INR 186.80  2.45  1.33%

Macroaxis considers Ucal Fuel not too risky given 1 month investment horizon. Ucal Fuel Systems owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.107 which indicates Ucal Fuel Systems had 0.107% of return per unit of risk over the last 1 month. Our philosophy towards 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 Ucal Fuel Systems Limited which you can use to evaluate future volatility of the company. Please operate Ucal Fuel Semi Deviation of 3.05, Coefficient Of Variation of 1821.09 and Risk Adjusted Performance of 0.0719 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Ucal Fuel Market Sensitivity

As returns on market increase, Ucal Fuel returns are expected to increase less than the market. However during bear market, the loss on holding Ucal Fuel will be expected to be smaller as well.
One Month Beta |Analyze Ucal Fuel Systems Demand Trend
Check current 30 days Ucal Fuel correlation with market (DOW)
β = 0.2276

Ucal Fuel Central Daily Price Deviation

Ucal Fuel Systems Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Ucal Fuel Systems 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.

Ucal Fuel Projected Return Density Against Market

Assuming 30 trading days horizon, Ucal Fuel has beta of 0.2276 . This entails as returns on market go up, Ucal Fuel average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Ucal Fuel Systems Limited will be expected to be much smaller as well. Moreover, Ucal Fuel Systems Limited has an alpha of 0.1628 implying that it can potentially generate 0.1628% 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 Ucal Fuel is 934.83. The daily returns are destributed with a variance of 6.08 and standard deviation of 2.47. The mean deviation of Ucal Fuel Systems Limited is currently at 1.73. For similar time horizon, the selected benchmark (DOW) has volatility of 1.2
α
Alpha over DOW
=0.16
β
Beta against DOW=0.23
σ
Overall volatility
=2.47
Ir
Information ratio =0.05

Ucal Fuel Return Volatility

Ucal Fuel Systems Limited accepts 2.4667% volatility on return distribution over the 30 days horizon. DOW inherits 1.225% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Ucal Fuel Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Slowly supersedes market

Investment Outlook

Ucal Fuel Investment Opportunity

Ucal Fuel Systems Limited has a volatility of 2.47 and is 2.01 times more volatile than DOW. 22% of all equities and portfolios are less risky than Ucal Fuel. Compared to the overall equity markets, volatility of historical daily returns of Ucal Fuel Systems Limited is lower than 22 (%) of all global equities and portfolios over the last 30 days. Use Ucal Fuel Systems Limited to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Ucal Fuel to be traded at 205.48 in 30 days. As returns on market increase, Ucal Fuel returns are expected to increase less than the market. However during bear market, the loss on holding Ucal Fuel will be expected to be smaller as well.

Ucal Fuel correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Ucal Fuel Systems Limited and equity matching DJI index in the same portfolio.

Ucal Fuel Volatility Indicators

Ucal Fuel Systems Limited Current Risk Indicators

Also please take a look at World Market Map. Please also try Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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