Ujjivan Financial (India) Risk Analysis And Volatility Evaluation

UJJIVAN -- India Stock  

INR 217.10  14.00  6.06%

Macroaxis considers Ujjivan Financial to be unknown risk. Ujjivan Financial owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0121 which indicates Ujjivan Financial had -0.0121% of return per unit of risk over the last 1 month. Macroaxis philosophy towards 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. Ujjivan Financial Services Limited exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Ujjivan Financial Coefficient Of Variation of 756.31 and Risk Adjusted Performance of 0.16 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Ujjivan Financial Market Sensitivity

As returns on market increase, returns on owning Ujjivan Financial are expected to decrease at a much smaller rate. During bear market, Ujjivan Financial is likely to outperform the market.
One Month Beta |Analyze Ujjivan Financial Demand Trend
Check current 30 days Ujjivan Financial correlation with market (DOW)
β = -0.5526

Ujjivan Financial Central Daily Price Deviation

Ujjivan Financial Technical Analysis

Transformation
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Ujjivan Financial Projected Return Density Against Market

Assuming 30 trading days horizon, Ujjivan Financial Services Limited has beta of -0.5526 . This entails as returns on benchmark increase, returns on holding Ujjivan Financial are expected to decrease at a much smaller rate. During bear market, however, Ujjivan Financial Services Limited is likely to outperform the market. Additionally, Ujjivan Financial Services 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 Ujjivan Financial is -8235.57. The daily returns are destributed with a variance of 24.87 and standard deviation of 4.99. The mean deviation of Ujjivan Financial Services Limited is currently at 3.2. For similar time horizon, the selected benchmark (DOW) has volatility of 1.24
α
Alpha over DOW
=0.65
β
Beta against DOW=0.55
σ
Overall volatility
=4.99
Ir
Information ratio =0.12

Ujjivan Financial Return Volatility

Ujjivan Financial Services Limited accepts 4.9874% volatility on return distribution over the 30 days horizon. DOW inherits 1.3198% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Ujjivan Financial Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Ujjivan Financial Investment Opportunity

Ujjivan Financial Services Limited has a volatility of 4.99 and is 3.78 times more volatile than DOW. 45% of all equities and portfolios are less risky than Ujjivan Financial. Compared to the overall equity markets, volatility of historical daily returns of Ujjivan Financial Services Limited is lower than 45 (%) of all global equities and portfolios over the last 30 days. Use Ujjivan Financial Services Limited to protect against small markets fluctuations. The stock experiences very speculative upward sentiment.. Check odds of Ujjivan Financial to be traded at 206.24 in 30 days. As returns on market increase, returns on owning Ujjivan Financial are expected to decrease at a much smaller rate. During bear market, Ujjivan Financial is likely to outperform the market.

Ujjivan Financial correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Ujjivan Financial Services Lim and equity matching DJI index in the same portfolio.

Ujjivan Financial Volatility Indicators

Ujjivan Financial Services Limited Current Risk Indicators

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