Ujjivan Financial (India) Risk Analysis And Volatility

UJJIVAN -- India Stock  

INR 289.70  1.80  0.63%

Macroaxis considers Ujjivan Financial unknown risk given 2 months investment horizon. Ujjivan Financial owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.3038 which indicates the firm had 0.3038% of return per unit of risk over the last 2 months. 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 Ujjivan Financial Services Limited which you can use to evaluate future volatility of the company. Please operate Ujjivan Financial Risk Adjusted Performance of 0.3765, Semi Deviation of 1.31 and Coefficient Of Variation of 468.55 to confirm if our risk estimates are consistent with your expectations.
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.
2 Months Beta |Analyze Ujjivan Financial Demand Trend
Check current 30 days Ujjivan Financial correlation with market (DOW)
β = -0.0774

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 -0.0774 . 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. Moreover, The company has an alpha of 0.7295 implying that it can potentially generate 0.7295% 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 Ujjivan Financial is 329.12. The daily returns are destributed with a variance of 1.64 and standard deviation of 1.28. The mean deviation of Ujjivan Financial Services Limited is currently at 0.84. For similar time horizon, the selected benchmark (DOW) has volatility of 1.74
α
Alpha over DOW
=0.73
β
Beta against DOW=0.08
σ
Overall volatility
=1.28
Ir
Information ratio =0.14

Ujjivan Financial Return Volatility

the corporation accepts 1.2812% volatility on return distribution over the 30 days horizon. the entity inherits 1.5467% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Ujjivan Financial Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Ujjivan Financial Investment Opportunity

DOW has a standard deviation of returns of 1.55 and is 1.21 times more volatile than Ujjivan Financial Services Limited. 11% 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 11 (%) of all global equities and portfolios over the last 30 days. Use Ujjivan Financial Services Limited to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Ujjivan Financial to be traded at 318.67 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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