Union Bank (India) Risk Analysis And Volatility

UNIONBANK -- India Stock  

INR 92.75  0.65  0.71%

Macroaxis considers Union Bank not too risky given 2 months investment horizon. Union Bank owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2152 which indicates Union Bank had 0.2152% 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. By inspecting Union Bank technical indicators you can presently evaluate if the expected return of 0.5117% is justified by implied risk. Please operate Union Bank Semi Deviation of 1.61, Coefficient Of Variation of 308.17 and Risk Adjusted Performance of 0.6407 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Union Bank Market Sensitivity

As returns on market increase, Union Bank returns are expected to increase less than the market. However during bear market, the loss on holding Union Bank will be expected to be smaller as well.
2 Months Beta |Analyze Union Bank Demand Trend
Check current 30 days Union Bank correlation with market (DOW)
β = 0.0495

Union Bank Central Daily Price Deviation

Union Bank Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Union Bank 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.

Union Bank Projected Return Density Against Market

Assuming 30 trading days horizon, Union Bank has beta of 0.0495 . This entails as returns on market go up, Union Bank average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Union Bank of India will be expected to be much smaller as well. Moreover, Union Bank of India has an alpha of 0.9206 implying that it can potentially generate 0.9206% 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 Union Bank is 464.75. The daily returns are destributed with a variance of 5.65 and standard deviation of 2.38. The mean deviation of Union Bank of India is currently at 1.78. For similar time horizon, the selected benchmark (DOW) has volatility of 1.97
α
Alpha over DOW
=0.92
β
Beta against DOW=0.0495
σ
Overall volatility
=2.38
Ir
Information ratio =0.38

Union Bank Return Volatility

Union Bank of India accepts 2.378% volatility on return distribution over the 30 days horizon. DOW inherits 2.0388% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Union Bank Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Barely shadows market

Investment Outlook

Union Bank Investment Opportunity

Union Bank of India has a volatility of 2.38 and is 1.17 times more volatile than DOW. 21% of all equities and portfolios are less risky than Union Bank. Compared to the overall equity markets, volatility of historical daily returns of Union Bank of India is lower than 21 (%) of all global equities and portfolios over the last 30 days. Use Union Bank of India to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Union Bank to be traded at 102.03 in 30 days. . As returns on market increase, Union Bank returns are expected to increase less than the market. However during bear market, the loss on holding Union Bank will be expected to be smaller as well.

Union Bank correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Union Bank of India and equity matching DJI index in the same portfolio.

Union Bank Volatility Indicators

Union Bank of India Current Risk Indicators

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