VLS Finance (India) Risk Analysis And Volatility Evaluation

VLSFINANCE -- India Stock  

INR 60.10  1.90  3.06%

Macroaxis considers VLS Finance not too volatile given 1 month investment horizon. VLS Finance Limited owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1113 which indicates VLS Finance Limited had 0.1113% of return per unit of standard deviation 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 VLS Finance Limited which you can use to evaluate future volatility of the company. Please operate VLS Finance Risk Adjusted Performance of 0.0463 and Coefficient Of Variation of 3086.37 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

VLS Finance Market Sensitivity

VLS Finance returns are very sensitive to returns on the market. As market goes up or down, VLS Finance is expected to follow.
One Month Beta |Analyze VLS Finance Limited Demand Trend
Check current 30 days VLS Finance correlation with market (DOW)
β = 0.951

VLS Finance Central Daily Price Deviation

VLS Finance Limited Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. VLS Finance Limited 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 avgprice price transform indicator.

VLS Finance Projected Return Density Against Market

Assuming 30 trading days horizon, VLS Finance has beta of 0.951 . This entails VLS Finance Limited market returns are very sensitive to returns on the market. As the market benchmark goes up or down, VLS Finance is expected to follow. Moreover, VLS Finance Limited has an alpha of 0.2432 implying that it can potentially generate 0.2432% 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 VLS Finance is 898.12. The daily returns are destributed with a variance of 7.63 and standard deviation of 2.76. The mean deviation of VLS Finance Limited is currently at 2.25. For similar time horizon, the selected benchmark (DOW) has volatility of 1.21
α
Alpha over DOW
=0.24
β
Beta against DOW=0.95
σ
Overall volatility
=2.76
Ir
Information ratio =0.06

VLS Finance Return Volatility

VLS Finance Limited accepts 2.7629% volatility on return distribution over the 30 days horizon. DOW inherits 1.2054% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

VLS Finance Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Almost mirrors market

Investment Outlook

VLS Finance Investment Opportunity

VLS Finance Limited has a volatility of 2.76 and is 2.28 times more volatile than DOW. 25% of all equities and portfolios are less risky than VLS Finance. Compared to the overall equity markets, volatility of historical daily returns of VLS Finance Limited is lower than 25 (%) of all global equities and portfolios over the last 30 days. Use VLS Finance Limited to protect against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of VLS Finance to be traded at 57.7 in 30 days. VLS Finance returns are very sensitive to returns on the market. As market goes up or down, VLS Finance is expected to follow.

VLS Finance correlation with market

correlation synergy
Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding VLS Finance Limited and equity matching DJI index in the same portfolio.

VLS Finance Volatility Indicators

VLS Finance Limited Current Risk Indicators

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