Vedanta Resources (Germany) Risk Analysis And Volatility Evaluation

VR9 -- Germany Stock  

EUR 9.34  0.00  0.00%

Macroaxis considers Vedanta Resources to be unknown risk. Vedanta Resources plc owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.5 which indicates Vedanta Resources plc had -0.5% of return per unit of risk over the last 2 months. 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. Vedanta Resources plc exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Vedanta Resources Coefficient Of Variation of (2,016) and Risk Adjusted Performance of (0.07) to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Vedanta Resources Market Sensitivity

As returns on market increase, Vedanta Resources returns are expected to increase less than the market. However during bear market, the loss on holding Vedanta Resources will be expected to be smaller as well.
2 Months Beta |Analyze Vedanta Resources plc Demand Trend
Check current 30 days Vedanta Resources correlation with market (DOW)
β = 0.0031

Vedanta Resources Central Daily Price Deviation

Vedanta Resources plc Technical Analysis

Transformation
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Vedanta Resources Projected Return Density Against Market

Assuming 30 trading days horizon, Vedanta Resources has beta of 0.0031 . This entails as returns on market go up, Vedanta Resources average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Vedanta Resources plc will be expected to be much smaller as well. Additionally, Vedanta Resources plc 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 Vedanta Resources is -200.0. The daily returns are destributed with a variance of 0.0 and standard deviation of 0.01. The mean deviation of Vedanta Resources plc is currently at 0.01. For similar time horizon, the selected benchmark (DOW) has volatility of 1.27
α
Alpha over DOW
=0.05
β
Beta against DOW=0.0031
σ
Overall volatility
=0.0107
Ir
Information ratio =0.01

Vedanta Resources Return Volatility

Vedanta Resources plc shows 0.0107% volatility of returns over 30 trading days. DOW inherits 1.2766% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Vedanta Resources Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Vedanta Resources Investment Opportunity

DOW has a standard deviation of returns of 1.28 and is 128.0 times more volatile than Vedanta Resources plc. 0% of all equities and portfolios are less risky than Vedanta Resources. Compared to the overall equity markets, volatility of historical daily returns of Vedanta Resources plc is lower than 0 (%) of all global equities and portfolios over the last 30 days.

Vedanta Resources Volatility Indicators

Vedanta Resources plc Current Risk Indicators

Also please take a look at World Market Map. Please also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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