Zenith Birla (India) Risk Analysis And Volatility Evaluation

ZENITHBIR -- India Stock  

INR 0.77  0.01  1.32%

Macroaxis considers Zenith Birla unknown risk given 1 month investment horizon. Zenith Birla Limited shows Sharpe Ratio of 0.2239 which attests that Zenith Birla Limited had 0.2239% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By examining Zenith Birla Limited technical indicators you can presently evaluate if the expected return of 0.5931% is justified by implied risk. Please utilize Zenith Birla Limited Market Risk Adjusted Performance of 0.005256, Mean Deviation of 1.99 and Downside Deviation of 2.53 to validate if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Zenith Birla Market Sensitivity

As returns on market increase, returns on owning Zenith Birla are expected to decrease by larger amounts. On the other hand, during market turmoil, Zenith Birla is expected to significantly outperform it.
One Month Beta |Analyze Zenith Birla Limited Demand Trend
Check current 30 days Zenith Birla correlation with market (DOW)
β = -1.498
Zenith Birla Large Negative BetaZenith Birla Limited Beta Legend

Zenith Birla Limited Technical Analysis

Transformation
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Zenith Birla Projected Return Density Against Market

Assuming 30 trading days horizon, Zenith Birla Limited has beta of -1.498 . This means as returns on its benchmark rise, returns on holding Zenith Birla Limited are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Zenith Birla is expected to outperform its benchmark. Moreover, Zenith Birla Limited has an alpha of 0.1605 implying that it can potentially generate 0.1605% 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 Zenith Birla is 446.71. The daily returns are destributed with a variance of 7.02 and standard deviation of 2.65. The mean deviation of Zenith Birla Limited is currently at 2.04. For similar time horizon, the selected benchmark (DOW) has volatility of 0.38
α
Alpha over DOW
=0.16
β
Beta against DOW=1.5
σ
Overall volatility
=2.65
Ir
Information ratio =0.03

Zenith Birla Return Volatility

Zenith Birla Limited accepts 2.6493% volatility on return distribution over the 30 days horizon. DOW inherits 0.389% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Zenith Birla Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Zenith Birla Investment Opportunity

Zenith Birla Limited has a volatility of 2.65 and is 6.79 times more volatile than DOW. 24% of all equities and portfolios are less risky than Zenith Birla. Compared to the overall equity markets, volatility of historical daily returns of Zenith Birla Limited is lower than 24 (%) of all global equities and portfolios over the last 30 days. Use Zenith Birla Limited to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Zenith Birla to be traded at 0.847 in 30 days. As returns on market increase, returns on owning Zenith Birla are expected to decrease by larger amounts. On the other hand, during market turmoil, Zenith Birla is expected to significantly outperform it.

Zenith Birla correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Zenith Birla Limited and equity matching DJI index in the same portfolio.

Zenith Birla Volatility Indicators

Zenith Birla Limited Current Risk Indicators

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