AUROMA Volatility

AC
531336 -- India Stock  

INR 7.40  0.00  0.00%

AUROMA COKE is very risky given 3 months investment horizon. AUROMA COKE LTD secures Sharpe Ratio (or Efficiency) of 0.7, which signifies that the company had 0.7% of return per unit of risk over the last 3 months. Our philosophy in foreseeing the volatility of a stock is to use AUROMA COKE LTD market data together with company specific technical indicators. We have collected data for twenty-one different technical indicators, which can help you to evaluate if expected returns of 8.01% are justified by taking the suggested risk. Use AUROMA COKE risk adjusted performance of 0.0831, and mean deviation of 12.12 to evaluate company specific risk that cannot be diversified away.

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AUROMA COKE Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of AUROMA daily returns, and it is calculated using variance and standard deviation. We also use AUROMA's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of AUROMA COKE volatility.

AUROMA COKE Market Sensitivity And Downside Risk

AUROMA COKE LTD beta coefficient measures the volatility of AUROMA stock compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents AUROMA stock's returns against your selected market. In other words, AUROMA COKE's beta of 0.17 provides an investor with an approximation of how much risk AUROMA COKE stock can potentially add to one of your existing portfolios. Let's try to break down what AUROMA's beta means in this case. As returns on the market increase, AUROMA COKE returns are expected to increase less than the market. However, during the bear market, the loss on holding AUROMA COKE will be expected to be smaller as well.
3 Months Beta |Analyze AUROMA COKE LTD Demand Trend
Check current 30 days AUROMA COKE correlation with market (DOW)
β

Current AUROMA COKE Beta Coefficient

 = 

AUROMA COKE Central Daily Price Deviations

It is essential to understand the difference between upside risk (as represented by AUROMA COKE's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of AUROMA COKE stock's daily returns or price. Since the actual investment returns on holding a position in AUROMA COKE stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in AUROMA COKE.

AUROMA COKE LTD Volatility Analysis

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AUROMA COKE Projected Return Density Against Market

Assuming the 30 trading days horizon, AUROMA COKE has a beta of 0.1741 . This suggests as returns on the market go up, AUROMA COKE average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding AUROMA COKE LTD will be expected to be much smaller as well. Moreover, Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to AUROMA COKE or AUROMA COKE LTD sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that AUROMA COKE stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a AUROMA stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. The company has an alpha of 0.6569, implying that it can generate a 0.66 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

AUROMA COKE Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to AUROMA COKE or AUROMA COKE LTD sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that AUROMA COKE stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a AUROMA stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. Assuming the 30 trading days horizon, the coefficient of variation of AUROMA COKE is 142.34. The daily returns are destributed with a variance of 130.03 and standard deviation of 11.4. The mean deviation of AUROMA COKE LTD is currently at 8.2. For similar time horizon, the selected benchmark (DOW) has volatility of 1.83
α
Alpha over DOW
=0.66
β
Beta against DOW=0.17
σ
Overall volatility
=11.40
Ir
Information ratio =0.0306

AUROMA COKE Return Volatility

AUROMA COKE historical daily return volatility represents how much AUROMA COKE stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The company accepts 11.4033% volatility on return distribution over the 30 days horizon. By contrast, DOW inherits 1.8384% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About AUROMA COKE Volatility

Volatility is a rate at which the price of AUROMA COKE or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of AUROMA COKE may increase or decrease. In other words, similar to AUROMA's beta indicator, it measures the risk of AUROMA COKE and helps estimate the fluctuations that may happen in a short period of time. So if prices of AUROMA COKE fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility. Please read more on our technical analysis page.

AUROMA COKE Investment Opportunity

AUROMA COKE LTD has a volatility of 11.4 and is 6.2 times more volatile than DOW. 96  of all equities and portfolios are less risky than AUROMA COKE. Compared to the overall equity markets, volatility of historical daily returns of AUROMA COKE LTD is higher than 96 () of all global equities and portfolios over the last 30 days. Use AUROMA COKE LTD to protect your portfolios against small markets fluctuations. The stock experiences a normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of AUROMA COKE to be traded at 7.33 in 30 days. . Let's try to break down what AUROMA's beta means in this case. As returns on the market increase, AUROMA COKE returns are expected to increase less than the market. However, during the bear market, the loss on holding AUROMA COKE will be expected to be smaller as well.

AUROMA COKE correlation with market

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

AUROMA COKE Additional Risk Indicators

The analysis of various secondary risk indicators of AUROMA COKE is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in AUROMA COKE investment, and either accepting that risk or mitigating it. Along with some common measures of AUROMA COKE stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging your existing portfolio. Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing the like to determine which investment holds the most risk.
Risk Adjusted Performance0.0831
Market Risk Adjusted Performance3.94
Mean Deviation12.12
Coefficient Of Variation2471.74
Standard Deviation17.17
Variance294.72
Information Ratio0.0306

AUROMA COKE Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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