BATAINDIA Volatility

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BATAINDIA -- India Stock  

INR 1,282  2.50  0.19%

We consider BATA INDIA very steady. BATA INDIA LTD secures Sharpe Ratio (or Efficiency) of 0.0328, which signifies that the company had 0.0328% of return per unit of volatility over the last 3 months. Our standpoint towards foreseeing the 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 BATA INDIA LTD, which you can use to evaluate future volatility of the entity. Please confirm BATA INDIA LTD mean deviation of 3.75, coefficient of variation of (6,423), and market risk adjusted performance of (0.10) to double-check if the risk estimate we provide is consistent with the expected return of 0.0856%.

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BATA INDIA 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 BATAINDIA daily returns, and it is calculated using variance and standard deviation. We also use BATAINDIA's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of BATA INDIA volatility.

90 Days Market Risk

Very steady

Chance of Distress

Below Average

90 Days Economic Sensitivity

Almost mirrors the market

BATA INDIA Market Sensitivity And Downside Risk

BATA INDIA LTD beta coefficient measures the volatility of BATAINDIA 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 BATAINDIA stock's returns against your selected market. In other words, BATA INDIA's beta of 1.02 provides an investor with an approximation of how much risk BATA INDIA stock can potentially add to one of your existing portfolios. Let's try to break down what BATAINDIA's beta means in this case. BATA INDIA returns are very sensitive to returns on the market. As the market goes up or down, BATA INDIA is expected to follow.
3 Months Beta |Analyze BATA INDIA LTD Demand Trend
Check current 30 days BATA INDIA correlation with market (DOW)
β

Current BATA INDIA Beta Coefficient

 = 

BATA INDIA Central Daily Price Deviations

It is essential to understand the difference between upside risk (as represented by BATA INDIA's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of BATA INDIA stock's daily returns or price. Since the actual investment returns on holding a position in BATA INDIA 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 BATA INDIA.

BATA INDIA LTD Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of BATA INDIA LTD high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only BATA INDIA closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

BATA INDIA Projected Return Density Against Market

Assuming the 30 trading days horizon, the stock has the beta coefficient of 1.0229 suggesting BATA INDIA LTD market returns are highly-sensitive to returns on the market. As the market goes up or down, BATA INDIA is expected to follow. Additionally, 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 BATA INDIA or BATA INDIA 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 BATA INDIA 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 BATAINDIA 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 a negative alpha, implying that the risk taken by holding this equity is not justified. BATA INDIA LTD is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

BATA INDIA 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 BATA INDIA or BATA INDIA 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 BATA INDIA 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 BATAINDIA 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 BATA INDIA is 3047.43. The daily returns are destributed with a variance of 6.81 and standard deviation of 2.61. The mean deviation of BATA INDIA LTD is currently at 1.9. For similar time horizon, the selected benchmark (DOW) has volatility of 2.14
α
Alpha over DOW
=-0.38
β
Beta against DOW=1.02
σ
Overall volatility
=2.61
Ir
Information ratio =-0.06

BATA INDIA Return Volatility

BATA INDIA historical daily return volatility represents how much BATA INDIA stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The firm accepts 2.6088% volatility on return distribution over the 30 days horizon. By contrast, DOW inherits 1.8316% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About BATA INDIA Volatility

Volatility is a rate at which the price of BATA INDIA 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 BATA INDIA may increase or decrease. In other words, similar to BATAINDIA's beta indicator, it measures the risk of BATA INDIA and helps estimate the fluctuations that may happen in a short period of time. So if prices of BATA INDIA 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.
Bata India Limited manufactures and trades in footwear and accessories through its retail and wholesale network in India. The company was incorporated in 1931 and is based in Gurugram, India. BATA INDIA operates under Footwear Accessories classification in India and is traded on Bombay Stock Exchange.

BATA INDIA Investment Opportunity

BATA INDIA LTD has a volatility of 2.61 and is 1.43 times more volatile than DOW. 22  of all equities and portfolios are less risky than BATA INDIA. Compared to the overall equity markets, volatility of historical daily returns of BATA INDIA LTD is lower than 22 () of all global equities and portfolios over the last 30 days. Use BATA INDIA LTD to protect your portfolios against small markets fluctuations. The stock experiences a normal downward trend and little activity. Check odds of BATA INDIA to be traded at 1269.48 in 30 days. . Let's try to break down what BATAINDIA's beta means in this case. BATA INDIA returns are very sensitive to returns on the market. As the market goes up or down, BATA INDIA is expected to follow.

BATA INDIA correlation with market

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

BATA INDIA Additional Risk Indicators

The analysis of various secondary risk indicators of BATA INDIA is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in BATA INDIA investment, and either accepting that risk or mitigating it. Along with some common measures of BATA INDIA 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 Performance(0.026474)
Market Risk Adjusted Performance(0.10)
Mean Deviation3.75
Coefficient Of Variation(6,423)
Standard Deviation6.68
Variance44.61
Information Ratio(0.06)

BATA INDIA 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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