CAPROLACTAM Volatility

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CAPRO -- India Stock  

INR 23.05  1.20  4.95%

CAPROLACTAM CHEMICALS appears to be not too volatile, given 3 months investment horizon. CAPROLACTAM CHEMICALS LTD secures Sharpe Ratio (or Efficiency) of 0.12, which signifies that the company had 0.12% of return per unit of risk over the last 3 months. Our approach 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 CAPROLACTAM CHEMICALS LTD, which you can use to evaluate future volatility of the entity. Please makes use of CAPROLACTAM CHEMICALS LTD coefficient of variation of 483.05, semi deviation of 2.74, and mean deviation of 3.19 to double-check if our risk estimates are consistent with your expectations.

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

90 Days Market Risk

Not too volatile

Chance of Distress

90 Days Economic Sensitivity

Almost neglects market trends

CAPROLACTAM CHEMICALS Market Sensitivity And Downside Risk

CAPROLACTAM CHEMICALS LTD beta coefficient measures the volatility of CAPROLACTAM 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 CAPROLACTAM stock's returns against your selected market. In other words, CAPROLACTAM CHEMICALS's beta of -0.0213 provides an investor with an approximation of how much risk CAPROLACTAM CHEMICALS stock can potentially add to one of your existing portfolios. Let's try to break down what CAPROLACTAM's beta means in this case. As returns on the market increase, returns on owning CAPROLACTAM CHEMICALS are expected to decrease at a much lower rate. During the bear market, CAPROLACTAM CHEMICALS is likely to outperform the market.
3 Months Beta |Analyze CAPROLACTAM CHEMICALS LTD Demand Trend
Check current 30 days CAPROLACTAM CHEMICALS correlation with market (DOW)
β

Current CAPROLACTAM CHEMICALS Beta Coefficient

 = 

CAPROLACTAM CHEMICALS Central Daily Price Deviations

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

CAPROLACTAM CHEMICALS LTD Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. CAPROLACTAM CHEMICALS LTD 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 average price price transform indicator.

CAPROLACTAM CHEMICALS Projected Return Density Against Market

Assuming the 30 trading days horizon, CAPROLACTAM CHEMICALS LTD has a beta of -0.0213 suggesting as returns on benchmark increase, returns on holding CAPROLACTAM CHEMICALS are expected to decrease at a much lower rate. During the bear market, however, CAPROLACTAM CHEMICALS LTD is likely to outperform the market. 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 CAPROLACTAM CHEMICALS or CAPROLACTAM CHEMICALS 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 CAPROLACTAM CHEMICALS 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 CAPROLACTAM 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 0.8455, implying that it can generate a 0.85 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

CAPROLACTAM CHEMICALS 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 CAPROLACTAM CHEMICALS or CAPROLACTAM CHEMICALS 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 CAPROLACTAM CHEMICALS 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 CAPROLACTAM 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 CAPROLACTAM CHEMICALS is 855.68. The daily returns are destributed with a variance of 17.9 and standard deviation of 4.23. The mean deviation of CAPROLACTAM CHEMICALS LTD is currently at 3.09. For similar time horizon, the selected benchmark (DOW) has volatility of 1.81
α
Alpha over DOW
=0.85
β
Beta against DOW=-0.02
σ
Overall volatility
=4.23
Ir
Information ratio =0.16

CAPROLACTAM CHEMICALS Return Volatility

CAPROLACTAM CHEMICALS historical daily return volatility represents how much CAPROLACTAM CHEMICALS 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 4.2305% volatility on return distribution over the 30 days horizon. By contrast, DOW inherits 1.8334% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About CAPROLACTAM CHEMICALS Volatility

Volatility is a rate at which the price of CAPROLACTAM CHEMICALS 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 CAPROLACTAM CHEMICALS may increase or decrease. In other words, similar to CAPROLACTAM's beta indicator, it measures the risk of CAPROLACTAM CHEMICALS and helps estimate the fluctuations that may happen in a short period of time. So if prices of CAPROLACTAM CHEMICALS 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.
Caprolactam Chemicals Limited engages in the contract manufacturing of chemicals in India. Caprolactam Chemicals Limited was incorporated in 1988 and is based in Mahad, India. CAPROLACTAM CHEMICALS operates under Chemicals classification in India and is traded on Bombay Stock Exchange.

CAPROLACTAM CHEMICALS Investment Opportunity

CAPROLACTAM CHEMICALS LTD has a volatility of 4.23 and is 2.31 times more volatile than DOW. 36  of all equities and portfolios are less risky than CAPROLACTAM CHEMICALS. Compared to the overall equity markets, volatility of historical daily returns of CAPROLACTAM CHEMICALS LTD is lower than 36 () of all global equities and portfolios over the last 30 days. Use CAPROLACTAM CHEMICALS LTD to protect your portfolios against small markets fluctuations. The stock experiences a very speculative upward sentiment. Check odds of CAPROLACTAM CHEMICALS to be traded at 21.9 in 30 days. . Let's try to break down what CAPROLACTAM's beta means in this case. As returns on the market increase, returns on owning CAPROLACTAM CHEMICALS are expected to decrease at a much lower rate. During the bear market, CAPROLACTAM CHEMICALS is likely to outperform the market.

CAPROLACTAM CHEMICALS correlation with market

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

CAPROLACTAM CHEMICALS Additional Risk Indicators

The analysis of various secondary risk indicators of CAPROLACTAM CHEMICALS is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in CAPROLACTAM CHEMICALS investment, and either accepting that risk or mitigating it. Along with some common measures of CAPROLACTAM CHEMICALS 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 Performance0.3812
Market Risk Adjusted Performance(39.51)
Mean Deviation3.19
Semi Deviation2.74
Downside Deviation4.89
Coefficient Of Variation483.05
Standard Deviation4.11

CAPROLACTAM CHEMICALS 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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Continue to Trending Equities. Please also try Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.
Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page