GTLINFRA Volatility

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GTLINFRA -- India Stock  

INR 0.34  0.01  3.03%

We consider GTL INFRASTRUCTURE out of control. GTL INFRASTRUCTURE LTD holds Efficiency (Sharpe) Ratio of 0.02, which attests that the entity had 0.02% of return per unit of risk over the last 3 months. Our philosophy in determining 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 GTL INFRASTRUCTURE LTD, which you can use to evaluate future volatility of the corporation. Please check out GTL INFRASTRUCTURE Market Risk Adjusted Performance of (1.73) and Risk Adjusted Performance of (0.18) to validate if the risk estimate we provide is consistent with the expected return of 0.0797%.

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

90 Days Market Risk

Out of control

Chance of Distress

Close to Average

90 Days Economic Sensitivity

Barely shadows market

GTL INFRASTRUCTURE Market Sensitivity

As returns on market increase, GTL INFRASTRUCTURE returns are expected to increase less than the market. However, during bear market, the loss on holding GTL INFRASTRUCTURE will be expected to be smaller as well.
3 Months Beta |Analyze GTL INFRASTRUCTURE LTD Demand Trend
Check current 30 days GTL INFRASTRUCTURE correlation with market (DOW)
β = 0.1039

GTL INFRASTRUCTURE Central Daily Price Deviation

GTL INFRASTRUCTURE LTD Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. GTL INFRASTRUCTURE Typical Price indicator is an average of each day price and can be used instead of closing price when creating different GTL INFRASTRUCTURE LTD moving average lines. View also all equity analysis or get more info about typical price price transform indicator.

GTL INFRASTRUCTURE Projected Return Density Against Market

Assuming 30 trading days horizon, GTL INFRASTRUCTURE has beta of 0.1039 . This indicates as returns on market go up, GTL INFRASTRUCTURE average returns are expected to increase less than the benchmark. However during bear market, the loss on holding GTL INFRASTRUCTURE LTD will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. GTL INFRASTRUCTURE LTD is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of GTL INFRASTRUCTURE is 5000.79. The daily returns are destributed with a variance of 15.9 and standard deviation of 3.99. The mean deviation of GTL INFRASTRUCTURE LTD is currently at 2.93. For similar time horizon, the selected benchmark (DOW) has volatility of 4.02
α
Alpha over DOW
=-0.18
β
Beta against DOW=0.10
σ
Overall volatility
=3.99
Ir
Information ratio =-0.04

GTL INFRASTRUCTURE Return Volatility

the enterprise accepts 3.9876% volatility on return distribution over the 30 days horizon. the entity inherits 4.0067% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About GTL INFRASTRUCTURE Volatility

Volatility is a rate at which the price of GTL INFRASTRUCTURE 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 GTL INFRASTRUCTURE may increase or decrease. In other words, similar to GTLINFRA's beta indicator, it measures the risk of GTL INFRASTRUCTURE and helps estimate the fluctuations that may happen in a short period of time. So if prices of GTL INFRASTRUCTURE 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.

GTL INFRASTRUCTURE Investment Opportunity

DOW has a standard deviation of returns of 4.01 and is 1.01 times more volatile than GTL INFRASTRUCTURE LTD. 35  of all equities and portfolios are less risky than GTL INFRASTRUCTURE. Compared to the overall equity markets, volatility of historical daily returns of GTL INFRASTRUCTURE LTD is lower than 35 () of all global equities and portfolios over the last 30 days. Use GTL INFRASTRUCTURE LTD to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of GTL INFRASTRUCTURE to be traded at 0.408 in 30 days. . As returns on market increase, GTL INFRASTRUCTURE returns are expected to increase less than the market. However, during bear market, the loss on holding GTL INFRASTRUCTURE will be expected to be smaller as well.

GTL INFRASTRUCTURE correlation with market

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

GTL INFRASTRUCTURE Current Risk Indicators

GTL INFRASTRUCTURE Suggested Diversification Pairs

Please check Risk vs Return Analysis. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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