HINDUSTAN Volatility

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HINDUNILVR -- India Stock  

INR 2,175  21.35  0.99%

HINDUSTAN UNILEVER LTD holds Efficiency (Sharpe) Ratio of -0.1289, which attests that the entity had -0.1289% of return per unit of volatility over the last 3 months. Macroaxis viewpoint regarding determining the risk of any stock is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. HINDUSTAN UNILEVER LTD exposes twenty-eight different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out HINDUSTAN UNILEVER risk adjusted performance of 0.1673, and market risk adjusted performance of 0.7021 to validate the risk estimate we provide.

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

90 Days Market Risk

Very steady

Chance of Distress

Below Average

90 Days Economic Sensitivity

Slowly supersedes the market

HINDUSTAN UNILEVER Market Sensitivity And Downside Risk

HINDUSTAN UNILEVER LTD beta coefficient measures the volatility of HINDUSTAN 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 HINDUSTAN stock's returns against your selected market. In other words, HINDUSTAN UNILEVER's beta of 0.41 provides an investor with an approximation of how much risk HINDUSTAN UNILEVER stock can potentially add to one of your existing portfolios. Let's try to break down what HINDUSTAN's beta means in this case. As returns on the market increase, HINDUSTAN UNILEVER returns are expected to increase less than the market. However, during the bear market, the loss on holding HINDUSTAN UNILEVER will be expected to be smaller as well.
3 Months Beta |Analyze HINDUSTAN UNILEVER LTD Demand Trend
Check current 30 days HINDUSTAN UNILEVER correlation with market (DOW)
β

Current HINDUSTAN UNILEVER Beta Coefficient

 = 

HINDUSTAN UNILEVER Central Daily Price Deviations

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

HINDUSTAN UNILEVER LTD Volatility Analysis

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

HINDUSTAN UNILEVER Projected Return Density Against Market

Assuming the 30 trading days horizon, HINDUSTAN UNILEVER has a beta of 0.4083 . This usually indicates as returns on the market go up, HINDUSTAN UNILEVER average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding HINDUSTAN UNILEVER 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 HINDUSTAN UNILEVER or HINDUSTAN UNILEVER 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 HINDUSTAN UNILEVER 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 HINDUSTAN 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 0.2179, implying that it can generate a 0.22 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

HINDUSTAN UNILEVER 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 HINDUSTAN UNILEVER or HINDUSTAN UNILEVER 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 HINDUSTAN UNILEVER 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 HINDUSTAN 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 HINDUSTAN UNILEVER is -775.61. The daily returns are destributed with a variance of 3.61 and standard deviation of 1.9. The mean deviation of HINDUSTAN UNILEVER LTD is currently at 1.39. For similar time horizon, the selected benchmark (DOW) has volatility of 1.82
α
Alpha over DOW
=0.22
β
Beta against DOW=0.41
σ
Overall volatility
=1.90
Ir
Information ratio =0.038

HINDUSTAN UNILEVER Return Volatility

HINDUSTAN UNILEVER historical daily return volatility represents how much HINDUSTAN UNILEVER 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 1.9007% volatility on return distribution over the 30 days horizon. By contrast, DOW inherits 1.8264% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About HINDUSTAN UNILEVER Volatility

Volatility is a rate at which the price of HINDUSTAN UNILEVER 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 HINDUSTAN UNILEVER may increase or decrease. In other words, similar to HINDUSTAN's beta indicator, it measures the risk of HINDUSTAN UNILEVER and helps estimate the fluctuations that may happen in a short period of time. So if prices of HINDUSTAN UNILEVER 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.
Hindustan Unilever Limited, a consumer goods company, manufactures and sells home and personal care, food, and refreshment products in India and internationally. The company was founded in 1931 and is based in Mumbai, India. HINDUSTAN UNILEVER operates under Household Personal Products classification in India and is traded on Bombay Stock Exchange.

HINDUSTAN UNILEVER Investment Opportunity

HINDUSTAN UNILEVER LTD has a volatility of 1.9 and is 1.04 times more volatile than DOW. 16  of all equities and portfolios are less risky than HINDUSTAN UNILEVER. Compared to the overall equity markets, volatility of historical daily returns of HINDUSTAN UNILEVER LTD is lower than 16 () of all global equities and portfolios over the last 30 days. Use HINDUSTAN UNILEVER LTD to enhance returns of your portfolios. The stock experiences a moderate upward volatility. Check odds of HINDUSTAN UNILEVER to be traded at 2393.0 in 30 days. . Let's try to break down what HINDUSTAN's beta means in this case. As returns on the market increase, HINDUSTAN UNILEVER returns are expected to increase less than the market. However, during the bear market, the loss on holding HINDUSTAN UNILEVER will be expected to be smaller as well.

HINDUSTAN UNILEVER correlation with market

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

HINDUSTAN UNILEVER Additional Risk Indicators

The analysis of various secondary risk indicators of HINDUSTAN UNILEVER is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in HINDUSTAN UNILEVER investment, and either accepting that risk or mitigating it. Along with some common measures of HINDUSTAN UNILEVER 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 Performance0.1673
Market Risk Adjusted Performance0.7021
Mean Deviation2.1
Semi Deviation2.07
Downside Deviation2.48
Coefficient Of Variation1117.04
Standard Deviation3.27

HINDUSTAN UNILEVER 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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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