INDIABULLS Volatility

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IBVENTURES -- India Stock  

INR 119.90  1.05  0.88%

INDIABULLS VENTURE appears to be very steady, given 3 months investment horizon. INDIABULLS VENTURE holds Efficiency (Sharpe) Ratio of 0.1, which attests that the entity had 0.1% of return per unit of return volatility over the last 3 months. Our approach to 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 INDIABULLS VENTURE, which you can use to evaluate future volatility of the firm. Please utilize INDIABULLS VENTURE market risk adjusted performance of 1.02, and risk adjusted performance of (0.17) to validate if our risk estimates are consistent with your expectations.

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

90 Days Market Risk

Very steady

Chance of Distress

Below Average

90 Days Economic Sensitivity

Almost neglects market trends

INDIABULLS VENTURE Market Sensitivity And Downside Risk

INDIABULLS VENTURE beta coefficient measures the volatility of INDIABULLS 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 INDIABULLS stock's returns against your selected market. In other words, INDIABULLS VENTURE's beta of -0.361 provides an investor with an approximation of how much risk INDIABULLS VENTURE stock can potentially add to one of your existing portfolios. Let's try to break down what INDIABULLS's beta means in this case. As returns on the market increase, returns on owning INDIABULLS VENTURE are expected to decrease at a much lower rate. During the bear market, INDIABULLS VENTURE is likely to outperform the market.
3 Months Beta |Analyze INDIABULLS VENTURE Demand Trend
Check current 30 days INDIABULLS VENTURE correlation with market (DOW)
β

Current INDIABULLS VENTURE Beta Coefficient

 = 

INDIABULLS VENTURE Central Daily Price Deviations

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

INDIABULLS VENTURE Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. INDIABULLS VENTURE 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.

INDIABULLS VENTURE Projected Return Density Against Market

Assuming the 30 trading days horizon, INDIABULLS VENTURE has a beta of -0.361 . This usually indicates as returns on benchmark increase, returns on holding INDIABULLS VENTURE are expected to decrease at a much lower rate. During the bear market, however, INDIABULLS VENTURE is likely to outperform the market. 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 INDIABULLS VENTURE or INDIABULLS VENTURE 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 INDIABULLS VENTURE 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 INDIABULLS 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. INDIABULLS VENTURE is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

INDIABULLS VENTURE 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 INDIABULLS VENTURE or INDIABULLS VENTURE 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 INDIABULLS VENTURE 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 INDIABULLS 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 INDIABULLS VENTURE is 977.64. The daily returns are destributed with a variance of 18.46 and standard deviation of 4.3. The mean deviation of INDIABULLS VENTURE is currently at 3.53. For similar time horizon, the selected benchmark (DOW) has volatility of 2.14
α
Alpha over DOW
=-0.27
β
Beta against DOW=-0.36
σ
Overall volatility
=4.30
Ir
Information ratio =-0.14

INDIABULLS VENTURE Return Volatility

INDIABULLS VENTURE historical daily return volatility represents how much INDIABULLS VENTURE 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 4.297% volatility on return distribution over the 30 days horizon. By contrast, DOW inherits 1.8461% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About INDIABULLS VENTURE Volatility

Volatility is a rate at which the price of INDIABULLS VENTURE 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 INDIABULLS VENTURE may increase or decrease. In other words, similar to INDIABULLS's beta indicator, it measures the risk of INDIABULLS VENTURE and helps estimate the fluctuations that may happen in a short period of time. So if prices of INDIABULLS VENTURE 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.
Indiabulls Ventures Limited provides securities, commodities, and derivatives broking services in India. Indiabulls Ventures Limited was incorporated in 1995 and is headquartered in Gurugram, India. INDIABULLS VENTURE operates under Capital Markets classification in India and is traded on National Stock Exchange of India.

INDIABULLS VENTURE Investment Opportunity

INDIABULLS VENTURE has a volatility of 4.3 and is 2.32 times more volatile than DOW. 37  of all equities and portfolios are less risky than INDIABULLS VENTURE. Compared to the overall equity markets, volatility of historical daily returns of INDIABULLS VENTURE is lower than 37 () of all global equities and portfolios over the last 30 days. Use INDIABULLS VENTURE to enhance returns of your portfolios. The stock experiences a moderate upward volatility. Check odds of INDIABULLS VENTURE to be traded at 131.89 in 30 days. . Let's try to break down what INDIABULLS's beta means in this case. As returns on the market increase, returns on owning INDIABULLS VENTURE are expected to decrease at a much lower rate. During the bear market, INDIABULLS VENTURE is likely to outperform the market.

INDIABULLS VENTURE correlation with market

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

INDIABULLS VENTURE Additional Risk Indicators

The analysis of various secondary risk indicators of INDIABULLS VENTURE is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in INDIABULLS VENTURE investment, and either accepting that risk or mitigating it. Along with some common measures of INDIABULLS VENTURE 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(0.17)
Market Risk Adjusted Performance1.02
Mean Deviation3.59
Coefficient Of Variation(1,242)
Standard Deviation4.43
Variance19.59
Information Ratio(0.14)

INDIABULLS VENTURE 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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