ITC Volatility

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ITC -- India Stock  

INR 175.75  4.95  2.90%

Macroaxis considers ITC to be very steady. ITC LTD retains Efficiency (Sharpe Ratio) of -0.0262, which attests that the entity had -0.0262% of return per unit of return volatility over the last 3 months. Macroaxis approach to determining risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. ITC exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out ITC LTD Market Risk Adjusted Performance of 15.04 to validate the risk estimate we provide.

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

90 Days Market Risk

Very steady

Chance of Distress

Close to Average

90 Days Economic Sensitivity

Moves indifferently to market moves

ITC Market Sensitivity

As returns on market increase, returns on owning ITC are expected to decrease at a much smaller rate. During bear market, ITC is likely to outperform the market.
3 Months Beta |Analyze ITC LTD Demand Trend
Check current 30 days ITC correlation with market (DOW)
β = -0.0249

ITC Central Daily Price Deviation

ITC LTD Technical Analysis

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ITC Projected Return Density Against Market

Assuming 30 trading days horizon, ITC LTD has beta of -0.0249 . This indicates as returns on benchmark increase, returns on holding ITC are expected to decrease at a much smaller rate. During bear market, however, ITC LTD is likely to outperform the market. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. ITC LTD is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of ITC is -3811.24. The daily returns are destributed with a variance of 26.0 and standard deviation of 5.1. The mean deviation of ITC LTD is currently at 3.27. For similar time horizon, the selected benchmark (DOW) has volatility of 4.08
α
Alpha over DOW
=-0.38
β
Beta against DOW=-0.02
σ
Overall volatility
=5.10
Ir
Information ratio =-0.05

ITC Return Volatility

the corporation assumes 5.0987% volatility of returns over the 30 days investment horizon. the entity inherits 4.1343% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About ITC Volatility

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

ITC Investment Opportunity

ITC LTD has a volatility of 5.1 and is 1.23 times more volatile than DOW. 44  of all equities and portfolios are less risky than ITC. Compared to the overall equity markets, volatility of historical daily returns of ITC LTD is lower than 44 () of all global equities and portfolios over the last 30 days. Use ITC LTD to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of ITC to be traded at 210.9 in 30 days. . As returns on market increase, returns on owning ITC are expected to decrease at a much smaller rate. During bear market, ITC is likely to outperform the market.

ITC correlation with market

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

ITC Current Risk Indicators

ITC Suggested Diversification Pairs

Please see Risk vs Return Analysis. Please also try Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.
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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