NMDC Volatility

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NMDC -- India Stock  

INR 81.20  2.95  3.77%

Macroaxis considers NMDC very steady given 3 months investment horizon. NMDC LTD has Sharpe Ratio of 0.0629, which conveys that the firm had 0.0629% of return per unit of risk over the last 3 months. Our philosophy towards estimating 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 NMDC, which you can use to evaluate future volatility of the firm. Please exercise NMDC LTD Mean Deviation of 3.92 and Risk Adjusted Performance of (0.28) to check out if our risk estimates are consistent with your expectations.

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

90 Days Market Risk

Very steady

Chance of Distress

Below Average

90 Days Economic Sensitivity

Moves indifferently to market moves

NMDC Market Sensitivity

As returns on market increase, returns on owning NMDC are expected to decrease at a much smaller rate. During bear market, NMDC is likely to outperform the market.
3 Months Beta |Analyze NMDC LTD Demand Trend
Check current 30 days NMDC correlation with market (DOW)
β = -0.1783

NMDC Central Daily Price Deviation

NMDC LTD Technical Analysis

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

NMDC Projected Return Density Against Market

Assuming 30 trading days horizon, NMDC LTD has beta of -0.1783 indicating as returns on benchmark increase, returns on holding NMDC are expected to decrease at a much smaller rate. During bear market, however, NMDC 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. NMDC LTD is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of NMDC is 1589.78. The daily returns are destributed with a variance of 32.85 and standard deviation of 5.73. The mean deviation of NMDC LTD is currently at 3.77. For similar time horizon, the selected benchmark (DOW) has volatility of 4.0
α
Alpha over DOW
=-0.43
β
Beta against DOW=-0.18
σ
Overall volatility
=5.73
Ir
Information ratio =-0.07

NMDC Return Volatility

the corporation accepts 5.7312% volatility on return distribution over the 30 days horizon. the entity inherits 3.9819% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About NMDC Volatility

Volatility is a rate at which the price of NMDC 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 NMDC may increase or decrease. In other words, similar to NMDC's beta indicator, it measures the risk of NMDC and helps estimate the fluctuations that may happen in a short period of time. So if prices of NMDC 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.
The company also explores for a range of minerals, such as copper, rock phosphate, lime stone, dolomite, gypsum, bentonite, magnesite, diamond, tin, tungsten, graphite, beach sands, etc., as well as coal and gold. NMDC Limited was founded in 1958 and is headquartered in Hyderabad, India. NMDC operates under Steel classification in India and is traded on Bombay Stock Exchange. It employs 5887 people.

NMDC Investment Opportunity

NMDC LTD has a volatility of 5.73 and is 1.44 times more volatile than DOW. 50  of all equities and portfolios are less risky than NMDC. Compared to the overall equity markets, volatility of historical daily returns of NMDC LTD is higher than 50 () of all global equities and portfolios over the last 30 days. Use NMDC LTD to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of NMDC to be traded at 97.44 in 30 days. . As returns on market increase, returns on owning NMDC are expected to decrease at a much smaller rate. During bear market, NMDC is likely to outperform the market.

NMDC correlation with market

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

NMDC Current Risk Indicators

NMDC Suggested Diversification Pairs

Additionally, see Stocks Correlation. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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