RELIANCE Volatility

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RELIANCE -- India Stock  

INR 1,788  35.55  1.95%

RELIANCE INDS appears to be very steady, given 3 months investment horizon. RELIANCE INDS maintains Sharpe Ratio (i.e. Efficiency) of 0.32, which implies the firm had 0.32% of return per unit of volatility over the last 3 months. Our approach towards forecasting the volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By inspecting RELIANCE INDS technical indicators you can now evaluate if the expected return of 0.82% is justified by implied risk. Please employ RELIANCE INDS semi deviation of 2.02, and risk adjusted performance of 0.4759 to confirm if our risk estimates are consistent with your expectations.

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

90 Days Market Risk

Very steady

Chance of Distress

Below Average

90 Days Economic Sensitivity

Moves indifferently to market moves

RELIANCE INDS Market Sensitivity And Downside Risk

RELIANCE INDS beta coefficient measures the volatility of RELIANCE 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 RELIANCE stock's returns against your selected market. In other words, RELIANCE INDS's beta of -0.0441 provides an investor with an approximation of how much risk RELIANCE INDS stock can potentially add to one of your existing portfolios. Let's try to break down what RELIANCE's beta means in this case. As returns on the market increase, returns on owning RELIANCE INDS are expected to decrease at a much lower rate. During the bear market, RELIANCE INDS is likely to outperform the market.
3 Months Beta |Analyze RELIANCE INDS Demand Trend
Check current 30 days RELIANCE INDS correlation with market (DOW)
β

Current RELIANCE INDS Beta Coefficient

 = 

RELIANCE INDS Central Daily Price Deviations

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

RELIANCE INDS Volatility Analysis

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

RELIANCE INDS Projected Return Density Against Market

Assuming the 30 trading days horizon, RELIANCE INDS has a beta of -0.0441 indicating as returns on benchmark increase, returns on holding RELIANCE INDS are expected to decrease at a much lower rate. During the bear market, however, RELIANCE INDS is likely to outperform the market. 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 RELIANCE INDS or Investor Favorites 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 RELIANCE INDS 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 RELIANCE 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 0.9141, implying that it can generate a 0.91 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

RELIANCE INDS 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 RELIANCE INDS or Investor Favorites 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 RELIANCE INDS 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 RELIANCE 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 RELIANCE INDS is 312.63. The daily returns are destributed with a variance of 6.64 and standard deviation of 2.58. The mean deviation of RELIANCE INDS is currently at 1.85. For similar time horizon, the selected benchmark (DOW) has volatility of 1.81
α
Alpha over DOW
=0.91
β
Beta against DOW=-0.04
σ
Overall volatility
=2.58
Ir
Information ratio =0.21

RELIANCE INDS Return Volatility

RELIANCE INDS historical daily return volatility represents how much RELIANCE INDS 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 2.5773% volatility on return distribution over the 30 days horizon. By contrast, DOW inherits 1.8343% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About RELIANCE INDS Volatility

Volatility is a rate at which the price of RELIANCE INDS 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 RELIANCE INDS may increase or decrease. In other words, similar to RELIANCE's beta indicator, it measures the risk of RELIANCE INDS and helps estimate the fluctuations that may happen in a short period of time. So if prices of RELIANCE INDS 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.
Reliance Industries Limited engages in the hydrocarbon exploration and production, petroleum refining and marketing, petrochemicals, retail, textile, and digital service businesses worldwide. The company was incorporated in 1973 and is based in Mumbai, India. RELIANCE INDS operates under Oil Gas Refining Marketing classification in India and is traded on National Stock Exchange of India.

RELIANCE INDS Investment Opportunity

RELIANCE INDS has a volatility of 2.58 and is 1.41 times more volatile than DOW. 22  of all equities and portfolios are less risky than RELIANCE INDS. Compared to the overall equity markets, volatility of historical daily returns of RELIANCE INDS is lower than 22 () of all global equities and portfolios over the last 30 days. Use RELIANCE INDS to protect your portfolios against small markets fluctuations. The stock experiences a somewhat bearish sentiment, but market may correct it shortly. Check odds of RELIANCE INDS to be traded at 1734.26 in 30 days. . Let's try to break down what RELIANCE's beta means in this case. As returns on the market increase, returns on owning RELIANCE INDS are expected to decrease at a much lower rate. During the bear market, RELIANCE INDS is likely to outperform the market.

RELIANCE INDS correlation with market

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

RELIANCE INDS Additional Risk Indicators

The analysis of various secondary risk indicators of RELIANCE INDS is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in RELIANCE INDS investment, and either accepting that risk or mitigating it. Along with some common measures of RELIANCE INDS 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 Performance0.4759
Market Risk Adjusted Performance(20.54)
Mean Deviation2.35
Semi Deviation2.02
Downside Deviation3.03
Coefficient Of Variation385.17
Standard Deviation3.53

RELIANCE INDS 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