RUBYMILLS Volatility

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RUBYMILLS -- India Stock  

INR 161.00  0.45  0.28%

RUBY MILLS appears to be very steady, given 3 months investment horizon. RUBY MILLS retains Efficiency (Sharpe Ratio) of 0.14, which implies the firm had 0.14% of return per unit of risk over the last 3 months. Our philosophy in forecasting 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 RUBY MILLS, which you can use to evaluate future volatility of the company. Please employ RUBY MILLS market risk adjusted performance of 3.79, and semi deviation of 1.81 to confirm if our risk estimates are consistent with your expectations.

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

90 Days Market Risk

Very steady

Chance of Distress

Below Average

90 Days Economic Sensitivity

Barely shadows the market

RUBY MILLS Market Sensitivity And Downside Risk

RUBY MILLS beta coefficient measures the volatility of RUBYMILLS 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 RUBYMILLS stock's returns against your selected market. In other words, RUBY MILLS's beta of 0.14 provides an investor with an approximation of how much risk RUBY MILLS stock can potentially add to one of your existing portfolios. Let's try to break down what RUBYMILLS's beta means in this case. As returns on the market increase, RUBY MILLS returns are expected to increase less than the market. However, during the bear market, the loss on holding RUBY MILLS will be expected to be smaller as well.
3 Months Beta |Analyze RUBY MILLS Demand Trend
Check current 30 days RUBY MILLS correlation with market (DOW)
β

Current RUBY MILLS Beta Coefficient

 = 

RUBY MILLS Central Daily Price Deviations

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

RUBY MILLS Volatility Analysis

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

RUBY MILLS Projected Return Density Against Market

Assuming the 30-days trading horizon, RUBY MILLS has a beta of 0.1386 indicating as returns on the market go up, RUBY MILLS average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding RUBY MILLS 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 RUBY MILLS or Consumer Cyclical 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 RUBY MILLS 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 RUBYMILLS 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 0.5041, implying that it can generate a 0.5 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

RUBY MILLS 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 RUBY MILLS or Consumer Cyclical 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 RUBY MILLS 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 RUBYMILLS 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-days trading horizon, the coefficient of variation of RUBY MILLS is 711.99. The daily returns are destributed with a variance of 6.72 and standard deviation of 2.59. The mean deviation of RUBY MILLS is currently at 1.81. For similar time horizon, the selected benchmark (DOW) has volatility of 1.8
α
Alpha over DOW
=0.50
β
Beta against DOW=0.14
σ
Overall volatility
=2.59
Ir
Information ratio =0.13

RUBY MILLS Return Volatility

RUBY MILLS historical daily return volatility represents how much RUBY MILLS 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 2.5929% volatility on return distribution over the 30 days horizon. By contrast, DOW inherits 1.8007% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About RUBY MILLS Volatility

Volatility is a rate at which the price of RUBY MILLS 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 RUBY MILLS may increase or decrease. In other words, similar to RUBYMILLS's beta indicator, it measures the risk of RUBY MILLS and helps estimate the fluctuations that may happen in a short period of time. So if prices of RUBY MILLS 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 Ruby Mills Limited manufactures textile products in India. The Ruby Mills Limited was founded in 1917 and is based in Mumbai, India. RUBY MILLS operates under Textile Manufacturing classification in India and is traded on National Stock Exchange of India. It employs 151 people.

RUBY MILLS Investment Opportunity

RUBY MILLS has a volatility of 2.59 and is 1.44 times more volatile than DOW. 22  of all equities and portfolios are less risky than RUBY MILLS. Compared to the overall equity markets, volatility of historical daily returns of RUBY MILLS is lower than 22 () of all global equities and portfolios over the last 30 days. Use RUBY MILLS to protect your portfolios against small markets fluctuations. The stock experiences a normal downward trend and little activity. Check odds of RUBY MILLS to be traded at 159.39 in 30 days. . Let's try to break down what RUBYMILLS's beta means in this case. As returns on the market increase, RUBY MILLS returns are expected to increase less than the market. However, during the bear market, the loss on holding RUBY MILLS will be expected to be smaller as well.

RUBY MILLS correlation with market

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

RUBY MILLS Additional Risk Indicators

The analysis of various secondary risk indicators of RUBY MILLS is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in RUBY MILLS investment, and either accepting that risk or mitigating it. Along with some common measures of RUBY MILLS 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 Performance0.3321
Market Risk Adjusted Performance3.79
Mean Deviation2.14
Semi Deviation1.81
Downside Deviation2.53
Coefficient Of Variation549.76
Standard Deviation2.93

RUBY MILLS 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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Additionally, take a look at Your Equity Center. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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