SPELS Volatility

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SPELS -- India Stock  

INR 6.27  0.47  8.10%

SPEL SEMICONDUCTOR appears to be relatively risky, given 3 months investment horizon. SPEL SEMICONDUCTOR LTD owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.21, which indicates the firm had 0.21% of return per unit of volatility over the last 3 months. Our approach towards measuring the volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By examining SPEL SEMICONDUCTOR LTD technical indicators you can now evaluate if the expected return of 0.93% is justified by implied risk. Please operate SPEL SEMICONDUCTOR coefficient of variation of 931.05, and risk adjusted performance of 0.2029 to confirm if our risk estimates are consistent with your expectations.

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

90 Days Market Risk

Relatively risky

Chance of Distress

Below Average

90 Days Economic Sensitivity

Almost neglects market trends

SPEL SEMICONDUCTOR Market Sensitivity And Downside Risk

SPEL SEMICONDUCTOR LTD beta coefficient measures the volatility of SPELS 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 SPELS stock's returns against your selected market. In other words, SPEL SEMICONDUCTOR's beta of -0.2688 provides an investor with an approximation of how much risk SPEL SEMICONDUCTOR stock can potentially add to one of your existing portfolios. Let's try to break down what SPELS's beta means in this case. As returns on the market increase, returns on owning SPEL SEMICONDUCTOR are expected to decrease at a much lower rate. During the bear market, SPEL SEMICONDUCTOR is likely to outperform the market.
3 Months Beta |Analyze SPEL SEMICONDUCTOR LTD Demand Trend
Check current 30 days SPEL SEMICONDUCTOR correlation with market (DOW)
β

Current SPEL SEMICONDUCTOR Beta Coefficient

 = 

SPEL SEMICONDUCTOR Central Daily Price Deviations

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

SPEL SEMICONDUCTOR LTD Volatility Analysis

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

SPEL SEMICONDUCTOR Projected Return Density Against Market

Assuming the 30 trading days horizon, SPEL SEMICONDUCTOR LTD has a beta of -0.2688 . This usually implies as returns on benchmark increase, returns on holding SPEL SEMICONDUCTOR are expected to decrease at a much lower rate. During the bear market, however, SPEL SEMICONDUCTOR LTD 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 SPEL SEMICONDUCTOR or SPEL SEMICONDUCTOR LTD 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 SPEL SEMICONDUCTOR 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 SPELS 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 0.5065, implying that it can generate a 0.51 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

SPEL SEMICONDUCTOR 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 SPEL SEMICONDUCTOR or SPEL SEMICONDUCTOR LTD 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 SPEL SEMICONDUCTOR 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 SPELS 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 SPEL SEMICONDUCTOR is 475.77. The daily returns are destributed with a variance of 19.75 and standard deviation of 4.44. The mean deviation of SPEL SEMICONDUCTOR LTD is currently at 3.26. For similar time horizon, the selected benchmark (DOW) has volatility of 1.83
α
Alpha over DOW
=0.51
β
Beta against DOW=-0.27
σ
Overall volatility
=4.44
Ir
Information ratio =0.07

SPEL SEMICONDUCTOR Return Volatility

SPEL SEMICONDUCTOR historical daily return volatility represents how much SPEL SEMICONDUCTOR 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 4.4441% volatility on return distribution over the 30 days horizon. By contrast, DOW inherits 1.8384% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About SPEL SEMICONDUCTOR Volatility

Volatility is a rate at which the price of SPEL SEMICONDUCTOR 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 SPEL SEMICONDUCTOR may increase or decrease. In other words, similar to SPELS's beta indicator, it measures the risk of SPEL SEMICONDUCTOR and helps estimate the fluctuations that may happen in a short period of time. So if prices of SPEL SEMICONDUCTOR 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.
SPEL Semiconductor Limited, a semiconductor assembly and test company, provides contract manufacturing services for semiconductor companies in India. SPEL Semiconductor Limited is a subsidiary of Natronix Semiconductor Technology Private Limited. SPEL SEMICONDUCTOR operates under Semiconductors classification in India and is traded on Bombay Stock Exchange. It employs 325 people.

SPEL SEMICONDUCTOR Investment Opportunity

SPEL SEMICONDUCTOR LTD has a volatility of 4.44 and is 2.41 times more volatile than DOW. 38  of all equities and portfolios are less risky than SPEL SEMICONDUCTOR. Compared to the overall equity markets, volatility of historical daily returns of SPEL SEMICONDUCTOR LTD is lower than 38 () of all global equities and portfolios over the last 30 days. Use SPEL SEMICONDUCTOR LTD to enhance returns of your portfolios. The stock experiences a very speculative upward sentiment. Check odds of SPEL SEMICONDUCTOR to be traded at 7.84 in 30 days. . Let's try to break down what SPELS's beta means in this case. As returns on the market increase, returns on owning SPEL SEMICONDUCTOR are expected to decrease at a much lower rate. During the bear market, SPEL SEMICONDUCTOR is likely to outperform the market.

SPEL SEMICONDUCTOR correlation with market

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

SPEL SEMICONDUCTOR Additional Risk Indicators

The analysis of various secondary risk indicators of SPEL SEMICONDUCTOR is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in SPEL SEMICONDUCTOR investment, and either accepting that risk or mitigating it. Along with some common measures of SPEL SEMICONDUCTOR 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 Performance0.2029
Market Risk Adjusted Performance(1.72)
Mean Deviation3.34
Semi Deviation4.09
Downside Deviation5.01
Coefficient Of Variation931.05
Standard Deviation4.41

SPEL SEMICONDUCTOR 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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