STARCEMENT Volatility

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STARCEMENT -- India Stock  

INR 91.85  2.55  2.86%

STAR CEMENT appears to be very steady, given 3 months investment horizon. STAR CEMENT LTD retains Efficiency (Sharpe Ratio) of 0.16, which indicates the firm had 0.16% of return per unit of risk over the last 3 months. Our philosophy in measuring 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 STAR CEMENT, which you can use to evaluate future volatility of the company. Please operate STAR CEMENT LTD risk adjusted performance of 0.2548, and downside deviation of 2.94 to confirm if our risk estimates are consistent with your expectations.

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

90 Days Market Risk

Very steady

Chance of Distress

Below Average

90 Days Economic Sensitivity

Moves indifferently to market moves

STAR CEMENT Market Sensitivity And Downside Risk

STAR CEMENT LTD beta coefficient measures the volatility of STARCEMENT 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 STARCEMENT stock's returns against your selected market. In other words, STAR CEMENT's beta of -0.0583 provides an investor with an approximation of how much risk STAR CEMENT stock can potentially add to one of your existing portfolios. Let's try to break down what STARCEMENT's beta means in this case. As returns on the market increase, returns on owning STAR CEMENT are expected to decrease at a much lower rate. During the bear market, STAR CEMENT is likely to outperform the market.
3 Months Beta |Analyze STAR CEMENT LTD Demand Trend
Check current 30 days STAR CEMENT correlation with market (DOW)
β

Current STAR CEMENT Beta Coefficient

 = 

STAR CEMENT Central Daily Price Deviations

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

STAR CEMENT LTD Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. STAR CEMENT LTD Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

STAR CEMENT Projected Return Density Against Market

Assuming the 30-days trading horizon, STAR CEMENT LTD has a beta of -0.0583 . This usually implies as returns on benchmark increase, returns on holding STAR CEMENT are expected to decrease at a much lower rate. During the bear market, however, STAR CEMENT 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 STAR CEMENT or Basic Materials 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 STAR CEMENT 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 STARCEMENT 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 0.3883, implying that it can generate a 0.39 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

STAR CEMENT 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 STAR CEMENT or Basic Materials 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 STAR CEMENT 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 STARCEMENT 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 STAR CEMENT is 606.47. The daily returns are distributed with a variance of 7.57 and standard deviation of 2.75. The mean deviation of STAR CEMENT LTD is currently at 1.9. For similar time horizon, the selected benchmark (DOW) has volatility of 1.8
α
Alpha over DOW
=0.39
β
Beta against DOW=-0.06
σ
Overall volatility
=2.75
Ir
Information ratio =0.06

STAR CEMENT Return Volatility

STAR CEMENT historical daily return volatility represents how much STAR CEMENT 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 2.7511% volatility on return distribution over the 30 days horizon. By contrast, DOW inherits 1.784% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About STAR CEMENT Volatility

Volatility is a rate at which the price of STAR CEMENT 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 STAR CEMENT may increase or decrease. In other words, similar to STARCEMENT's beta indicator, it measures the risk of STAR CEMENT and helps estimate the fluctuations that may happen in a short period of time. So if prices of STAR CEMENT 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.
Star Cement Limited manufactures and sells cement and clinker products in north eastern and eastern states of India. The company was founded in 2001 and is based in Kolkata, India. STAR CEMENT operates under Building Materials classification in India and is traded on National Stock Exchange of India.

STAR CEMENT Investment Opportunity

STAR CEMENT LTD has a volatility of 2.75 and is 1.54 times more volatile than DOW. 23  of all equities and portfolios are less risky than STAR CEMENT. Compared to the overall equity markets, volatility of historical daily returns of STAR CEMENT LTD is lower than 23 () of all global equities and portfolios over the last 30 days. Use STAR CEMENT LTD to enhance returns of your portfolios. The stock experiences an unexpected upward trend. Watch out for market signals. Check odds of STAR CEMENT to be traded at 110.22 in 30 days. . Let's try to break down what STARCEMENT's beta means in this case. As returns on the market increase, returns on owning STAR CEMENT are expected to decrease at a much lower rate. During the bear market, STAR CEMENT is likely to outperform the market.

STAR CEMENT correlation with market

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

STAR CEMENT Additional Risk Indicators

The analysis of various secondary risk indicators of STAR CEMENT is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in STAR CEMENT investment, and either accepting that risk or mitigating it. Along with some common measures of STAR CEMENT 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 Performance0.2548
Market Risk Adjusted Performance(6.43)
Mean Deviation1.89
Semi Deviation2.07
Downside Deviation2.94
Coefficient Of Variation717.0
Standard Deviation2.77

STAR CEMENT 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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