SUPERTEX Volatility

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SUPERTEX -- India Stock  

INR 1.88  0.01  0.53%

We consider SUPERTEX INDUSTRIES dangerous. SUPERTEX INDUSTRIES LTD owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0142, which indicates the firm had 0.0142% of return per unit of standard deviation over the last 3 months. Our standpoint 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. We have found twenty-one technical indicators for SUPERTEX INDUSTRIES LTD, which you can use to evaluate future volatility of the company. Please validate SUPERTEX INDUSTRIES risk adjusted performance of (0.20), and coefficient of variation of (1,073) to confirm if the risk estimate we provide is consistent with the expected return of 0.0575%.

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

90 Days Market Risk

Dangerous

Chance of Distress

Below Average

90 Days Economic Sensitivity

Moves indifferently to market moves

SUPERTEX INDUSTRIES Market Sensitivity And Downside Risk

SUPERTEX INDUSTRIES LTD beta coefficient measures the volatility of SUPERTEX 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 SUPERTEX stock's returns against your selected market. In other words, SUPERTEX INDUSTRIES's beta of -0.1245 provides an investor with an approximation of how much risk SUPERTEX INDUSTRIES stock can potentially add to one of your existing portfolios. Let's try to break down what SUPERTEX's beta means in this case. As returns on the market increase, returns on owning SUPERTEX INDUSTRIES are expected to decrease at a much lower rate. During the bear market, SUPERTEX INDUSTRIES is likely to outperform the market.
3 Months Beta |Analyze SUPERTEX INDUSTRIES LTD Demand Trend
Check current 30 days SUPERTEX INDUSTRIES correlation with market (DOW)
β

Current SUPERTEX INDUSTRIES Beta Coefficient

 = 

SUPERTEX INDUSTRIES Central Daily Price Deviations

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

SUPERTEX INDUSTRIES LTD Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of SUPERTEX INDUSTRIES LTD high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only SUPERTEX INDUSTRIES closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

SUPERTEX INDUSTRIES Projected Return Density Against Market

Assuming the 30 trading days horizon, SUPERTEX INDUSTRIES LTD has a beta of -0.1245 . This usually implies as returns on benchmark increase, returns on holding SUPERTEX INDUSTRIES are expected to decrease at a much lower rate. During the bear market, however, SUPERTEX INDUSTRIES LTD is likely to outperform the market. Additionally, 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 SUPERTEX INDUSTRIES or SUPERTEX INDUSTRIES 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 SUPERTEX INDUSTRIES 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 SUPERTEX 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 a negative alpha, implying that the risk taken by holding this equity is not justified. SUPERTEX INDUSTRIES LTD is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

SUPERTEX INDUSTRIES 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 SUPERTEX INDUSTRIES or SUPERTEX INDUSTRIES 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 SUPERTEX INDUSTRIES 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 SUPERTEX 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 SUPERTEX INDUSTRIES is 7066.36. The daily returns are destributed with a variance of 16.5 and standard deviation of 4.06. The mean deviation of SUPERTEX INDUSTRIES LTD is currently at 2.91. For similar time horizon, the selected benchmark (DOW) has volatility of 2.14
α
Alpha over DOW
=-0.31
β
Beta against DOW=-0.12
σ
Overall volatility
=4.06
Ir
Information ratio =-0.17

SUPERTEX INDUSTRIES Return Volatility

SUPERTEX INDUSTRIES historical daily return volatility represents how much SUPERTEX INDUSTRIES stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The firm accepts 4.062% volatility on return distribution over the 30 days horizon. By contrast, DOW inherits 1.8252% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About SUPERTEX INDUSTRIES Volatility

Volatility is a rate at which the price of SUPERTEX INDUSTRIES 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 SUPERTEX INDUSTRIES may increase or decrease. In other words, similar to SUPERTEX's beta indicator, it measures the risk of SUPERTEX INDUSTRIES and helps estimate the fluctuations that may happen in a short period of time. So if prices of SUPERTEX INDUSTRIES 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.
Supertex Industries Limited manufactures and sells draw warped and sized yarn beams, and textured and twisted yarns of polyester and nylon in India. Supertex Industries Limited was founded in 1986 and is headquartered in Mumbai, India. SUPERTEX INDUSTRIES operates under Textile Manufacturing classification in India and is traded on Bombay Stock Exchange. It employs 70 people.

SUPERTEX INDUSTRIES Investment Opportunity

SUPERTEX INDUSTRIES LTD has a volatility of 4.06 and is 2.22 times more volatile than DOW. 35  of all equities and portfolios are less risky than SUPERTEX INDUSTRIES. Compared to the overall equity markets, volatility of historical daily returns of SUPERTEX INDUSTRIES LTD is lower than 35 () of all global equities and portfolios over the last 30 days. Use SUPERTEX INDUSTRIES LTD to enhance returns of your portfolios. The stock experiences a moderate upward volatility. Check odds of SUPERTEX INDUSTRIES to be traded at 2.07 in 30 days. . Let's try to break down what SUPERTEX's beta means in this case. As returns on the market increase, returns on owning SUPERTEX INDUSTRIES are expected to decrease at a much lower rate. During the bear market, SUPERTEX INDUSTRIES is likely to outperform the market.

SUPERTEX INDUSTRIES correlation with market

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

SUPERTEX INDUSTRIES Additional Risk Indicators

The analysis of various secondary risk indicators of SUPERTEX INDUSTRIES is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in SUPERTEX INDUSTRIES investment, and either accepting that risk or mitigating it. Along with some common measures of SUPERTEX INDUSTRIES 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 Performance(0.20)
Market Risk Adjusted Performance2.75
Mean Deviation2.44
Coefficient Of Variation(1,073)
Standard Deviation3.56
Variance12.64
Information Ratio(0.17)

SUPERTEX INDUSTRIES 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