Collecting data for 005930
We consider Samsung relatively not risky. Samsung Electronics Co
owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.01 which indicates Samsung Electronics Co
had 0.01% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of a stock is to use all available market data together with company specific technical indicators
that cannot be diversified away. We have found twenty-eight technical indicators
for Samsung Electronics Co Ltd which you can use to evaluate future volatility of the company. Please validate Samsung Semi Deviation
of 1.51, Coefficient Of Variation
of 14673.46 and Risk Adjusted Performance
of 0.0099 to confirm if risk estimate we provide are consistent with the epected return of 0.01%.
Projected Return Density against Market
Assuming 30 trading days horizon, Samsung Electronics Co Ltd has beta of -0.37 . This suggests as returns on benchmark increase, returns on holding Samsung are expected to decrease at a much smaller rate. During bear market, however, Samsung Electronics Co Ltd is likely to outperform the market. Moreover, Samsung Electronics Co Ltd has alpha of 0.0326 implying that it can potentially generate 0.0326% excess return over S&P 500 after adjusting for the inherited market risk (beta).
Predicted Return Density
Assuming 30 trading days horizon, the coefficient of variation of Samsung is 14673.46. The daily returns are destributed with a variance of 2.05 and standard deviation of 1.43. The mean deviation of Samsung Electronics Co Ltd is currently at 1.16. For similar time horizon, the selected benchmark (S&P 500) has volatility of 0.46
Actual Return Volatility
Samsung Electronics Co Ltd accepts 1.43% volatility on return distribution over the 30 days horizon. S&P 500 shows 0.46% volatility of returns over 30 trading days.
Samsung Electronics Co Ltd has a volatility of 1.43 and is 3.11 times more volatile than S&P 500. 15%
of all equities and portfolios are less risky than Samsung. Compared with the overall equity markets, volatility of historical daily returns of Samsung Electronics Co Ltd is lower than 15 (%)
of all global equities and portfolios over the last 30 days. Use Samsung Electronics Co Ltd to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Samsung to be traded at W1570800.0 in 30 days
. As returns on market increase, returns on owning Samsung are expected to decrease at a much smaller rate. During bear market, Samsung is likely to outperform the market.
Samsung correlation with market
Overlapping area represents amount of risk that can be diversified away by holding Samsung Electronics Co. Ltd. and equity matching GSPC index in the same portfolio
Samsung Current Risk Indicators
Suggested Divercification Pairs