Macroaxis considers Australian abnormally risky. Australian Bauxite L
secures Sharpe Ratio (or Efficiency) of -0.04 which signifies that Australian Bauxite L
had -0.04% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators
. Australian Bauxite Limited exposes twenty-seven different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Australian Bauxite L Downside Deviation
of 7.12, Risk Adjusted Performance
of (0.02) and Mean Deviation of 2.81 to double-check risk estimate we provide.
Projected Return Density against Market
Assuming 30 trading days horizon, Australian Bauxite Limited has beta of -0.73 . This suggests as returns on benchmark increase, returns on holding Australian are expected to decrease at a much smaller rate. During bear market, however, Australian Bauxite Limited is likely to outperform the market. Additionally, Australian Bauxite Limited has negative alpha implying that risk taken by holding this securing is not justified. The company is significantly underperforming S&P 500
Predicted Return Density
Assuming 30 trading days horizon, the coefficient of variation of Australian is -2823.3. The daily returns are destributed with a variance of 20.44 and standard deviation of 4.52. The mean deviation of Australian Bauxite Limited is currently at 2.81. For similar time horizon, the selected benchmark (S&P 500) has volatility of 0.84
Actual Return Volatility
Australian Bauxite Limited assumes 4.52% volatility of returns over the 30 days investment horizon. S&P 500 shows 0.84% volatility of returns over 30 trading days.