AMC Entertainment Risk Analysis

AMC Entertainment Holdings Inc -- USA Stock  

USD 15.1  0.7  4.43%

Macroaxis considers AMC Entertainment not very volatile given 1 month investment horizon. AMC Entertainment Ho retains Efficiency (Sharpe Ratio) of 0.246 which signifies that AMC Entertainment Ho had 0.246% of return per unit of risk over the last 1 month. Our philosophy in foreseeing volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. By analyzing AMC Entertainment Ho technical indicators you can right now evaluate if the expected return of 0.9521% is justified by implied risk. Please makes use of AMC Entertainment Holdings Inc Coefficient Of Variation of 423.94 and Market Risk Adjusted Performance of (0.33) to double-check if our risk estimates are consistent with your expectations.
Investment Horizon     30 Days    Login   to change

AMC Entertainment Market Sensitivity

As returns on market increase, returns on owning AMC Entertainment are expected to decrease by larger amounts. On the other hand, during market turmoil, AMC Entertainment is expected to significantly outperform it.
One Month Beta |Analyze AMC Entertainment Ho Demand Trend
Check current 30 days AMC Entertainment correlation with market (DOW)
β = -2.6931
AMC Entertainment Large Negative BetaAMC Entertainment Ho Beta Legend

AMC Entertainment Ho Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. AMC Entertainment Ho 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.

Projected Return Density Against Market

Considering 30-days investment horizon, AMC Entertainment Holdings Inc has beta of -2.6931 . This suggests as returns on its benchmark rise, returns on holding AMC Entertainment Holdings Inc are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, AMC Entertainment is expected to outperform its benchmark. In addition to that, AMC Entertainment Holdings Inc has an alpha of 1.5882 implying that it can potentially generate 1.5882% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of AMC Entertainment is 406.44. The daily returns are destributed with a variance of 14.97 and standard deviation of 3.87. The mean deviation of AMC Entertainment Holdings Inc is currently at 3.0. For similar time horizon, the selected benchmark (DOW) has volatility of 0.47
α
Alpha over DOW
=1.59
βBeta against DOW=2.69
σ
Overall volatility
=3.87
 IrInformation ratio =0.17

Actual Return Volatility

AMC Entertainment Holdings Inc has volatility of 3.8696% on return distribution over 30 days investment horizon. DOW inherits 0.4705% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

AMC Entertainment Volatility Factors

30 Days Market Risk

Not very volatile

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Completely opposite to market

Total Debt

AMC Entertainment Ho Total Debt History

Total Debt

Largest Trends

AMC Entertainment Largest Period Trend

Investment Outlook

AMC Entertainment Investment Opportunity
AMC Entertainment Holdings Inc has a volatility of 3.87 and is 8.23 times more volatile than DOW. 36% of all equities and portfolios are less risky than AMC Entertainment. Compared to the overall equity markets, volatility of historical daily returns of AMC Entertainment Holdings Inc is lower than 36 (%) of all global equities and portfolios over the last 30 days. Use AMC Entertainment Holdings Inc to protect against small markets fluctuations. The stock experiences very speculative upward sentiment.. Check odds of AMC Entertainment to be traded at $14.35 in 30 days. As returns on market increase, returns on owning AMC Entertainment are expected to decrease by larger amounts. On the other hand, during market turmoil, AMC Entertainment is expected to significantly outperform it.

AMC Entertainment correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding AMC Entertainment Holdings Inc and equity matching DJI index in the same portfolio.