AMC Entertainment Risk Analysis And Volatility Evaluation

AMC -- USA Stock  

USD 15.95  0.50  3.04%

Macroaxis considers AMC Entertainment to be not very risky. AMC Entertainment Ho retains Efficiency (Sharpe Ratio) of -0.0593 which signifies that AMC Entertainment Ho had -0.0593% of return per unit of risk over the last 1 month. Macroaxis philosophy in 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. AMC Entertainment exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm AMC Entertainment Holdings Coefficient Of Variation of 1,680 and Market Risk Adjusted Performance of 0.1101 to double-check risk estimate we provide.
 Time 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 = -1.6084
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 has beta of -1.6084 . This suggests as returns on its benchmark rise, returns on holding AMC Entertainment Holdings are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, AMC Entertainment is expected to outperform its benchmark. Moreover, AMC Entertainment Holdings has an alpha of 0.021 implying that it can potentially generate 0.021% 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 -1687.64. The daily returns are destributed with a variance of 5.76 and standard deviation of 2.4. The mean deviation of AMC Entertainment Holdings is currently at 1.8. For similar time horizon, the selected benchmark (DOW) has volatility of 0.46
α
Alpha over DOW
=0.021
β
Beta against DOW=1.61
σ
Overall volatility
=2.40
Ir
Information ratio =0.11

Actual Return Volatility

AMC Entertainment Holdings has volatility of 2.4008% on return distribution over 30 days investment horizon. DOW inherits 0.5115% 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 risky

Chance of Distress in 24 months

Close to average

30 Days Economic Sensitivity

Very regressive towards market

Investment Outlook

AMC Entertainment Investment Opportunity
AMC Entertainment Holdings has a volatility of 2.4 and is 4.71 times more volatile than DOW. 22% 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 is lower than 22 (%) of all global equities and portfolios over the last 30 days. Use AMC Entertainment Holdings to protect against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of AMC Entertainment to be traded at $15.31 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.
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