Natus Medical Risk Analysis

Natus Medical Incorporated -- USA Stock  

USD 35.95  0.05  0.14%

Macroaxis considers Natus Medical not too risky given 2 months investment horizon. Natus Medical Incorp has Sharpe Ratio of 0.2352 which conveys that Natus Medical Incorp had 0.2352% of return per unit of risk over the last 2 months. Our philosophy towards estimating 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 Natus Medical which you can use to evaluate future volatility of the firm. Please exercise Natus Medical Incorporated Downside Deviation of 1.71, Mean Deviation of 1.24 and Risk Adjusted Performance of 0.3925 to check out if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Natus Medical Market Sensitivity

As returns on market increase, Natus Medical returns are expected to increase less than the market. However during bear market, the loss on holding Natus Medical will be expected to be smaller as well.
2 Months Beta |Analyze Natus Medical Incorp Demand Trend
Check current 30 days Natus Medical correlation with market (DOW)
β = 0.0397
Natus Medical Small BetaNatus Medical Incorp Beta Legend

Natus Medical Incorp Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Natus Medical Incorp 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

Given the investment horizon of 30 days, Natus Medical has beta of 0.0397 . This suggests as returns on market go up, Natus Medical average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Natus Medical Incorporated will be expected to be much smaller as well. Moreover, Natus Medical Incorporated has an alpha of 0.379 implying that it can potentially generate 0.379% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Natus Medical is 425.16. The daily returns are destributed with a variance of 2.8 and standard deviation of 1.67. The mean deviation of Natus Medical Incorporated is currently at 1.29. For similar time horizon, the selected benchmark (DOW) has volatility of 1.66
α
Alpha over DOW
=0.38
β
Beta against DOW=0.0397
σ
Overall volatility
=1.67
Ir
Information ratio =0.27

Actual Return Volatility

Natus Medical Incorporated inherits 1.6725% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.4148% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Natus Medical Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

60 Days Economic Sensitivity

Barely shadows market

Total Debt

Natus Medical Incorp Total Debt History

Total Debt

Investment Outlook

Natus Medical Investment Opportunity
Natus Medical Incorporated has a volatility of 1.67 and is 1.18 times more volatile than DOW. 15% of all equities and portfolios are less risky than Natus Medical. Compared to the overall equity markets, volatility of historical daily returns of Natus Medical Incorporated is lower than 15 (%) of all global equities and portfolios over the last 30 days. Use Natus Medical Incorporated to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Natus Medical to be traded at $35.59 in 30 days. As returns on market increase, Natus Medical returns are expected to increase less than the market. However during bear market, the loss on holding Natus Medical will be expected to be smaller as well.

Natus Medical correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Natus Medical Incorporated and equity matching DJI index in the same portfolio.
Check also Trending Equities. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.