Natus Medical Risk Analysis

Natus Medical Incorporated -- USA Stock  

USD 40.1  0.2  0.5%

Macroaxis considers Natus Medical not too risky given 1 month investment horizon. Natus Medical Incorp has Sharpe Ratio of 0.5497 which conveys that Natus Medical Incorp had 0.5497% of return per unit of risk over the last 1 month. 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. By analyzing Natus Medical Incorp technical indicators you can presently evaluate if the expected return of 0.6011% is justified by implied risk. Please exercise Natus Medical Incorporated Coefficient Of Variation of 164.04, Mean Deviation of 0.8915 and Risk Adjusted Performance of 0.1729 to check out if our risk estimates are consistent with your expectations.
Investment 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.
One Month Beta |Analyze Natus Medical Incorp Demand Trend
Check current 30 days Natus Medical correlation with market (DOW)
β = 0.5107
Natus Medical Small BetaNatus Medical Incorp Beta Legend

Projected Return Density Against Market

Given the investment horizon of 30 days, Natus Medical has beta of 0.5107 . 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 0.5817 implying that it can potentially generate 0.5817% 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 181.92. The daily returns are destributed with a variance of 1.2 and standard deviation of 1.09. The mean deviation of Natus Medical Incorporated is currently at 0.85. For similar time horizon, the selected benchmark (DOW) has volatility of 0.27
α
Alpha over DOW
= 0.58 
βBeta against DOW= 0.51 
σ
Overall volatility
= 1.09 
 IrInformation ratio = 0.44 

Actual Return Volatility

Natus Medical Incorporated inherits 1.0935% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2576% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Natus Medical Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Very low

30 Days Economic Sensitivity

Follows market closely

Total Debt

Natus Medical Incorp Total Debt History

Total Debt

Largest Trends

Natus Medical Largest Period Trend

Investment Outlook

Natus Medical Investment Opportunity
Natus Medical Incorporated has a volatility of 1.09 and is 4.19 times more volatile than DOW. 10% 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 10 (%) of all global equities and portfolios over the last 30 days. Use Natus Medical Incorporated to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Natus Medical to be traded at $44.11 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

Average 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.

Volatility Indicators

Natus Medical Current Risk Indicators