We consider Banco relatively not risky. Banco de Chile
secures Sharpe Ratio (or Efficiency) of 0.12 which signifies that Banco de Chile
had 0.12% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing 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 Banco de Chile which you can use to evaluate future volatility of the firm. Please confirm Banco de Chile Downside Deviation
of 1.15, Risk Adjusted Performance
of 0.0623 and Mean Deviation
of 1.15 to double-check if risk estimate we provide are consistent with the epected return of 0.18%.
Projected Return Density against Market
Considering 30-days investment horizon, Banco has beta of 0.22 . This suggests as returns on market go up, Banco avarage returns are expected to increase less than the benchmark. However during bear market, the loss on holding Banco de Chile will be expected to be much smaller as well. Moreover, Banco de Chile has alpha of 0.1469 implying that it can potentially generate 0.1469% excess return over S&P 500 after adjusting for the inherited market risk (beta).
Predicted Return Density
Considering 30-days investment horizon, the coefficient of variation of Banco is 838.08. The daily returns are destributed with a variance of 2.19 and standard deviation of 1.48. The mean deviation of Banco de Chile is currently at 1.15. For similar time horizon, the selected benchmark (S&P 500) has volatility of 0.46
Actual Return Volatility
Banco de Chile has volatility of 1.48%
on return distribution over 30 days investment horizon. S&P 500 shows 0.46% volatility of returns over 30 trading days.