Blackstone Group Risk Analysis

The Blackstone Group L P -- USA Stock  

USD 32.23  0.11  0.34%

Macroaxis considers Blackstone Group to be not too risky. The Blackstone Group secures Sharpe Ratio (or Efficiency) of -0.1208 which signifies that The Blackstone Group had -0.1208% of return per unit of standard deviation over the last 2 months. 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. The Blackstone Group L P exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm The Blackstone Group Mean Deviation of 0.8558 and Risk Adjusted Performance of 0.26 to double-check risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Blackstone Group Market Sensitivity

As returns on market increase, Blackstone Group returns are expected to increase less than the market. However during bear market, the loss on holding Blackstone Group will be expected to be smaller as well.
2 Months Beta |Analyze The Blackstone Group Demand Trend
Check current 30 days Blackstone Group correlation with market (DOW)
β = 0.0402
Blackstone Group Small BetaThe Blackstone Group Beta Legend

The Blackstone Group Technical Analysis

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

Allowing for the 30-days total investment horizon, Blackstone Group has beta of 0.0402 . This suggests as returns on market go up, Blackstone Group average returns are expected to increase less than the benchmark. However during bear market, the loss on holding The Blackstone Group L P will be expected to be much smaller as well. Additionally, The Blackstone Group L P has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Allowing for the 30-days total investment horizon, the coefficient of variation of Blackstone Group is -827.65. The daily returns are destributed with a variance of 1.02 and standard deviation of 1.01. The mean deviation of The Blackstone Group L P is currently at 0.85. For similar time horizon, the selected benchmark (DOW) has volatility of 1.68
α
Alpha over DOW
=0.16
β
Beta against DOW=0.0402
σ
Overall volatility
=1.01
Ir
Information ratio =0.06

Actual Return Volatility

The Blackstone Group L P accepts 1.0097% volatility on return distribution over the 30 days horizon. DOW inherits 1.3999% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Blackstone Group Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Barely shadows market

Total Debt

The Blackstone Group Total Debt History

Total Debt

Investment Outlook

Blackstone Group Investment Opportunity
DOW has a standard deviation of returns of 1.4 and is 1.39 times more volatile than The Blackstone Group L P. 9% of all equities and portfolios are less risky than Blackstone Group. Compared to the overall equity markets, volatility of historical daily returns of The Blackstone Group L P is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use The Blackstone Group L P to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of Blackstone Group to be traded at $33.84 in 30 days. As returns on market increase, Blackstone Group returns are expected to increase less than the market. However during bear market, the loss on holding Blackstone Group will be expected to be smaller as well.

Blackstone Group correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding The Blackstone Group L P and equity matching DJI index in the same portfolio.

Volatility Indicators

Blackstone Group Current Risk Indicators
Check also Trending Equities. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.