Blackstone Group Risk Analysis And Volatility Evaluation

BX -- USA Stock  

USD 36.20  0.35  0.98%

We consider Blackstone Group not too risky. The Blackstone Group secures Sharpe Ratio (or Efficiency) of 0.0751 which signifies that The Blackstone Group had 0.0751% of return per unit of standard deviation over the last 1 month. Our philosophy in 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-one technical indicators for The Blackstone Group L P which you can use to evaluate future volatility of the firm. Please confirm The Blackstone Group Mean Deviation of 0.7958, Risk Adjusted Performance of 0.0467 and Semi Deviation of 0.8482 to double-check if risk estimate we provide are consistent with the epected return of 0.0722%.
 Time Horizon     30 Days    Login   to change

Blackstone Group Market Sensitivity

Blackstone Group returns are very sensitive to returns on the market. As market goes up or down, Blackstone Group is expected to follow.
One Month Beta |Analyze The Blackstone Group Demand Trend
Check current 30 days Blackstone Group correlation with market (DOW)
β = 1.1455
Blackstone Group llmost one 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 seventeen. 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, the stock has beta coefficient of 1.1455 . This suggests The Blackstone Group L P market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Blackstone Group is expected to follow. 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 1331.9. The daily returns are destributed with a variance of 0.93 and standard deviation of 0.96. The mean deviation of The Blackstone Group L P is currently at 0.76. For similar time horizon, the selected benchmark (DOW) has volatility of 0.55
α
Alpha over DOW
=0.05
β
Beta against DOW=1.15
σ
Overall volatility
=0.96
Ir
Information ratio =0.03

Actual Return Volatility

The Blackstone Group L P accepts 0.9622% volatility on return distribution over the 30 days horizon. DOW inherits 0.5397% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Blackstone Group Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Almost mirrors market

Investment Outlook

Blackstone Group Investment Opportunity
The Blackstone Group L P has a volatility of 0.96 and is 1.78 times more volatile than DOW. 8% 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 8 (%) 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 moderate upward volatility. Check odds of Blackstone Group to be traded at $39.82 in 30 days. Blackstone Group returns are very sensitive to returns on the market. As market goes up or down, Blackstone Group is expected to follow.

Blackstone Group correlation with market

Poor 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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.