Blackstone Group Risk Analysis

The Blackstone Group L P -- USA Stock  

USD 34.01  0.45  1.31%

We consider Blackstone Group not too risky. The Blackstone Group secures Sharpe Ratio (or Efficiency) of 0.2421 which signifies that The Blackstone Group had 0.2421% 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 0.658, Risk Adjusted Performance of 0.0891 and Semi Deviation of 0.21 to double-check if risk estimate we provide are consistent with the epected return of 0.1846%.
Investment 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.
One Month Beta |Analyze The Blackstone Group Demand Trend
Check current 30 days Blackstone Group correlation with market (DOW)
β = 0.5623
Blackstone Group Small BetaThe Blackstone Group Beta Legend

Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Blackstone Group has beta of 0.5623 . 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. Moreover, The Blackstone Group L P has an alpha of 0.127 implying that it can potentially generate 0.127% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Allowing for the 30-days total investment horizon, the coefficient of variation of Blackstone Group is 413.05. The daily returns are destributed with a variance of 0.58 and standard deviation of 0.76. The mean deviation of The Blackstone Group L P is currently at 0.63. For similar time horizon, the selected benchmark (DOW) has volatility of 0.27
α
Alpha over DOW
= 0.13 
βBeta against DOW= 0.56 
σ
Overall volatility
= 0.76 
 IrInformation ratio = 0.0592 

Actual Return Volatility

The Blackstone Group L P accepts 0.7625% volatility on return distribution over the 30 days horizon. DOW inherits 0.2695% 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

Follows market closely

Total Debt

The Blackstone Group Total Debt History

Total Debt

Largest Trends

Blackstone Group Largest Period Trend

Investment Outlook

Blackstone Group Investment Opportunity
The Blackstone Group L P has a volatility of 0.76 and is 2.81 times more volatile than DOW. 7% 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 7 (%) of all global equities and portfolios over the last 30 days. Use The Blackstone Group L P to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Blackstone Group to be traded at $32.99 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

Average 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