Blackstone Group Risk Analysis And Volatility Evaluation

BX -- USA Stock  

USD 35.95  0.31  0.87%

Macroaxis considers Blackstone Group not too volatile given 1 month investment horizon. The Blackstone Group secures Sharpe Ratio (or Efficiency) of 0.4388 which signifies that The Blackstone Group had 0.4388% 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. By analyzing The Blackstone Group technical indicators you can presently evaluate if the expected return of 0.5938% is justified by implied risk. Please makes use of The Blackstone Group Mean Deviation of 1.11, Risk Adjusted Performance of 0.1506 and Semi Deviation of 0.587 to double-check if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Blackstone Group Market Sensitivity

As returns on market increase, returns on owning Blackstone Group are expected to decrease at a much smaller rate. During bear market, Blackstone Group is likely to outperform the market.
One Month Beta |Analyze The Blackstone Group Demand Trend
Check current 30 days Blackstone Group correlation with market (DOW)
β = -0.3143
Blackstone Group Almost negative 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 Blackstone Group L P has beta of -0.3143 . This suggests as returns on benchmark increase, returns on holding Blackstone Group are expected to decrease at a much smaller rate. During bear market, however, The Blackstone Group L P is likely to outperform the market. Moreover, The Blackstone Group L P has an alpha of 0.461 implying that it can potentially generate 0.461% 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 227.91. The daily returns are destributed with a variance of 1.83 and standard deviation of 1.35. The mean deviation of The Blackstone Group L P is currently at 1.08. For similar time horizon, the selected benchmark (DOW) has volatility of 0.46
α
Alpha over DOW
=0.46
β
Beta against DOW=0.31
σ
Overall volatility
=1.35
Ir
Information ratio =0.22

Actual Return Volatility

The Blackstone Group L P accepts 1.3534% volatility on return distribution over the 30 days horizon. DOW inherits 0.5115% 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 volatile

Chance of Distress in 24 months

30 Days Economic Sensitivity

Almost neglects market

Investment Outlook

Blackstone Group Investment Opportunity
The Blackstone Group L P has a volatility of 1.35 and is 2.65 times more volatile than DOW. 12% 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 12 (%) 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 $39.55 in 30 days. As returns on market increase, returns on owning Blackstone Group are expected to decrease at a much smaller rate. During bear market, Blackstone Group is likely to outperform the market.

Blackstone Group correlation with market

Good 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.
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