CA Risk Analysis And Volatility Evaluation

CA -- USA Stock  

USD 36.13  0.02  0.06%

We consider CA not too risky. CA secures Sharpe Ratio (or Efficiency) of 0.1242 which signifies that CA had 0.1242% 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 CA which you can use to evaluate future volatility of the firm. Please confirm CA Mean Deviation of 0.488, Risk Adjusted Performance of 0.01 and Semi Deviation of 0.4989 to double-check if risk estimate we provide are consistent with the epected return of 0.0804%.
 Time Horizon     30 Days    Login   to change

CA Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. CA 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, CA has beta of 0.0 . This suggests unless we do not have required data, the returns on DOW and CA are completely uncorrelated. Furthermore, CAIt does not look like CA alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Allowing for the 30-days total investment horizon, the coefficient of variation of CA is 805.26. The daily returns are destributed with a variance of 0.42 and standard deviation of 0.65. The mean deviation of CA is currently at 0.5. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.65
Ir
Information ratio =0.15

Actual Return Volatility

CA accepts 0.6474% volatility on return distribution over the 30 days horizon. DOW inherits 0.6072% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

CA Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

CA Investment Opportunity
CA has a volatility of 0.65 and is 1.07 times more volatile than DOW. 5% of all equities and portfolios are less risky than CA. Compared to the overall equity markets, volatility of historical daily returns of CA is lower than 5 (%) of all global equities and portfolios over the last 30 days.

Total Debt

CA Total Debt History

Total Debt

Volatility Indicators

CA Current Risk Indicators
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