CA Risk Analysis And Volatility Evaluation

CA -- USA Stock  

USD 44.01  0.09  0.20%

We consider CA not too risky. CA secures Sharpe Ratio (or Efficiency) of 0.3475 which signifies that CA had 0.3475% 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 stock specific technical indicators that cannot be diversified away. We have found twenty technical indicators for CA which you can use to evaluate future volatility of the firm. Please confirm CA Mean Deviation of 0.0861, Risk Adjusted Performance of 0.0643 and Downside Deviation of 0.0852 to double-check if risk estimate we provide are consistent with the epected return of 0.0478%.
Horizon     30 Days    Login   to change

CA Market Sensitivity

As returns on market increase, returns on owning CA are expected to decrease at a much smaller rate. During bear market, CA is likely to outperform the market.
One Month Beta |Analyze CA Demand Trend
Check current 30 days CA correlation with market (DOW)
β = -0.0844
CA Almost negative betaCA Beta Legend

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.

CA Projected Return Density Against Market

Allowing for the 30-days total investment horizon, CA has beta of -0.0844 . This suggests as returns on benchmark increase, returns on holding CA are expected to decrease at a much smaller rate. During bear market, however, CA is likely to outperform the market. Moreover, CA has an alpha of 0.0248 implying that it can potentially generate 0.0248% 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 CA is 287.76. The daily returns are destributed with a variance of 0.02 and standard deviation of 0.14. The mean deviation of CA is currently at 0.1. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.0248
β
Beta against DOW=0.08
σ
Overall volatility
=0.14
Ir
Information ratio =0.61

CA Return Volatility

CA accepts 0.1374% volatility on return distribution over the 30 days horizon. DOW inherits 0.3914% 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

Indifferent to market move

Investment Outlook

CA Investment Opportunity

DOW has a standard deviation of returns of 0.39 and is 2.79 times more volatile than CA. 1% 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 1 (%) of all global equities and portfolios over the last 30 days. Use CA to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of CA to be traded at $43.57 in 30 days. As returns on market increase, returns on owning CA are expected to decrease at a much smaller rate. During bear market, CA is likely to outperform the market.

CA correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding CA and equity matching DJI index in the same portfolio.
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