We consider CA not too volatile. CA Inc retains Efficiency (Sharpe Ratio) of 0.0362 which signifies that CA Inc had 0.0362% of return per unit of price deviation over the last 1 month. Our way in which we are 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 entity. Please confirm CA Inc Standard Deviation of 1.65, Market Risk Adjusted Performance of 0.1715 and Coefficient Of Variation of 1149.5 to double-check if risk estimate we provide are consistent with the epected return of 0.0594%.
|Time Horizon||30 Days Login to change|
CA Market Sensitivity
|As returns on market increase, CA returns are expected to increase less than the market. However during bear market, the loss on holding CA will be expected to be smaller as well.One Month Beta |Analyze CA Inc Demand TrendCheck current 30 days CA correlation with market (DOW)|
β = 0.8256
CA Inc Technical Analysis
Projected Return Density Against MarketAllowing for the 30-days total investment horizon, CA has beta of 0.8256 . This suggests as returns on market go up, CA average returns are expected to increase less than the benchmark. However during bear market, the loss on holding CA Inc will be expected to be much smaller as well. Moreover, CA Inc has an alpha of 0.2925 implying that it can potentially generate 0.2925% excess return over DOW after adjusting for the inherited market risk (beta).
Allowing for the 30-days total investment horizon, the coefficient of variation of CA is 2762.51. The daily returns are destributed with a variance of 2.69 and standard deviation of 1.64. The mean deviation of CA Inc is currently at 1.18. For similar time horizon, the selected benchmark (DOW) has volatility of 1.71