CA Risk Analysis

CA Inc -- USA Stock  

USD 35.06  0.28  0.79%

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 Trend
Check current 30 days CA correlation with market (DOW)
β = 0.8256
CA Small BetaCA Inc Beta Legend

CA Inc Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. CA Inc 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 0.8256 . 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
=0.29
β
Beta against DOW=0.83
σ
Overall volatility
=1.64
Ir
Information ratio =0.20

Actual Return Volatility

CA Inc accepts 1.6397% volatility on return distribution over the 30 days horizon. DOW inherits 1.7492% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

CA Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Follows market closely

Total Debt

CA Inc Total Debt History

Total Debt

Largest Trends

CA Largest Period Trend

Investment Outlook

CA Investment Opportunity
DOW has a standard deviation of returns of 1.75 and is 1.07 times more volatile than CA Inc. 15% of all equities and portfolios are less risky than CA. Compared to the overall equity markets, volatility of historical daily returns of CA Inc is lower than 15 (%) of all global equities and portfolios over the last 30 days. Use CA Inc to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of CA to be traded at $34.36 in 30 days. 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.

CA correlation with market

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