Cadiz Risk Analysis And Volatility Evaluation

CDZI -- USA Stock  

USD 13.05  0.15  1.14%

We consider Cadiz not too volatile. Cadiz secures Sharpe Ratio (or Efficiency) of 0.0527 which signifies that Cadiz had 0.0527% 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 Cadiz which you can use to evaluate future volatility of the firm. Please confirm Cadiz Mean Deviation of 0.6708 and Risk Adjusted Performance of 0.041217 to double-check if risk estimate we provide are consistent with the epected return of 0.0388%.
 Time Horizon     30 Days    Login   to change

Cadiz Market Sensitivity

As returns on market increase, returns on owning Cadiz are expected to decrease at a much smaller rate. During bear market, Cadiz is likely to outperform the market.
One Month Beta |Analyze Cadiz Demand Trend
Check current 30 days Cadiz correlation with market (DOW)
β = -0.1838
Cadiz Almost negative betaCadiz Beta Legend

Cadiz Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Cadiz 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

Given the investment horizon of 30 days, Cadiz has beta of -0.1838 . This suggests as returns on benchmark increase, returns on holding Cadiz are expected to decrease at a much smaller rate. During bear market, however, Cadiz is likely to outperform the market. Additionally, Cadiz has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Cadiz is 1897.53. The daily returns are destributed with a variance of 0.54 and standard deviation of 0.74. The mean deviation of Cadiz is currently at 0.59. For similar time horizon, the selected benchmark (DOW) has volatility of 0.59
α
Alpha over DOW
=0.05
β
Beta against DOW=0.18
σ
Overall volatility
=0.74
Ir
Information ratio =0.23

Actual Return Volatility

Cadiz inherits 0.7362% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5751% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Cadiz Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Very high

30 Days Economic Sensitivity

Indifferent to market move

Investment Outlook

Cadiz Investment Opportunity
Cadiz has a volatility of 0.74 and is 1.28 times more volatile than DOW. 6% of all equities and portfolios are less risky than Cadiz. Compared to the overall equity markets, volatility of historical daily returns of Cadiz is lower than 6 (%) of all global equities and portfolios over the last 30 days. Use Cadiz to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Cadiz to be traded at $12.66 in 30 days. As returns on market increase, returns on owning Cadiz are expected to decrease at a much smaller rate. During bear market, Cadiz is likely to outperform the market.

Cadiz correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Cadiz Inc and equity matching DJI index in the same portfolio.
Check also Trending Equities. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.
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