Computer Task Risk Analysis

Computer Task Group Incorporated -- USA Stock  

USD 5.36  0.03  0.56%

We consider Computer Task not very volatile. Computer Task Group secures Sharpe Ratio (or Efficiency) of 0.1229 which signifies that Computer Task Group had 0.1229% of return per unit of risk over the last 1 month. Our philosophy towards 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-eight technical indicators for Computer Task Group Incorporated which you can use to evaluate future volatility of the firm. Please confirm Computer Task Group Downside Deviation of 1.07, Risk Adjusted Performance of 0.0336 and Mean Deviation of 0.7351 to double-check if risk estimate we provide are consistent with the epected return of 0.1323%.
Investment Horizon     30 Days    Login   to change

Computer Task Market Sensitivity

As returns on market increase, returns on owning Computer Task are expected to decrease at a much smaller rate. During bear market, Computer Task is likely to outperform the market.
One Month Beta |Analyze Computer Task Group Demand Trend
Check current 30 days Computer Task correlation with market (DOW)
β = -0.2332
Computer Task Almost negative betaComputer Task Group Beta Legend

Projected Return Density Against Market

Considering 30-days investment horizon, Computer Task Group Incorporated has beta of -0.2332 . This suggests as returns on benchmark increase, returns on holding Computer Task are expected to decrease at a much smaller rate. During bear market, however, Computer Task Group Incorporated is likely to outperform the market. Moreover, Computer Task Group Incorporated has an alpha of 0.1376 implying that it can potentially generate 0.1376% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of Computer Task is 813.48. The daily returns are destributed with a variance of 1.16 and standard deviation of 1.08. The mean deviation of Computer Task Group Incorporated is currently at 0.76. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23
α
Alpha over DOW
= 0.14 
βBeta against DOW=(0.23) 
σ
Overall volatility
= 1.08 
 IrInformation ratio =(0.0201) 

Actual Return Volatility

Computer Task Group Incorporated has volatility of 1.0766% on return distribution over 30 days investment horizon. DOW inherits 0.2342% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Computer Task Volatility Factors

30 Days Market Risk

Not very volatile

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Almost neglects market

Total Debt

Computer Task Group Total Debt History

Total Debt

Largest Trends

Computer Task Largest Period Trend

Investment Outlook

Computer Task Investment Opportunity
Computer Task Group Incorporated has a volatility of 1.08 and is 4.7 times more volatile than DOW. 10% of all equities and portfolios are less risky than Computer Task. Compared to the overall equity markets, volatility of historical daily returns of Computer Task Group Incorporated is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use Computer Task Group Incorporated to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Computer Task to be traded at $5.9 in 30 days. As returns on market increase, returns on owning Computer Task are expected to decrease at a much smaller rate. During bear market, Computer Task is likely to outperform the market.

Computer Task correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Computer Task Group Incorporat and equity matching DJI index in the same portfolio.