Curtiss Wright Risk Analysis And Volatility Evaluation

CW -- USA Stock  

USD 137.33  0.30  0.22%

We consider Curtiss Wright not too risky. Curtiss Wright secures Sharpe Ratio (or Efficiency) of 0.1035 which signifies that Curtiss Wright had 0.1035% 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 stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Curtiss Wright Corporation which you can use to evaluate future volatility of the firm. Please confirm Curtiss Wright Downside Deviation of 0.5885, Risk Adjusted Performance of 0.1033 and Mean Deviation of 0.6453 to double-check if risk estimate we provide are consistent with the epected return of 0.0813%.
Horizon     30 Days    Login   to change

Curtiss Wright Market Sensitivity

As returns on market increase, returns on owning Curtiss Wright are expected to decrease at a much smaller rate. During bear market, Curtiss Wright is likely to outperform the market.
One Month Beta |Analyze Curtiss Wright Demand Trend
Check current 30 days Curtiss Wright correlation with market (DOW)
β = -0.1154
Curtiss Wright Almost negative betaCurtiss Wright Beta Legend

Curtiss Wright Technical Analysis

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

Curtiss Wright Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Curtiss Wright Corporation has beta of -0.1154 . This suggests as returns on benchmark increase, returns on holding Curtiss Wright are expected to decrease at a much smaller rate. During bear market, however, Curtiss Wright Corporation is likely to outperform the market. Moreover, Curtiss Wright Corporation has an alpha of 0.1883 implying that it can potentially generate 0.1883% 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 Curtiss Wright is 966.16. The daily returns are destributed with a variance of 0.62 and standard deviation of 0.79. The mean deviation of Curtiss Wright Corporation is currently at 0.56. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.19
β
Beta against DOW=0.12
σ
Overall volatility
=0.79
Ir
Information ratio =0.0037

Curtiss Wright Return Volatility

Curtiss Wright Corporation accepts 0.785% volatility on return distribution over the 30 days horizon. DOW inherits 0.4168% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Curtiss Wright 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

Curtiss Wright Investment Opportunity

Curtiss Wright Corporation has a volatility of 0.79 and is 1.88 times more volatile than DOW. 7% of all equities and portfolios are less risky than Curtiss Wright. Compared to the overall equity markets, volatility of historical daily returns of Curtiss Wright Corporation is lower than 7 (%) of all global equities and portfolios over the last 30 days. Use Curtiss Wright Corporation to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Curtiss Wright to be traded at $135.96 in 30 days. As returns on market increase, returns on owning Curtiss Wright are expected to decrease at a much smaller rate. During bear market, Curtiss Wright is likely to outperform the market.

Curtiss Wright correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Curtiss Wright Corp. and equity matching DJI index in the same portfolio.

Curtiss Wright Volatility Indicators

Curtiss Wright Corporation Current Risk Indicators

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