We consider Deutsche Bank not too volatile. Deutsche Bank AG secures Sharpe Ratio (or Efficiency) of 0.1456 which denotes Deutsche Bank AG had 0.1456% of return per unit of risk over the last 1 month. Our philosophy towards predicting 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 Deutsche Bank AG which you can use to evaluate future volatility of the firm. Please confirm Deutsche Bank AG Coefficient Of Variation of 521.81, Mean Deviation of 1.05 and Downside Deviation of 1.27 to check if risk estimate we provide are consistent with the epected return of 0.1942%.
|Investment Horizon||30 Days Login to change|
Deutsche Bank Market Sensitivity
|As returns on market increase, Deutsche Bank returns are expected to increase less than the market. However during bear market, the loss on holding Deutsche Bank will be expected to be smaller as well.One Month Beta |Analyze Deutsche Bank AG Demand TrendCheck current 30 days Deutsche Bank correlation with market (DOW)|
β = 0.5681
Deutsche Bank AG Technical Analysis
Projected Return Density Against MarketAllowing for the 30-days total investment horizon, Deutsche Bank has beta of 0.5681 suggesting as returns on market go up, Deutsche Bank average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Deutsche Bank AG will be expected to be much smaller as well. Moreover, Deutsche Bank AG has an alpha of 0.1383 implying that it can potentially generate 0.1383% 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 Deutsche Bank is 686.99. The daily returns are destributed with a variance of 1.78 and standard deviation of 1.33. The mean deviation of Deutsche Bank AG is currently at 0.99. For similar time horizon, the selected benchmark (DOW) has volatility of 0.5