Deutsche Bank Risk Analysis

Deutsche Bank AG -- USA Stock  

USD 16.98  0.11  0.65%

We consider Deutsche Bank not very risky. Deutsche Bank AG secures Sharpe Ratio (or Efficiency) of 0.1071 which denotes Deutsche Bank AG had 0.1071% 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-one 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 1760.02, Mean Deviation of 1.16 and Downside Deviation of 1.38 to check if risk estimate we provide are consistent with the epected return of 0.1713%.
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 Trend
Check current 30 days Deutsche Bank correlation with market (DOW)
β = 0.0329
Deutsche Bank Small BetaDeutsche Bank AG Beta Legend

Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Deutsche Bank has beta of 0.0329 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 0.0758 implying that it can potentially generate 0.0758% 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 Deutsche Bank is 933.9. The daily returns are destributed with a variance of 2.56 and standard deviation of 1.6. The mean deviation of Deutsche Bank AG is currently at 1.21. For similar time horizon, the selected benchmark (DOW) has volatility of 0.26
α
Alpha over DOW
= 0.0758 
βBeta against DOW= 0.0329 
σ
Overall volatility
= 1.6 
 IrInformation ratio =(0.0375) 

Actual Return Volatility

Deutsche Bank AG accepts 1.6001% volatility on return distribution over the 30 days horizon. DOW inherits 0.2355% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Deutsche Bank Volatility Factors

30 Days Market Risk

Not very risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Barely shadows market

Total Debt

Deutsche Bank AG Total Debt History

Total Debt

Largest Trends

Deutsche Bank Largest Period Trend

Investment Outlook

Deutsche Bank Investment Opportunity
Deutsche Bank AG has a volatility of 1.6 and is 6.67 times more volatile than DOW. 15% of all equities and portfolios are less risky than Deutsche Bank. Compared to the overall equity markets, volatility of historical daily returns of Deutsche Bank AG is lower than 15 (%) of all global equities and portfolios over the last 30 days. Use Deutsche Bank AG to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Deutsche Bank to be traded at $18.68 in 30 days. 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.

Deutsche Bank correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Deutsche Bank AG and equity matching DJI index in the same portfolio.