Deutsche Bank Risk Analysis And Volatility Evaluation

DB -- USA Stock  

USD 12.02  0.01  0.08%

Macroaxis considers Deutsche Bank not very volatile given 1 month investment horizon. Deutsche Bank Aktien secures Sharpe Ratio (or Efficiency) of 0.184 which denotes Deutsche Bank Aktien had 0.184% 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 Aktiengesellschaft which you can use to evaluate future volatility of the firm. Please utilize Deutsche Bank Aktien Coefficient Of Variation of 605.99, Mean Deviation of 1.62 and Downside Deviation of 2.11 to check if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Deutsche Bank Market Sensitivity

As returns on market increase, returns on owning Deutsche Bank are expected to decrease at a much smaller rate. During bear market, Deutsche Bank is likely to outperform the market.
One Month Beta |Analyze Deutsche Bank Aktien Demand Trend
Check current 30 days Deutsche Bank correlation with market (DOW)
β = -0.0636
Deutsche Bank Almost negative betaDeutsche Bank Aktien Beta Legend

Deutsche Bank Aktien Technical Analysis

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

Allowing for the 30-days total investment horizon, Deutsche Bank Aktiengesellschaft has beta of -0.0636 suggesting as returns on benchmark increase, returns on holding Deutsche Bank are expected to decrease at a much smaller rate. During bear market, however, Deutsche Bank Aktiengesellschaft is likely to outperform the market. Moreover, Deutsche Bank Aktiengesellschaft has an alpha of 0.3984 implying that it can potentially generate 0.3984% 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 543.45. The daily returns are destributed with a variance of 6.0 and standard deviation of 2.45. The mean deviation of Deutsche Bank Aktiengesellschaft is currently at 1.59. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.40
β
Beta against DOW=0.06
σ
Overall volatility
=2.45
Ir
Information ratio =0.12

Actual Return Volatility

Deutsche Bank Aktiengesellschaft accepts 2.4493% volatility on return distribution over the 30 days horizon. DOW inherits 0.5701% 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 volatile

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Totally opposite to market

Investment Outlook

Deutsche Bank Investment Opportunity
Deutsche Bank Aktiengesellschaft has a volatility of 2.45 and is 4.3 times more volatile than DOW. 22% 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 Aktiengesellschaft is lower than 22 (%) of all global equities and portfolios over the last 30 days. Use Deutsche Bank Aktiengesellschaft to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Deutsche Bank to be traded at $11.9 in 30 days. As returns on market increase, returns on owning Deutsche Bank are expected to decrease at a much smaller rate. During bear market, Deutsche Bank is likely to outperform the market.

Deutsche Bank correlation with market

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