Dell Technologies Risk Analysis And Volatility Evaluation

DVMT -- USA Stock  

USD 95.07  0.21  0.22%

Macroaxis considers Dell Technologies not too risky given 1 month investment horizon. Dell Technologies secures Sharpe Ratio (or Efficiency) of 0.1406 which denotes Dell Technologies had 0.1406% 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 Dell Technologies which you can use to evaluate future volatility of the firm. Please utilize Dell Technologies Coefficient Of Variation of 783.46, Mean Deviation of 1.28 and Downside Deviation of 1.45 to check if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Dell Technologies Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Dell Technologies will likely underperform.
One Month Beta |Analyze Dell Technologies Demand Trend
Check current 30 days Dell Technologies correlation with market (DOW)
β = 1.1825
Dell Technologies Large BetaDell Technologies Beta Legend

Dell Technologies Technical Analysis

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

Given the investment horizon of 30 days, the stock has beta coefficient of 1.1825 suggesting as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Dell Technologies will likely underperform. Moreover, Dell Technologies has an alpha of 0.1607 implying that it can potentially generate 0.1607% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Dell Technologies is 711.17. The daily returns are destributed with a variance of 5.34 and standard deviation of 2.31. The mean deviation of Dell Technologies is currently at 1.26. For similar time horizon, the selected benchmark (DOW) has volatility of 0.62
α
Alpha over DOW
=0.16
β
Beta against DOW=1.18
σ
Overall volatility
=2.31
Ir
Information ratio =0.08

Actual Return Volatility

Dell Technologies inherits 2.3107% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5886% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Dell Technologies Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Almost mirrors market

Investment Outlook

Dell Technologies Investment Opportunity
Dell Technologies has a volatility of 2.31 and is 3.92 times more volatile than DOW. 21% of all equities and portfolios are less risky than Dell Technologies. Compared to the overall equity markets, volatility of historical daily returns of Dell Technologies is lower than 21 (%) of all global equities and portfolios over the last 30 days. Use Dell Technologies to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of Dell Technologies to be traded at $99.82 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Dell Technologies will likely underperform.

Dell Technologies correlation with market

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Dell Technologies Inc and equity matching DJI index in the same portfolio.
Additionally see Investing Opportunities. Please also try CEO Directory module to screen ceos from public companies around the world.