Equity LifeStyle Risk Analysis And Volatility Evaluation

ELS -- USA Stock  

USD 93.03  0.54  0.58%

We consider Equity LifeStyle not too risky. Equity LifeStyle Pro secures Sharpe Ratio (or Efficiency) of 0.1897 which denotes Equity LifeStyle Pro had 0.1897% 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 Equity LifeStyle Properties which you can use to evaluate future volatility of the firm. Please confirm Equity LifeStyle Pro Coefficient Of Variation of 748.95, Mean Deviation of 0.3745 and Downside Deviation of 0.6352 to check if risk estimate we provide are consistent with the epected return of 0.0894%.
 Time Horizon     30 Days    Login   to change

Equity LifeStyle Market Sensitivity

As returns on market increase, Equity LifeStyle returns are expected to increase less than the market. However during bear market, the loss on holding Equity LifeStyle will be expected to be smaller as well.
One Month Beta |Analyze Equity LifeStyle Pro Demand Trend
Check current 30 days Equity LifeStyle correlation with market (DOW)
β = 0.0041
Equity LifeStyle Small BetaEquity LifeStyle Pro Beta Legend

Equity LifeStyle Pro Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Equity LifeStyle Pro 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

Considering 30-days investment horizon, Equity LifeStyle has beta of 0.0041 suggesting as returns on market go up, Equity LifeStyle average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Equity LifeStyle Properties will be expected to be much smaller as well. Moreover, Equity LifeStyle Properties has an alpha of 0.0536 implying that it can potentially generate 0.0536% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of Equity LifeStyle is 527.08. The daily returns are destributed with a variance of 0.22 and standard deviation of 0.47. The mean deviation of Equity LifeStyle Properties is currently at 0.36. For similar time horizon, the selected benchmark (DOW) has volatility of 0.6
α
Alpha over DOW
=0.05
β
Beta against DOW=0.0041
σ
Overall volatility
=0.47
Ir
Information ratio =0.14

Actual Return Volatility

Equity LifeStyle Properties has volatility of 0.4715% on return distribution over 30 days investment horizon. DOW inherits 0.6405% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Equity LifeStyle Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Barely shadows market

Investment Outlook

Equity LifeStyle Investment Opportunity
DOW has a standard deviation of returns of 0.64 and is 1.36 times more volatile than Equity LifeStyle Properties. 4% of all equities and portfolios are less risky than Equity LifeStyle. Compared to the overall equity markets, volatility of historical daily returns of Equity LifeStyle Properties is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use Equity LifeStyle Properties to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Equity LifeStyle to be traded at $102.33 in 30 days. As returns on market increase, Equity LifeStyle returns are expected to increase less than the market. However during bear market, the loss on holding Equity LifeStyle will be expected to be smaller as well.

Equity LifeStyle correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Equity LifeStyle Properties In and equity matching DJI index in the same portfolio.
Additionally see Investing Opportunities. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.