Macroaxis considers Federated National not very risky given 1 month investment horizon. Federated National H secures Sharpe Ratio (or Efficiency) of 0.3076 which denotes Federated National H had 0.3076% 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. By reviewing Federated National H technical indicators you can presently evaluate if the expected return of 0.6075% is justified by implied risk. Please utilize Federated National H Coefficient Of Variation of 325.07, Mean Deviation of 1.51 and Downside Deviation of 1.45 to check if our risk estimates are consistent with your expectations.
|Investment Horizon||30 Days Login to change|
Federated National Market Sensitivity
|As returns on market increase, returns on owning Federated National are expected to decrease by larger amounts. On the other hand, during market turmoil, Federated National is expected to significantly outperform it.One Month Beta |Analyze Federated National H Demand TrendCheck current 30 days Federated National correlation with market (DOW)|
β = -2.3874
Projected Return Density Against MarketGiven the investment horizon of 30 days, Federated National Holding Company has beta of -2.3874 suggesting as returns on its benchmark rise, returns on holding Federated National Holding Company are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Federated National is expected to outperform its benchmark. Moreover, Federated National Holding Company has an alpha of 0.9321 implying that it can potentially generate 0.9321% excess return over DOW after adjusting for the inherited market risk (beta).
Given the investment horizon of 30 days, the coefficient of variation of Federated National is 325.07. The daily returns are destributed with a variance of 3.9 and standard deviation of 1.97. The mean deviation of Federated National Holding Company is currently at 1.51. For similar time horizon, the selected benchmark (DOW) has volatility of 0.26