International Business Risk Analysis And Volatility Evaluation

IBM -- USA Stock  

USD 122.51  1.38  1.14%

Macroaxis considers International Business to be not too risky. International Business holds Efficiency (Sharpe) Ratio of -0.0927 which attests that International Business had -0.0927% of return per unit of risk over the last 2 months. Macroaxis philosophy towards determining risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. International Business exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out International Business Market Risk Adjusted Performance of (0.53) and Risk Adjusted Performance of (0.25) to validate risk estimate we provide.
Interest Expense
Horizon     30 Days    Login   to change

International Business Market Sensitivity

As returns on market increase, International Business returns are expected to increase less than the market. However during bear market, the loss on holding International Business will be expected to be smaller as well.
2 Months Beta |Analyze International Business Demand Trend
Check current 30 days International Business correlation with market (DOW)
β = 0.8156

International Business Central Daily Price Deviation

International Business Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. International Business 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.

International Business Projected Return Density Against Market

Considering 30-days investment horizon, International Business has beta of 0.8156 . This indicates as returns on market go up, International Business average returns are expected to increase less than the benchmark. However during bear market, the loss on holding International Business Machines Corporation will be expected to be much smaller as well. Additionally, International Business Machines Corporation has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of International Business is -1078.77. The daily returns are destributed with a variance of 5.43 and standard deviation of 2.33. The mean deviation of International Business Machines Corporation is currently at 1.79. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.31
β
Beta against DOW=0.82
σ
Overall volatility
=2.33
Ir
Information ratio =0.12

International Business Return Volatility

International Business Machines Corporation has volatility of 2.3296% on return distribution over 30 days investment horizon. DOW inherits 1.3062% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

International Business Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Follows market closely

Investment Outlook

International Business Investment Opportunity

International Business Machines Corporation has a volatility of 2.33 and is 1.78 times more volatile than DOW. 21% of all equities and portfolios are less risky than International Business. Compared to the overall equity markets, volatility of historical daily returns of International Business Machines Corporation is lower than 21 (%) of all global equities and portfolios over the last 30 days. Use International Business Machines Corporation to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of International Business to be traded at $134.76 in 30 days. As returns on market increase, International Business returns are expected to increase less than the market. However during bear market, the loss on holding International Business will be expected to be smaller as well.

International Business correlation with market

correlation synergy
Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding International Business Machine and equity matching DJI index in the same portfolio.

International Business Volatility Indicators

International Business Machines Corporation Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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