International Business Risk Analysis

International Business Machines Corporation -- USA Stock  

USD 159.53  2.54  1.57%

Macroaxis considers International Business not too risky given 1 month investment horizon. International Business holds Efficiency (Sharpe) Ratio of 0.2679 which attests that International Business had 0.2679% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. By evaluating International Business technical indicators you can presently evaluate if the expected return of 0.5158% is justified by implied risk. Please utilize International Business Coefficient Of Variation of 373.3, Market Risk Adjusted Performance of (12.48) and Risk Adjusted Performance of 0.0782 to validate if our risk estimates are consistent with your expectations.
Investment Horizon     30 Days    Login   to change

International Business Market Sensitivity

As returns on market increase, returns on owning International Business are expected to decrease at a much smaller rate. During bear market, International Business is likely to outperform the market.
One Month Beta |Analyze International Business Demand Trend
Check current 30 days International Business correlation with market (DOW)
β = -0.0405
International Business Almost negative betaInternational Business Beta Legend

Projected Return Density Against Market

Considering 30-days investment horizon, International Business Machines Corporation has beta of -0.0405 . This indicates as returns on benchmark increase, returns on holding International Business are expected to decrease at a much smaller rate. During bear market, however, International Business Machines Corporation is likely to outperform the market. Moreover, International Business Machines Corporation has an alpha of 0.5114 implying that it can potentially generate 0.5114% 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 International Business is 373.3. The daily returns are destributed with a variance of 3.71 and standard deviation of 1.93. The mean deviation of International Business Machines Corporation is currently at 0.89. For similar time horizon, the selected benchmark (DOW) has volatility of 0.26
α
Alpha over DOW
= 0.51 
βBeta against DOW=(0.0405) 
σ
Overall volatility
= 1.93 
 IrInformation ratio = 0.19 

Actual Return Volatility

International Business Machines Corporation has volatility of 1.9254% on return distribution over 30 days investment horizon. DOW inherits 0.2475% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

International Business Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Indifferent to market move

Total Debt

International Business Total Debt History

Total Debt

Largest Trends

International Business Largest Period Trend

Investment Outlook

International Business Investment Opportunity
International Business Machines Corporation has a volatility of 1.93 and is 7.72 times more volatile than DOW. 18% 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 18 (%) of all global equities and portfolios over the last 30 days. Use International Business Machines Corporation to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of International Business to be traded at $154.74 in 30 days. As returns on market increase, returns on owning International Business are expected to decrease at a much smaller rate. During bear market, International Business is likely to outperform the market.

International Business correlation with market

Good 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.

Volatility Indicators

International Business Current Risk Indicators