Macroaxis considers AUTOLIV relatively not risky. AUTOLIV SDR
secures Sharpe Ratio (or Efficiency) of -0.03 which signifies that AUTOLIV SDR
had -0.03% of return per unit of risk over the last 1 month. Macroaxis philosophy in foreseeing 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
. AUTOLIV SDR exposes twenty-six different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm AUTOLIV SDR Mean Deviation
of 0.7288 and Risk Adjusted Performance
of (0.0094) to double-check risk estimate we provide.
Projected Return Density against Market
Assuming 30 trading days horizon, the stock has beta coefficient of 1.19 indicating as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, AUTOLIV will likely underperform. Additionally, AUTOLIV SDR has negative alpha implying that risk taken by holding this equity is not justified. The company is significantly underperforming S&P 500
Predicted Return Density
Assuming 30 trading days horizon, the coefficient of variation of AUTOLIV is -3389.3. The daily returns are destributed with a variance of 1.06 and standard deviation of 1.03. The mean deviation of AUTOLIV SDR is currently at 0.73. For similar time horizon, the selected benchmark (S&P 500) has volatility of 0.5
Actual Return Volatility
AUTOLIV SDR assumes 1.03% volatility of returns over the 30 days investment horizon. S&P 500 shows 0.49% volatility of returns over 30 trading days.