Macroaxis considers AUTOLIV relatively not risky. AUTOLIV SDR
secures Sharpe Ratio (or Efficiency) of -0.16 which signifies that AUTOLIV SDR
had -0.16% 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-one 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 0.954 and Risk Adjusted Performance
of (0.13) to double-check risk estimate we provide.
Projected Return Density against Market
Assuming 30 trading days horizon, AUTOLIV has beta of 0.02 indicating as returns on market go up, AUTOLIV avarage returns are expected to increase less than the benchmark. However during bear market, the loss on holding AUTOLIV SDR will be expected to be much smaller as well. Moreover, AUTOLIV SDR has alpha of 0.02 implying that it can potentially generate 0.02% excess return over S&P 500 after adjusting for the inherited market risk (beta).
Predicted Return Density
Assuming 30 trading days horizon, the coefficient of variation of AUTOLIV is -628.96. The daily returns are destributed with a variance of 1.4 and standard deviation of 1.18. The mean deviation of AUTOLIV SDR is currently at 0.95. For similar time horizon, the selected benchmark (S&P 500) has volatility of 0.84
Actual Return Volatility
AUTOLIV SDR assumes 1.18% volatility of returns over the 30 days investment horizon. S&P 500 shows 0.84% volatility of returns over 30 trading days.