MSAD Insurance Risk Analysis

MSAD Insurance Group Holdings Inc -- USA Stock  

USD 17.51  0.04  0.23%

We consider MSAD Insurance not too volatile. MSAD Insurance Group retains Efficiency (Sharpe Ratio) of 0.1844 which conveys that MSAD Insurance Group had 0.1844% of return per unit of return volatility over the last 1 month. Our way of estimating volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for MSAD Insurance which you can use to evaluate future volatility of the firm. Please verify MSAD Insurance Group Holdings Inc Downside Deviation of 0.8681, Market Risk Adjusted Performance of 5.98 and Mean Deviation of 0.8067 to check out if risk estimate we provide are consistent with the epected return of 0.1924%.
 Time Horizon     30 Days    Login   to change

MSAD Insurance Market Sensitivity

As returns on market increase, MSAD Insurance returns are expected to increase less than the market. However during bear market, the loss on holding MSAD Insurance will be expected to be smaller as well.
One Month Beta |Analyze MSAD Insurance Group Demand Trend
Check current 30 days MSAD Insurance correlation with market (DOW)
β = 0.0243
MSAD Insurance Small BetaMSAD Insurance Group Beta Legend

MSAD Insurance Group Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. MSAD Insurance Group 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.

Projected Return Density Against Market

Assuming 30 trading days horizon, MSAD Insurance has beta of 0.0243 indicating as returns on market go up, MSAD Insurance average returns are expected to increase less than the benchmark. However during bear market, the loss on holding MSAD Insurance Group Holdings Inc will be expected to be much smaller as well. Moreover, MSAD Insurance Group Holdings Inc has an alpha of 0.1396 implying that it can potentially generate 0.1396% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of MSAD Insurance is 542.2. The daily returns are destributed with a variance of 1.09 and standard deviation of 1.04. The mean deviation of MSAD Insurance Group Holdings Inc is currently at 0.8. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44
α
Alpha over DOW
=0.14
β
Beta against DOW=0.0243
σ
Overall volatility
=1.04
Ir
Information ratio =0.07

Actual Return Volatility

MSAD Insurance Group Holdings Inc shows 1.0433% volatility of returns over 30 trading days. DOW inherits 0.4629% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

MSAD Insurance Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

30 Days Economic Sensitivity

Barely shadows market

Largest Trends

MSAD Insurance Largest Period Trend

Investment Outlook

MSAD Insurance Investment Opportunity
MSAD Insurance Group Holdings Inc has a volatility of 1.04 and is 2.26 times more volatile than DOW. 9% of all equities and portfolios are less risky than MSAD Insurance. Compared to the overall equity markets, volatility of historical daily returns of MSAD Insurance Group Holdings Inc is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use MSAD Insurance Group Holdings Inc to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of MSAD Insurance to be traded at $17.33 in 30 days. As returns on market increase, MSAD Insurance returns are expected to increase less than the market. However during bear market, the loss on holding MSAD Insurance will be expected to be smaller as well.

MSAD Insurance correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding MSAD Insurance Group Holdings and equity matching DJI index in the same portfolio.