National American Risk Analysis And Volatility Evaluation

NAUH -- USA Stock  

USD 0.95  0.0382  4.19%

Macroaxis considers National American abnormally risky given 1 month investment horizon. National American Un has Sharpe Ratio of 0.1404 which conveys that National American Un had 0.1404% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. By analyzing National American Un technical indicators you can presently evaluate if the expected return of 0.8413% is justified by implied risk. Please exercise National American University Holdings Downside Deviation of 8.08, Mean Deviation of 4.54 and Risk Adjusted Performance of 0.0124 to check out if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

National American Market Sensitivity

As returns on market increase, returns on owning National American are expected to decrease by larger amounts. On the other hand, during market turmoil, National American is expected to significantly outperform it.
One Month Beta |Analyze National American Un Demand Trend
Check current 30 days National American correlation with market (DOW)
β = -3.2761
National American Large Negative BetaNational American Un Beta Legend

National American Un Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. National American Un 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

Given the investment horizon of 30 days, National American University Holdings has beta of -3.2761 indicating as returns on its benchmark rise, returns on holding National American University Holdings are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, National American is expected to outperform its benchmark. Moreover, National American University Holdings has an alpha of 0.4065 implying that it can potentially generate 0.4065% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of National American is 712.05. The daily returns are destributed with a variance of 35.88 and standard deviation of 5.99. The mean deviation of National American University Holdings is currently at 4.0. For similar time horizon, the selected benchmark (DOW) has volatility of 0.46
α
Alpha over DOW
=0.41
β
Beta against DOW=3.28
σ
Overall volatility
=5.99
Ir
Information ratio =0.01

Actual Return Volatility

National American University Holdings inherits 5.9903% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5701% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

National American Volatility Factors

30 Days Market Risk

Abnormally risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Completely opposite to market

Investment Outlook

National American Investment Opportunity
National American University Holdings has a volatility of 5.99 and is 10.51 times more volatile than DOW. 54% of all equities and portfolios are less risky than National American. Compared to the overall equity markets, volatility of historical daily returns of National American University Holdings is higher than 54 (%) of all global equities and portfolios over the last 30 days. Use National American University Holdings to enhance returns of your portfolios. The stock experiences very speculative upward sentiment.. Check odds of National American to be traded at $1.1875 in 30 days. As returns on market increase, returns on owning National American are expected to decrease by larger amounts. On the other hand, during market turmoil, National American is expected to significantly outperform it.

National American correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding National American University H and equity matching DJI index in the same portfolio.
Please see also Stocks Correlation. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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