Realty Income Risk Analysis And Volatility Evaluation

O -- USA Stock  

USD 53.49  0.29  0.54%

We consider Realty Income not too risky. Realty Income maintains Sharpe Ratio (i.e. Efficiency) of 0.1057 which implies Realty Income had 0.1057% of return per unit of risk over the last 1 month. Our philosophy towards forecasting 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-one technical indicators for Realty Income which you can use to evaluate future volatility of the company. Please check Realty Income Coefficient Of Variation of 1195.08, Semi Deviation of 0.9392 and Risk Adjusted Performance of 0.01 to confirm if risk estimate we provide are consistent with the epected return of 0.0922%.
 Time Horizon     30 Days    Login   to change

Realty Income Technical Analysis

The output start index for this execution was zero with a total number of output elements of seventeen. Realty Income 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

Taking into account the 30 trading days horizon, Realty Income has beta of 0.0 . This implies unless we do not have required data, the returns on DOW and Realty Income are completely uncorrelated. Furthermore, Realty Income CorporationIt does not look like Realty Income alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
Taking into account the 30 trading days horizon, the coefficient of variation of Realty Income is 946.4. The daily returns are destributed with a variance of 0.76 and standard deviation of 0.87. The mean deviation of Realty Income Corporation is currently at 0.55. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
Alpha over DOW
Beta against DOW=0.00
Overall volatility
Information ratio =0.08

Actual Return Volatility

Realty Income Corporation accepts 0.8723% volatility on return distribution over the 30 days horizon. DOW inherits 0.5982% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Market Risk Breakdown

Realty Income Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

Realty Income Investment Opportunity
Realty Income Corporation has a volatility of 0.87 and is 1.45 times more volatile than DOW. 8% of all equities and portfolios are less risky than Realty Income. Compared to the overall equity markets, volatility of historical daily returns of Realty Income Corporation is lower than 8 (%) of all global equities and portfolios over the last 30 days.

Total Debt

Realty Income Total Debt History

Total Debt

Volatility Indicators

Realty Income Current Risk Indicators
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