Realty Income Risk Analysis

Realty Income Corporation -- USA Stock  

USD 56.45  0.71  1.27%

Macroaxis considers Realty Income to be not too risky. Realty Income maintains Sharpe Ratio (i.e. Efficiency) of -0.0252 which implies Realty Income had -0.0252% of return per unit of risk over the last 1 month. Macroaxis philosophy towards forecasting 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. Realty Income exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Realty Income Coefficient Of Variation of (1,406) and Risk Adjusted Performance of (0.033704) to confirm risk estimate we provide.
Investment Horizon     30 Days    Login   to change

Realty Income Market Sensitivity

As returns on market increase, Realty Income returns are expected to increase less than the market. However during bear market, the loss on holding Realty Income will be expected to be smaller as well.
One Month Beta |Analyze Realty Income Demand Trend
Check current 30 days Realty Income correlation with market (DOW)
β = 0.143
Realty Income Small BetaRealty Income Beta Legend

Realty Income Technical Analysis

Transformation
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 0.143 . This implies as returns on market go up, Realty Income average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Realty Income Corporation will be expected to be much smaller as well. Additionally, Realty Income Corporation has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Taking into account the 30 trading days horizon, the coefficient of variation of Realty Income is -3969.85. The daily returns are destributed with a variance of 0.39 and standard deviation of 0.63. The mean deviation of Realty Income Corporation is currently at 0.49. For similar time horizon, the selected benchmark (DOW) has volatility of 0.49
α
Alpha over DOW
=0.08
βBeta against DOW=0.14
σ
Overall volatility
=0.63
 IrInformation ratio =0.43

Actual Return Volatility

Realty Income Corporation accepts 0.6272% volatility on return distribution over the 30 days horizon. DOW inherits 0.4961% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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

Barely shadows market

Total Debt

Realty Income Total Debt History

Total Debt

Largest Trends

Realty Income Largest Period Trend

Investment Outlook

Realty Income Investment Opportunity
Realty Income Corporation has a volatility of 0.63 and is 1.26 times more volatile than DOW. 5% 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 5 (%) of all global equities and portfolios over the last 30 days. Use Realty Income Corporation to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Realty Income to be traded at $62.1 in 30 days. As returns on market increase, Realty Income returns are expected to increase less than the market. However during bear market, the loss on holding Realty Income will be expected to be smaller as well.

Realty Income correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Realty Income Corp. and equity matching DJI index in the same portfolio.

Volatility Indicators

Realty Income Current Risk Indicators