Realty Income Risk Analysis

Realty Income Corporation -- USA Stock  

USD 50.17  1.26  2.45%

We consider Realty Income not too risky. Realty Income maintains Sharpe Ratio (i.e. Efficiency) of 0.0376 which implies Realty Income had 0.0376% of return per unit of risk over the last 2 months. 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 2448.06, Semi Deviation of 1.15 and Risk Adjusted Performance of 0.0645 to confirm if risk estimate we provide are consistent with the epected return of 0.0433%.
 Time Horizon     30 Days    Login   to change

Realty Income Market Sensitivity

As returns on market increase, returns on owning Realty Income are expected to decrease at a much smaller rate. During bear market, Realty Income is likely to outperform the market.
2 Months Beta |Analyze Realty Income Demand Trend
Check current 30 days Realty Income correlation with market (DOW)
β = -0.0329
Realty Income Almost negative 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 thirty-nine. 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 Corporation has beta of -0.0329 . This implies as returns on benchmark increase, returns on holding Realty Income are expected to decrease at a much smaller rate. During bear market, however, Realty Income Corporation is likely to outperform the market. Moreover, Realty Income Corporation has an alpha of 0.0361 implying that it can potentially generate 0.0361% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Taking into account the 30 trading days horizon, the coefficient of variation of Realty Income is 2657.81. The daily returns are destributed with a variance of 1.33 and standard deviation of 1.15. The mean deviation of Realty Income Corporation is currently at 0.89. For similar time horizon, the selected benchmark (DOW) has volatility of 1.69
α
Alpha over DOW
=0.0361
β
Beta against DOW=0.03
σ
Overall volatility
=1.15
Ir
Information ratio =0.0607

Actual Return Volatility

Realty Income Corporation accepts 1.1512% volatility on return distribution over the 30 days horizon. DOW inherits 1.4224% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Realty Income Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Indifferent to market move

Total Debt

Realty Income Total Debt History

Total Debt

Investment Outlook

Realty Income Investment Opportunity
DOW has a standard deviation of returns of 1.42 and is 1.23 times more volatile than Realty Income Corporation. 10% 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 10 (%) of all global equities and portfolios over the last 30 days. Use Realty Income Corporation to protect against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Realty Income to be traded at $48.16 in 30 days. As returns on market increase, returns on owning Realty Income are expected to decrease at a much smaller rate. During bear market, Realty Income is likely to outperform the market.

Realty Income correlation with market

Good 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.
Additionally take a look at Your Equity Center. Please also try Cryptocurrency Correlation module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins and exchanges.