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 TrendCheck current 30 days Realty Income correlation with market (DOW)|
β = -0.0329
Realty Income Technical Analysis
Projected Return Density Against MarketTaking 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