Realty Income Risk Analysis

Realty Income Corporation -- USA Stock  

USD 55.54  0.67  1.19%

Macroaxis considers Realty Income to be not too risky. Realty Income maintains Sharpe Ratio (i.e. Efficiency) of -0.2883 which implies Realty Income had -0.2883% 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-one 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 (372.45) and Risk Adjusted Performance of (0.066682) to confirm risk estimate we provide.
Investment Horizon     30 Days    Login   to change

Realty Income Market Sensitivity

One Month Beta |Analyze Realty Income Demand Trend
Check current 30 days Realty Income correlation with market (DOW)
β = -1.095
Realty Income llmost one BetaRealty Income Beta Legend

Projected Return Density Against Market

Taking into account the 30 trading days horizon, Realty Income Corporation has beta of -1.095 . This implies Moreover, Realty Income Corporation has an alpha of 0.0035 implying that it can potentially generate 0.0035% 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 -346.81. The daily returns are destributed with a variance of 0.47 and standard deviation of 0.69. The mean deviation of Realty Income Corporation is currently at 0.52. For similar time horizon, the selected benchmark (DOW) has volatility of 0.27
α
Alpha over DOW
=0.0035
βBeta against DOW=1.09
σ
Overall volatility
=0.69
 IrInformation ratio =0.55

Actual Return Volatility

Realty Income Corporation accepts 0.6872% volatility on return distribution over the 30 days horizon. DOW inherits 0.2576% 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

Totally opposite to 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 0.69 and is 2.65 times more volatile than DOW. 6% 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 6 (%) of all global equities and portfolios over the last 30 days. Use Realty Income Corporation to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Realty Income to be traded at $53.87 in 30 days.

Realty Income correlation with market

Very 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.

Volatility Indicators

Realty Income Current Risk Indicators