Realogy Holdings Risk Analysis

Realogy Holdings Corp -- USA Stock  

USD 27.54  0.01  0.0363%

Macroaxis considers Realogy Holdings not too risky given 1 month investment horizon. Realogy Holdings Corp maintains Sharpe Ratio (i.e. Efficiency) of 0.1973 which implies Realogy Holdings Corp had 0.1973% 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-eight technical indicators for Realogy Holdings Corp which you can use to evaluate future volatility of the company. Please employ Realogy Holdings Corp Coefficient Of Variation of 589.82, Semi Deviation of 0.5841 and Risk Adjusted Performance of 0.0895 to confirm if our risk estimates are consistent with your expectations.
Investment Horizon     30 Days    Login   to change

Realogy Holdings Market Sensitivity

As returns on market increase, Realogy Holdings returns are expected to increase less than the market. However during bear market, the loss on holding Realogy Holdings will be expected to be smaller as well.
One Month Beta |Analyze Realogy Holdings Corp Demand Trend
Check current 30 days Realogy Holdings correlation with market (DOW)
β = 0.7246
Realogy Holdings Small BetaRealogy Holdings Corp Beta Legend

Realogy Holdings Corp Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Realogy Holdings Corp 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

Given the investment horizon of 30 days, Realogy Holdings has beta of 0.7246 . This implies as returns on market go up, Realogy Holdings average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Realogy Holdings Corp will be expected to be much smaller as well. Moreover, Realogy Holdings Corp has an alpha of 0.0478 implying that it can potentially generate 0.0478% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Realogy Holdings is 506.79. The daily returns are destributed with a variance of 1.14 and standard deviation of 1.07. The mean deviation of Realogy Holdings Corp is currently at 0.75. For similar time horizon, the selected benchmark (DOW) has volatility of 0.5
α
Alpha over DOW
=0.0478
βBeta against DOW=0.72
σ
Overall volatility
=1.07
 IrInformation ratio =0.0017

Actual Return Volatility

Realogy Holdings Corp inherits 1.0685% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5172% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Realogy Holdings Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Follows market closely

Total Debt

Realogy Holdings Corp Total Debt History

Total Debt

Largest Trends

Realogy Holdings Largest Period Trend

Investment Outlook

Realogy Holdings Investment Opportunity
Realogy Holdings Corp has a volatility of 1.07 and is 2.06 times more volatile than DOW. 9% of all equities and portfolios are less risky than Realogy Holdings. Compared to the overall equity markets, volatility of historical daily returns of Realogy Holdings Corp is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use Realogy Holdings Corp to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of Realogy Holdings to be traded at $28.92 in 30 days. As returns on market increase, Realogy Holdings returns are expected to increase less than the market. However during bear market, the loss on holding Realogy Holdings will be expected to be smaller as well.

Realogy Holdings correlation with market

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

Volatility Indicators

Realogy Holdings Current Risk Indicators