Realogy Holdings Risk Analysis

Realogy Holdings Corp -- USA Stock  

USD 24.21  0.24  1.00%

Macroaxis considers Realogy Holdings to be not too volatile. Realogy Holdings Corp maintains Sharpe Ratio (i.e. Efficiency) of -0.2394 which implies Realogy Holdings Corp had -0.2394% 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. Realogy Holdings Corp exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Realogy Holdings Corp Coefficient Of Variation of 385.50 and Risk Adjusted Performance of 0.46 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Realogy Holdings Market Sensitivity

As returns on market increase, returns on owning Realogy Holdings are expected to decrease at a much smaller rate. During bear market, Realogy Holdings is likely to outperform the market.
One Month Beta |Analyze Realogy Holdings Corp Demand Trend
Check current 30 days Realogy Holdings correlation with market (DOW)
β = -0.3295
Realogy Holdings Almost negative 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 Corp has beta of -0.3295 . This implies as returns on benchmark increase, returns on holding Realogy Holdings are expected to decrease at a much smaller rate. During bear market, however, Realogy Holdings Corp is likely to outperform the market. Additionally, Realogy Holdings Corp 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 
Given the investment horizon of 30 days, the coefficient of variation of Realogy Holdings is -417.71. The daily returns are destributed with a variance of 4.17 and standard deviation of 2.04. The mean deviation of Realogy Holdings Corp is currently at 1.5. For similar time horizon, the selected benchmark (DOW) has volatility of 1.78
α
Alpha over DOW
=0.61
β
Beta against DOW=0.33
σ
Overall volatility
=2.04
Ir
Information ratio =0.16

Actual Return Volatility

Realogy Holdings Corp inherits 2.0425% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.7317% 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 volatile

Chance of Distress in 24 months

Close to average

30 Days Economic Sensitivity

Almost neglects market

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 2.04 and is 1.18 times more volatile than DOW. 18% 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 18 (%) of all global equities and portfolios over the last 30 days. Use Realogy Holdings Corp to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Realogy Holdings to be traded at $26.63 in 30 days. As returns on market increase, returns on owning Realogy Holdings are expected to decrease at a much smaller rate. During bear market, Realogy Holdings is likely to outperform the market.

Realogy Holdings correlation with market

Very good 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.