Realogy Holdings Risk Analysis

Realogy Holdings Corp -- USA Stock  

USD 33.28  0.01  0.03%

Macroaxis considers Realogy Holdings to be not too volatile. Realogy Holdings Corp maintains Sharpe Ratio (i.e. Efficiency) of -0.0872 which implies Realogy Holdings Corp had -0.0872% 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-eight 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 (1,133) and Risk Adjusted Performance of (0.011655) to confirm risk estimate we provide.
Investment Horizon     30 Days    Login   to change

Realogy Holdings Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Realogy Holdings will likely underperform.
One Month Beta |Analyze Realogy Holdings Corp Demand Trend
Check current 30 days Realogy Holdings correlation with market (DOW)
β = 2.2275
Realogy Holdings Large BetaRealogy Holdings Corp Beta Legend

Projected Return Density Against Market

Given the investment horizon of 30 days, the stock has beta coefficient of 2.2275 . This implies as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Realogy Holdings will likely underperform. 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 -1146.18. The daily returns are destributed with a variance of 2.31 and standard deviation of 1.52. The mean deviation of Realogy Holdings Corp is currently at 1.09. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23
α
Alpha over DOW
=(0.42) 
βBeta against DOW= 2.23 
σ
Overall volatility
= 1.52 
 IrInformation ratio =(0.17) 

Actual Return Volatility

Realogy Holdings Corp inherits 1.5202% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2355% 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

Hypersensitive to market

Total Debt

Realogy Holdings Corp Total Debt History

Total Debt

Largest Trends

Realogy Holdings Largest Period Trend
 32.14 
  
 31.96 
0.18  0.56%
Lowest period price (30 days)
 34.03 
  
 34.06 
0.03  0.088158%
Highest period price (30 days)

Investment Outlook

Realogy Holdings Investment Opportunity
Realogy Holdings Corp has a volatility of 1.52 and is 6.33 times more volatile than DOW. 14% 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 14 (%) of all global equities and portfolios over the last 30 days. Use Realogy Holdings Corp to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Realogy Holdings to be traded at $32.95 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Realogy Holdings will likely underperform.

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