Reliance Steel Risk Analysis

Reliance Steel Aluminum Co -- USA Stock  

USD 83.07  0.61  0.73%

Macroaxis considers Reliance Steel not too risky given 1 month investment horizon. Reliance Steel Aluminum maintains Sharpe Ratio (i.e. Efficiency) of 0.4403 which implies Reliance Steel Aluminum had 0.4403% 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. By analyzing Reliance Steel Aluminum technical indicators you can presently evaluate if the expected return of 0.5107% is justified by implied risk. Please employ Reliance Steel Aluminum Standard Deviation of 1.15, Downside Deviation of 0.9545 and Risk Adjusted Performance of 0.209 to confirm if our risk estimates are consistent with your expectations.
Investment Horizon     30 Days    Login   to change

Reliance Steel Market Sensitivity

As returns on market increase, Reliance Steel returns are expected to increase less than the market. However during bear market, the loss on holding Reliance Steel will be expected to be smaller as well.
One Month Beta |Analyze Reliance Steel Aluminum Demand Trend
Check current 30 days Reliance Steel correlation with market (DOW)
β = 0.829
Reliance Steel Small BetaReliance Steel Aluminum Beta Legend

Reliance Steel Aluminum Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Reliance Steel Aluminum 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

Allowing for the 30-days total investment horizon, Reliance Steel has beta of 0.829 . This implies as returns on market go up, Reliance Steel average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Reliance Steel Aluminum Co will be expected to be much smaller as well. Moreover, Reliance Steel Aluminum Co has an alpha of 0.2981 implying that it can potentially generate 0.2981% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Allowing for the 30-days total investment horizon, the coefficient of variation of Reliance Steel is 227.13. The daily returns are destributed with a variance of 1.35 and standard deviation of 1.16. The mean deviation of Reliance Steel Aluminum Co is currently at 0.83. For similar time horizon, the selected benchmark (DOW) has volatility of 0.49
α
Alpha over DOW
=0.3
βBeta against DOW=0.83
σ
Overall volatility
=1.16
 IrInformation ratio =0.23

Actual Return Volatility

Reliance Steel Aluminum Co accepts 1.16% volatility on return distribution over the 30 days horizon. DOW inherits 0.5062% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Reliance Steel Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Follows market closely

Total Debt

Reliance Steel Aluminum Total Debt History

Total Debt

Largest Trends

Reliance Steel Largest Period Trend

Investment Outlook

Reliance Steel Investment Opportunity
Reliance Steel Aluminum Co has a volatility of 1.16 and is 2.27 times more volatile than DOW. 10% of all equities and portfolios are less risky than Reliance Steel. Compared to the overall equity markets, volatility of historical daily returns of Reliance Steel Aluminum Co is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use Reliance Steel Aluminum Co to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Reliance Steel to be traded at $81.41 in 30 days. As returns on market increase, Reliance Steel returns are expected to increase less than the market. However during bear market, the loss on holding Reliance Steel will be expected to be smaller as well.

Reliance Steel correlation with market

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Reliance Steel Aluminum Co and equity matching DJI index in the same portfolio.

Volatility Indicators

Reliance Steel Current Risk Indicators