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 TrendCheck current 30 days Reliance Steel correlation with market (DOW)|
β = 0.829
Reliance Steel Aluminum Technical Analysis
Projected Return Density Against MarketAllowing 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).
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