Reliance Steel Risk Analysis

Reliance Steel Aluminum Co -- USA Stock  

USD 75.95  0.01  0.0132%

We consider Reliance Steel not too risky. Reliance Steel Aluminum maintains Sharpe Ratio (i.e. Efficiency) of 0.0238 which implies Reliance Steel Aluminum had 0.0238% 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-one technical indicators for Reliance Steel Aluminum which you can use to evaluate future volatility of the company. Please check Reliance Steel Aluminum Coefficient Of Variation of 4114.15, Semi Deviation of 1.1 and Risk Adjusted Performance of 0.0136 to confirm if risk estimate we provide are consistent with the epected return of 0.0277%.
Investment Horizon     30 Days    Login   to change

Reliance Steel Market Sensitivity

As returns on market increase, returns on owning Reliance Steel are expected to decrease at a much smaller rate. During bear market, Reliance Steel is likely to outperform the market.
One Month Beta |Analyze Reliance Steel Aluminum Demand Trend
Check current 30 days Reliance Steel correlation with market (DOW)
β = -0.7588
Reliance Steel Almost negative betaReliance Steel Aluminum Beta Legend

Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Reliance Steel Aluminum Co has beta of -0.7588 . This implies as returns on benchmark increase, returns on holding Reliance Steel are expected to decrease at a much smaller rate. During bear market, however, Reliance Steel Aluminum Co is likely to outperform the market. Moreover, Reliance Steel Aluminum Co has an alpha of 0.113 implying that it can potentially generate 0.113% 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 4203.58. The daily returns are destributed with a variance of 1.36 and standard deviation of 1.16. The mean deviation of Reliance Steel Aluminum Co is currently at 0.82. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23
α
Alpha over DOW
= 0.11 
βBeta against DOW=(0.76) 
σ
Overall volatility
= 1.16 
 IrInformation ratio =(0.0881) 

Actual Return Volatility

Reliance Steel Aluminum Co accepts 1.1644% 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

Reliance Steel Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Slightly opposite to market

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 4.83 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 normal downward trend and little activity. Check odds of Reliance Steel to be traded at $75.19 in 30 days. As returns on market increase, returns on owning Reliance Steel are expected to decrease at a much smaller rate. During bear market, Reliance Steel is likely to outperform the market.

Reliance Steel correlation with market

Good 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