Reliance Steel Risk Analysis And Volatility Evaluation

RS -- USA Stock  

USD 92.52  1.48  1.63%

Macroaxis considers Reliance Steel to be not too risky. Reliance Steel Aluminum maintains Sharpe Ratio (i.e. Efficiency) of -0.0281 which implies Reliance Steel Aluminum had -0.0281% 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. Reliance Steel Aluminum exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Reliance Steel Aluminum Coefficient Of Variation of 1,390 and Risk Adjusted Performance of 0.037093 to confirm risk estimate we provide.
 Time 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 = 0.0545
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 0.0545 . 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. Additionally, Reliance Steel Aluminum Co 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 
Allowing for the 30-days total investment horizon, the coefficient of variation of Reliance Steel is -3556.61. The daily returns are destributed with a variance of 1.9 and standard deviation of 1.38. The mean deviation of Reliance Steel Aluminum Co is currently at 1.02. For similar time horizon, the selected benchmark (DOW) has volatility of 0.59
α
Alpha over DOW
=0.12
β
Beta against DOW=0.05
σ
Overall volatility
=1.38
Ir
Information ratio =0.17

Actual Return Volatility

Reliance Steel Aluminum Co accepts 1.3784% volatility on return distribution over the 30 days horizon. DOW inherits 0.5751% 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

Barely shadows market

Investment Outlook

Reliance Steel Investment Opportunity
Reliance Steel Aluminum Co has a volatility of 1.38 and is 2.38 times more volatile than DOW. 12% 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 12 (%) of all global equities and portfolios over the last 30 days. Use Reliance Steel Aluminum Co to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Reliance Steel to be traded at $101.77 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

Significant 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.
Additionally take a look at Your Equity Center. Please also try Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.
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