We consider Summit Materials not too volatile. Summit Materials Inc owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0653 which indicates Summit Materials Inc had 0.0653% of return per unit of risk over the last 1 month. Our philosophy towards measuring 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-eight technical indicators for Summit Materials Inc which you can use to evaluate future volatility of the company. Please validate Summit Materials Semi Deviation of 1.6, Coefficient Of Variation of 3689.85 and Risk Adjusted Performance of 0.0151 to confirm if risk estimate we provide are consistent with the epected return of 0.081%.
|Investment Horizon||30 Days Login to change|
Summit Materials Market Sensitivity
|As returns on market increase, Summit Materials returns are expected to increase less than the market. However during bear market, the loss on holding Summit Materials will be expected to be smaller as well.One Month Beta |Analyze Summit Materials Inc Demand TrendCheck current 30 days Summit Materials correlation with market (DOW)|
β = 0.5887
Projected Return Density Against MarketConsidering 30-days investment horizon, Summit Materials has beta of 0.5887 . This entails as returns on market go up, Summit Materials average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Summit Materials Inc will be expected to be much smaller as well. Additionally, Summit Materials Inc has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
Considering 30-days investment horizon, the coefficient of variation of Summit Materials is 1531.07. The daily returns are destributed with a variance of 1.54 and standard deviation of 1.24. The mean deviation of Summit Materials Inc is currently at 0.8. For similar time horizon, the selected benchmark (DOW) has volatility of 0.27