Summit Materials Risk Analysis

Summit Materials -- USA Stock  

USD 28.87  0.50  1.70%

Macroaxis considers Summit Materials to be not too volatile. Summit Materials owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.099 which indicates Summit Materials had -0.099% of return per unit of risk over the last 2 months. Macroaxis philosophy towards measuring 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. Summit Materials exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Summit Materials Coefficient Of Variation of 656.93 and Risk Adjusted Performance of 0.25 to confirm risk estimate we provide.
 Time 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.
2 Months Beta |Analyze Summit Materials Demand Trend
Check current 30 days Summit Materials correlation with market (DOW)
β = 0.3312
Summit Materials Small BetaSummit Materials Beta Legend

Summit Materials Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Summit Materials 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

Considering 30-days investment horizon, Summit Materials has beta of 0.3312 . 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 will be expected to be much smaller as well. Additionally, Summit Materials 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 
Considering 30-days investment horizon, the coefficient of variation of Summit Materials is -1010.12. The daily returns are destributed with a variance of 2.85 and standard deviation of 1.69. The mean deviation of Summit Materials is currently at 1.32. For similar time horizon, the selected benchmark (DOW) has volatility of 1.68
α
Alpha over DOW
=0.24
β
Beta against DOW=0.33
σ
Overall volatility
=1.69
Ir
Information ratio =0.1

Actual Return Volatility

Summit Materials has volatility of 1.6874% on return distribution over 30 days investment horizon. DOW inherits 1.3999% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Summit Materials Volatility Factors

60 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Close to average

60 Days Economic Sensitivity

Slowly supersedes market

Total Debt

Summit Materials Total Debt History

Total Debt

Investment Outlook

Summit Materials Investment Opportunity
Summit Materials has a volatility of 1.69 and is 1.21 times more volatile than DOW. 15% of all equities and portfolios are less risky than Summit Materials. Compared to the overall equity markets, volatility of historical daily returns of Summit Materials is lower than 15 (%) of all global equities and portfolios over the last 30 days. Use Summit Materials to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Summit Materials to be traded at $28.0 in 30 days. 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.

Summit Materials correlation with market

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Summit Materials Inc and equity matching DJI index in the same portfolio.
Also please take a look at World Market Map. Please also try Cryptocurrency Correlation module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins and exchanges.