Summit Materials Risk Analysis

Summit Materials Inc -- USA Stock  

USD 31.51  0.41  1.32%

We consider Summit Materials not too risky. Summit Materials Inc owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0418 which indicates Summit Materials Inc had 0.0418% 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-one technical indicators for Summit Materials Inc which you can use to evaluate future volatility of the company. Please validate Summit Materials Semi Deviation of 0.7645, Coefficient Of Variation of 459.44 and Risk Adjusted Performance of 0.1023 to confirm if risk estimate we provide are consistent with the epected return of 0.0416%.
 Time Horizon     30 Days    Login   to change

Summit Materials Market Sensitivity

As returns on market increase, returns on owning Summit Materials are expected to decrease by larger amounts. On the other hand, during market turmoil, Summit Materials is expected to significantly outperform it.
One Month Beta |Analyze Summit Materials Inc Demand Trend
Check current 30 days Summit Materials correlation with market (DOW)
β = -1.2805
Summit Materials Large Negative BetaSummit Materials Inc Beta Legend

Summit Materials Inc Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Summit Materials Inc 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 Inc has beta of -1.2805 . This entails as returns on its benchmark rise, returns on holding Summit Materials Inc are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Summit Materials is expected to outperform its benchmark. Moreover, Summit Materials Inc has an alpha of 0.5163 implying that it can potentially generate 0.5163% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of Summit Materials is 2391.66. The daily returns are destributed with a variance of 0.99 and standard deviation of 0.99. The mean deviation of Summit Materials Inc is currently at 0.74. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44
α
Alpha over DOW
=0.52
β
Beta against DOW=1.28
σ
Overall volatility
=0.99
Ir
Information ratio =0.0131

Actual Return Volatility

Summit Materials Inc has volatility of 0.9939% on return distribution over 30 days investment horizon. DOW inherits 0.4629% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Summit Materials Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Close to average

30 Days Economic Sensitivity

Totally opposite to market

Total Debt

Summit Materials Inc Total Debt History

Total Debt

Largest Trends

Summit Materials Largest Period Trend

Investment Outlook

Summit Materials Investment Opportunity
Summit Materials Inc has a volatility of 0.99 and is 2.15 times more volatile than DOW. 9% 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 Inc is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use Summit Materials Inc to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Summit Materials to be traded at $34.66 in 30 days. As returns on market increase, returns on owning Summit Materials are expected to decrease by larger amounts. On the other hand, during market turmoil, Summit Materials is expected to significantly outperform it.

Summit Materials correlation with market

Very good 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.

Volatility Indicators

Summit Materials Current Risk Indicators