Summit Materials Risk Analysis And Volatility Evaluation

SUM -- USA Stock  

USD 20.42  0.43  2.15%

Macroaxis considers Summit Materials to be not very volatile. Summit Materials owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.299 which indicates Summit Materials had -0.299% of return per unit of risk over the last 1 month. 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 334.46 and Risk Adjusted Performance of 0.12 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Summit Materials Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Summit Materials will likely underperform.
One Month Beta |Analyze Summit Materials Demand Trend
Check current 30 days Summit Materials correlation with market (DOW)
β = 2.9278
Summit Materials Large 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 seventeen. 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, the stock has beta coefficient of 2.9278 . This entails as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Summit Materials will likely underperform. 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 -334.46. The daily returns are destributed with a variance of 14.6 and standard deviation of 3.82. The mean deviation of Summit Materials is currently at 2.21. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44
α
Alpha over DOW
=1.25
β
Beta against DOW=2.93
σ
Overall volatility
=3.82
Ir
Information ratio =0.31

Actual Return Volatility

Summit Materials has volatility of 3.8204% on return distribution over 30 days investment horizon. DOW inherits 0.4414% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Summit Materials Volatility Factors

30 Days Market Risk

Not very volatile

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Hypersensitive to market

Investment Outlook

Summit Materials Investment Opportunity
Summit Materials has a volatility of 3.82 and is 8.68 times more volatile than DOW. 34% 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 34 (%) of all global equities and portfolios over the last 30 days. Use Summit Materials to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of Summit Materials to be traded at $24.5 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Summit Materials will likely underperform.

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 Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.