Summit Materials Risk Analysis

Summit Materials Inc -- USA Stock  

USD 31.97  0.2  0.63%

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 Trend
Check current 30 days Summit Materials correlation with market (DOW)
β = 0.5887
Summit Materials Small BetaSummit Materials Inc Beta Legend

Projected Return Density Against Market

Considering 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
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
=0.09
βBeta against DOW=0.59
σ
Overall volatility
=1.24
 IrInformation ratio =0.13

Actual Return Volatility

Summit Materials Inc has volatility of 1.2402% on return distribution over 30 days investment horizon. DOW inherits 0.2576% 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 volatile

Chance of Distress in 24 months

Close to average

30 Days Economic Sensitivity

Follows market closely

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 1.24 and is 4.77 times more volatile than DOW. 11% 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 11 (%) of all global equities and portfolios over the last 30 days. Use Summit Materials Inc to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Summit Materials to be traded at $35.17 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

Average 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