ATT Risk Analysis And Volatility Evaluation

T -- USA Stock  

USD 30.22  0.47  1.58%

Macroaxis considers ATT to be not too volatile. ATT secures Sharpe Ratio (or Efficiency) of -0.1137 which signifies that ATT had -0.1137% of return per unit of risk over the last 2 months. Macroaxis philosophy in foreseeing 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. ATT exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm ATT Mean Deviation of 1.27 and Risk Adjusted Performance of (0.12) to double-check risk estimate we provide.
Interest Expense
Horizon     30 Days    Login   to change

ATT Market Sensitivity

As returns on market increase, ATT returns are expected to increase less than the market. However during bear market, the loss on holding ATT will be expected to be smaller as well.
2 Months Beta |Analyze ATT Demand Trend
Check current 30 days ATT correlation with market (DOW)
β = 0.7603

ATT Central Daily Price Deviation

ATT Technical Analysis

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

ATT Projected Return Density Against Market

Taking into account the 30 trading days horizon, ATT has beta of 0.7603 . This entails as returns on market go up, ATT average returns are expected to increase less than the benchmark. However during bear market, the loss on holding ATT will be expected to be much smaller as well. Additionally, ATT 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 
Taking into account the 30 trading days horizon, the coefficient of variation of ATT is -879.18. The daily returns are destributed with a variance of 3.6 and standard deviation of 1.9. The mean deviation of ATT is currently at 1.34. For similar time horizon, the selected benchmark (DOW) has volatility of 1.3
α
Alpha over DOW
=0.04
β
Beta against DOW=0.76
σ
Overall volatility
=1.90
Ir
Information ratio =0.0021

ATT Return Volatility

ATT accepts 1.8972% volatility on return distribution over the 30 days horizon. DOW inherits 1.3487% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ATT Volatility Factors

60 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Follows market closely

Investment Outlook

ATT Investment Opportunity

ATT has a volatility of 1.9 and is 1.41 times more volatile than DOW. 17% of all equities and portfolios are less risky than ATT. Compared to the overall equity markets, volatility of historical daily returns of ATT is lower than 17 (%) of all global equities and portfolios over the last 30 days. Use ATT to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of ATT to be traded at $33.24 in 30 days. As returns on market increase, ATT returns are expected to increase less than the market. However during bear market, the loss on holding ATT will be expected to be smaller as well.

ATT correlation with market

correlation synergy
Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding ATT and equity matching DJI index in the same portfolio.
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