ATT Risk Analysis

ATT Inc -- USA Stock  

USD 37.74  0.3  0.79%

Macroaxis considers ATT not too risky given 1 month investment horizon. ATT Inc secures Sharpe Ratio (or Efficiency) of 0.3819 which signifies that ATT Inc had 0.3819% of return per unit of risk over the last 1 month. Our philosophy in foreseeing volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. By analyzing ATT Inc technical indicators you can now evaluate if the expected return of 0.5221% is justified by implied risk. Please makes use of ATT Inc Mean Deviation of 1.1 and Risk Adjusted Performance of 0.1981 to double-check if our risk estimates are consistent with your expectations.
Investment Horizon     30 Days    Login   to change

ATT Market Sensitivity

ATT returns are very sensitive to returns on the market. As market goes up or down, ATT is expected to follow.
One Month Beta |Analyze ATT Inc Demand Trend
Check current 30 days ATT correlation with market (DOW)
β = 1.0561
ATT llmost one BetaATT Inc Beta Legend

ATT Inc Technical Analysis

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

Taking into account the 30 trading days horizon, the stock has beta coefficient of 1.0561 . This entails ATT Inc market returns are very sensitive to returns on the market. As the market benchmark goes up or down, ATT is expected to follow. Moreover, ATT Inc has an alpha of 0.3009 implying that it can potentially generate 0.3009% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Taking into account the 30 trading days horizon, the coefficient of variation of ATT is 261.87. The daily returns are destributed with a variance of 1.87 and standard deviation of 1.37. The mean deviation of ATT Inc is currently at 1.1. For similar time horizon, the selected benchmark (DOW) has volatility of 0.5
α
Alpha over DOW
=0.3
βBeta against DOW=1.06
σ
Overall volatility
=1.37
 IrInformation ratio =0.23

Actual Return Volatility

ATT Inc accepts 1.3672% volatility on return distribution over the 30 days horizon. DOW inherits 0.5022% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ATT Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Almost mirrors market

Total Debt

ATT Inc Total Debt History

Total Debt

Largest Trends

ATT Largest Period Trend

Investment Outlook

ATT Investment Opportunity
ATT Inc has a volatility of 1.37 and is 2.74 times more volatile than DOW. 12% of all equities and portfolios are less risky than ATT. Compared to the overall equity markets, volatility of historical daily returns of ATT Inc is lower than 12 (%) of all global equities and portfolios over the last 30 days. Use ATT Inc to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of ATT to be traded at $36.99 in 30 days. ATT returns are very sensitive to returns on the market. As market goes up or down, ATT is expected to follow.

ATT correlation with market

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