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.
|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 TrendCheck current 30 days ATT correlation with market (DOW)|
β = 0.7603
ATT Central Daily Price Deviation
ATT Technical Analysis
ATT Projected Return Density Against MarketTaking 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
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
|Alpha over DOW||=||0.04|
|Beta against DOW||=||0.76|
ATT Return VolatilityATT 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.
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