500 Limited Risk Analysis

500 Limited -- USA Stock  

USD 17.47  0.60  3.32%

We consider 500 Limited not very volatile. 500 Limited retains Efficiency (Sharpe Ratio) of 4.0E-4 which signifies that 500 Limited had 4.0E-4% of return per unit of price deviation over the last 2 months. Our way in which we are foreseeing 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-one technical indicators for 500 Limited which you can use to evaluate future volatility of the entity. Please confirm 500 Limited Standard Deviation of 3.85, Market Risk Adjusted Performance of 1.27 and Coefficient Of Variation of 1193.23 to double-check if risk estimate we provide are consistent with the epected return of 0.0015%.
 Time Horizon     30 Days    Login   to change

500 Limited Market Sensitivity

As returns on market increase, returns on owning 500 Limited are expected to decrease at a much smaller rate. During bear market, 500 Limited is likely to outperform the market.
2 Months Beta |Analyze 500 Limited Demand Trend
Check current 30 days 500 Limited correlation with market (DOW)
β = -0.2439
500 Limited Almost negative beta500 Limited Beta Legend

500 Limited Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. 500 Limited 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

Given the investment horizon of 30 days, 500 Limited has beta of -0.2439 . This means as returns on benchmark increase, returns on holding 500 Limited are expected to decrease at a much smaller rate. During bear market, however, 500 Limited is likely to outperform the market. Moreover, 500 Limited has an alpha of 0.289 implying that it can potentially generate 0.289% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of 500 Limited is 236127.78. The daily returns are destributed with a variance of 12.03 and standard deviation of 3.47. The mean deviation of 500 Limited is currently at 2.73. For similar time horizon, the selected benchmark (DOW) has volatility of 1.68
α
Alpha over DOW
=0.29
β
Beta against DOW=0.24
σ
Overall volatility
=3.47
Ir
Information ratio =0.11

Actual Return Volatility

500 Limited inherits 3.4688% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.4105% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

500 Limited Volatility Factors

60 Days Market Risk

Not very volatile

Chance of Distress in 24 months

About average

60 Days Economic Sensitivity

Almost neglects market

Total Debt

500 Limited Total Debt History

Total Debt

Investment Outlook

500 Limited Investment Opportunity
500 Limited has a volatility of 3.47 and is 2.46 times more volatile than DOW. 31% of all equities and portfolios are less risky than 500 Limited. Compared to the overall equity markets, volatility of historical daily returns of 500 Limited is lower than 31 (%) of all global equities and portfolios over the last 30 days. Use 500 Limited to protect against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of 500 Limited to be traded at $16.77 in 30 days. As returns on market increase, returns on owning 500 Limited are expected to decrease at a much smaller rate. During bear market, 500 Limited is likely to outperform the market.

500 Limited correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding 500 com Limited and equity matching DJI index in the same portfolio.
See also Your Current Watchlist. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.