American Financial Risk Analysis And Volatility

AFG -- USA Stock  

Earning Report: October 29, 2019  

We consider American Financial very steady. American Financial secures Sharpe Ratio (or Efficiency) of 0.0124 which signifies that the organization had 0.0124% of return per unit of standard deviation over the last 3 months. Our philosophy in foreseeing volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-seven technical indicators for American Financial Group which you can use to evaluate future volatility of the firm. Please confirm American Financial Mean Deviation of 0.8949 and Risk Adjusted Performance of 0.0113 to double-check if risk estimate we provide are consistent with the epected return of 0.0147%.
Interest Expense

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Below average

90 Days Economic Sensitivity

Almost mirrors market
Horizon     30 Days    Login   to change

American Financial Market Sensitivity

American Financial returns are very sensitive to returns on the market. As market goes up or down, American Financial is expected to follow.
3 Months Beta |Analyze American Financial Demand Trend
Check current 30 days American Financial correlation with market (DOW)
β = 0.9337

American Financial Central Daily Price Deviation

American Financial Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. American Financial 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.

American Financial Projected Return Density Against Market

Considering 30-days investment horizon, American Financial has beta of 0.9337 . This suggests American Financial Group market returns are highly-sensitive to returns on the market. As the market goes up or down, American Financial is expected to follow. Moreover, The company has an alpha of 0.0266 implying that it can potentially generate 0.0266% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of American Financial is 8062.28. The daily returns are destributed with a variance of 1.41 and standard deviation of 1.19. The mean deviation of American Financial Group is currently at 0.91. For similar time horizon, the selected benchmark (DOW) has volatility of 0.98
α
Alpha over DOW
=0.0266
β
Beta against DOW=0.93
σ
Overall volatility
=1.19
Ir
Information ratio =0.0241

American Financial Return Volatility

the firm has volatility of 1.186% on return distribution over 30 days investment horizon. the entity inherits 0.9874% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

American Financial Investment Opportunity

American Financial Group has a volatility of 1.19 and is 1.2 times more volatile than DOW. 10  of all equities and portfolios are less risky than American Financial. Compared to the overall equity markets, volatility of historical daily returns of American Financial Group is lower than 10 () of all global equities and portfolios over the last 30 days. Use American Financial Group to protect your portfolios against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of American Financial to be traded at $102.21 in 30 days. . American Financial returns are very sensitive to returns on the market. As market goes up or down, American Financial is expected to follow.

American Financial correlation with market

correlation synergy
Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding American Financial Group Inc and equity matching DJI index in the same portfolio.

American Financial Current Risk Indicators

American Financial Suggested Diversification Pairs

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