Arrow Electronics Risk Analysis And Volatility Evaluation

ARW -- USA Stock  

USD 71.29  0.43  0.60%

We consider Arrow Electronics not too risky. Arrow Electronics secures Sharpe Ratio (or Efficiency) of 0.0708 which signifies that Arrow Electronics had 0.0708% of return per unit of risk over the last 2 months. Our philosophy towards 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-eight technical indicators for Arrow Electronics which you can use to evaluate future volatility of the firm. Please confirm Arrow Electronics Downside Deviation of 2.24, Risk Adjusted Performance of 0.0166 and Mean Deviation of 1.67 to double-check if risk estimate we provide are consistent with the epected return of 0.1573%.
Interest Expense
Horizon     30 Days    Login   to change

Arrow Electronics Market Sensitivity

As returns on market increase, Arrow Electronics returns are expected to increase less than the market. However during bear market, the loss on holding Arrow Electronics will be expected to be smaller as well.
2 Months Beta |Analyze Arrow Electronics Demand Trend
Check current 30 days Arrow Electronics correlation with market (DOW)
β = 0.6735

Arrow Electronics Central Daily Price Deviation

Arrow Electronics Technical Analysis

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

Arrow Electronics Projected Return Density Against Market

Considering 30-days investment horizon, Arrow Electronics has beta of 0.6735 . This suggests as returns on market go up, Arrow Electronics average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Arrow Electronics will be expected to be much smaller as well. Moreover, Arrow Electronics has an alpha of 0.1338 implying that it can potentially generate 0.1338% 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 Arrow Electronics is 1412.17. The daily returns are destributed with a variance of 4.93 and standard deviation of 2.22. The mean deviation of Arrow Electronics is currently at 1.62. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.13
β
Beta against DOW=0.67
σ
Overall volatility
=2.22
Ir
Information ratio =0.09

Arrow Electronics Return Volatility

Arrow Electronics has volatility of 2.2207% on return distribution over 30 days investment horizon. DOW inherits 1.3173% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Arrow Electronics Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Follows market closely

Investment Outlook

Arrow Electronics Investment Opportunity

Arrow Electronics has a volatility of 2.22 and is 1.68 times more volatile than DOW. 20% of all equities and portfolios are less risky than Arrow Electronics. Compared to the overall equity markets, volatility of historical daily returns of Arrow Electronics is lower than 20 (%) of all global equities and portfolios over the last 30 days. Use Arrow Electronics to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Arrow Electronics to be traded at $69.86 in 30 days. As returns on market increase, Arrow Electronics returns are expected to increase less than the market. However during bear market, the loss on holding Arrow Electronics will be expected to be smaller as well.

Arrow Electronics correlation with market

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

Arrow Electronics Volatility Indicators

Arrow Electronics Current Risk Indicators

Check also Trending Equities. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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