Arrow Electronics Risk Analysis And Volatility Evaluation

ARW -- USA Stock  

USD 78.48  1.03  1.33%

Macroaxis considers Arrow Electronics to be not too risky. Arrow Electronics secures Sharpe Ratio (or Efficiency) of -0.0339 which signifies that Arrow Electronics had -0.0339% of return per unit of risk over the last 1 month. Macroaxis philosophy towards 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. Arrow Electronics exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Arrow Electronics Risk Adjusted Performance of 0.07 and Mean Deviation of 0.5276 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

Arrow Electronics Market Sensitivity

As returns on market increase, returns on owning Arrow Electronics are expected to decrease at a much smaller rate. During bear market, Arrow Electronics is likely to outperform the market.
One Month Beta |Analyze Arrow Electronics Demand Trend
Check current 30 days Arrow Electronics correlation with market (DOW)
β = -0.1342
Arrow Electronics Almost negative betaArrow Electronics Beta Legend

Arrow Electronics Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. 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 -0.1342 . This suggests as returns on benchmark increase, returns on holding Arrow Electronics are expected to decrease at a much smaller rate. During bear market, however, Arrow Electronics is likely to outperform the market. Additionally, Arrow Electronics 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 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of Arrow Electronics is -2945.93. The daily returns are destributed with a variance of 0.73 and standard deviation of 0.85. The mean deviation of Arrow Electronics is currently at 0.67. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.13
β
Beta against DOW=0.13
σ
Overall volatility
=0.85
Ir
Information ratio =0.34

Arrow Electronics Return Volatility

Arrow Electronics has volatility of 0.8541% on return distribution over 30 days investment horizon. DOW inherits 0.3947% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Arrow Electronics Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Indifferent to market move

Investment Outlook

Arrow Electronics Investment Opportunity

Arrow Electronics has a volatility of 0.85 and is 2.18 times more volatile than DOW. 7% 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 7 (%) of all global equities and portfolios over the last 30 days. Use Arrow Electronics to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Arrow Electronics to be traded at $86.33 in 30 days. As returns on market increase, returns on owning Arrow Electronics are expected to decrease at a much smaller rate. During bear market, Arrow Electronics is likely to outperform the market.

Arrow Electronics correlation with market

Good 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 ETF Directory module to find actively-traded exchange traded funds (etf) from around the world.
Search macroaxis.com