Arrow Electronics Risk Analysis

Arrow Electronics Inc -- USA Stock  

USD 83.87  0.55  0.66%

Macroaxis considers Arrow Electronics not too risky given 1 month investment horizon. Arrow Electronics Inc secures Sharpe Ratio (or Efficiency) of 0.3179 which signifies that Arrow Electronics Inc had 0.3179% of return per unit of risk over the last 1 month. Our philosophy towards 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-eight technical indicators for Arrow Electronics Inc which you can use to evaluate future volatility of the firm. Please makes use of Arrow Electronics Inc Downside Deviation of 1.07, Risk Adjusted Performance of 0.136 and Mean Deviation of 0.6776 to double-check if our risk estimates are consistent with your expectations.
 Time 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 Inc Demand Trend
Check current 30 days Arrow Electronics correlation with market (DOW)
β = -0.1837
Arrow Electronics Almost negative betaArrow Electronics Inc Beta Legend

Arrow Electronics Inc Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Arrow Electronics Inc 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

Considering 30-days investment horizon, Arrow Electronics Inc has beta of -0.1837 . 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 Inc is likely to outperform the market. Moreover, Arrow Electronics Inc has an alpha of 0.3357 implying that it can potentially generate 0.3357% 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 314.61. The daily returns are destributed with a variance of 0.56 and standard deviation of 0.75. The mean deviation of Arrow Electronics Inc is currently at 0.55. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.34
β
Beta against DOW=0.18
σ
Overall volatility
=0.75
Ir
Information ratio =0.0757

Actual Return Volatility

Arrow Electronics Inc has volatility of 0.7511% on return distribution over 30 days investment horizon. DOW inherits 0.3852% 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

Total Debt

Arrow Electronics Inc Total Debt History

Total Debt

Largest Trends

Arrow Electronics Largest Period Trend

Investment Outlook

Arrow Electronics Investment Opportunity
Arrow Electronics Inc has a volatility of 0.75 and is 1.92 times more volatile than DOW. 6% 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 Inc is lower than 6 (%) of all global equities and portfolios over the last 30 days. Use Arrow Electronics Inc to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Arrow Electronics to be traded at $92.26 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.

Volatility Indicators

Arrow Electronics Current Risk Indicators