HUGO BOSS (Germany) Risk Analysis And Volatility Evaluation

BOSS -- Germany Stock  

EUR 59.70  0.00  0.00%

Macroaxis considers HUGO BOSS to be unknown risk. HUGO BOSS AG holds Efficiency (Sharpe) Ratio of -0.2503 which attests that HUGO BOSS AG had -0.2503% of return per unit of return volatility over the last 2 months. Macroaxis way of determining 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. HUGO BOSS AG exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out HUGO BOSS Market Risk Adjusted Performance of (21.75) and Risk Adjusted Performance of (0.29) to validate risk estimate we provide.
Horizon     30 Days    Login   to change

HUGO BOSS Market Sensitivity

As returns on market increase, HUGO BOSS returns are expected to increase less than the market. However during bear market, the loss on holding HUGO BOSS will be expected to be smaller as well.
2 Months Beta |Analyze HUGO BOSS AG Demand Trend
Check current 30 days HUGO BOSS correlation with market (DOW)
β = 0.0182

HUGO BOSS Central Daily Price Deviation

HUGO BOSS AG Technical Analysis

Transformation
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HUGO BOSS Projected Return Density Against Market

Assuming 30 trading days horizon, HUGO BOSS has beta of 0.0182 . This suggests as returns on market go up, HUGO BOSS average returns are expected to increase less than the benchmark. However during bear market, the loss on holding HUGO BOSS AG NA O N will be expected to be much smaller as well. Additionally, HUGO BOSS AG NA O N 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 
Assuming 30 trading days horizon, the coefficient of variation of HUGO BOSS is -399.51. The daily returns are destributed with a variance of 1.56 and standard deviation of 1.25. The mean deviation of HUGO BOSS AG NA O N is currently at 0.93. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.39
β
Beta against DOW=0.0182
σ
Overall volatility
=1.25
Ir
Information ratio =0.12

HUGO BOSS Return Volatility

HUGO BOSS AG NA O N accepts 1.2486% volatility on return distribution over the 30 days horizon. DOW inherits 1.3037% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

HUGO BOSS Investment Opportunity

DOW has a standard deviation of returns of 1.3 and is 1.04 times more volatile than HUGO BOSS AG NA O N. 11% of all equities and portfolios are less risky than HUGO BOSS. Compared to the overall equity markets, volatility of historical daily returns of HUGO BOSS AG NA O N is lower than 11 (%) of all global equities and portfolios over the last 30 days. Use HUGO BOSS AG NA O N to protect against small markets fluctuations. The stock experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of HUGO BOSS to be traded at €59.1 in 30 days. As returns on market increase, HUGO BOSS returns are expected to increase less than the market. However during bear market, the loss on holding HUGO BOSS will be expected to be smaller as well.

HUGO BOSS correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding HUGO BOSS AG NA O N and equity matching DJI index in the same portfolio.

HUGO BOSS Volatility Indicators

HUGO BOSS AG NA O N Current Risk Indicators

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