BORUSSIA DORTMUND (Germany) Risk Analysis And Volatility Evaluation

BVB -- Germany Stock  

EUR 8.00  0.005  0.06%

We consider BORUSSIA DORTMUND relatively volatile. BORUSSIA DORTMUND secures Sharpe Ratio (or Efficiency) of 0.0307 which signifies that BORUSSIA DORTMUND had 0.0307% of return per unit of risk over the last 2 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-one technical indicators for BORUSSIA DORTMUND which you can use to evaluate future volatility of the firm. Please confirm BORUSSIA DORTMUND Mean Deviation of 1.78 and Risk Adjusted Performance of 0.0439 to double-check if risk estimate we provide are consistent with the epected return of 0.078%.
Horizon     30 Days    Login   to change

BORUSSIA DORTMUND Market Sensitivity

As returns on market increase, BORUSSIA DORTMUND returns are expected to increase less than the market. However during bear market, the loss on holding BORUSSIA DORTMUND will be expected to be smaller as well.
2 Months Beta |Analyze BORUSSIA DORTMUND Demand Trend
Check current 30 days BORUSSIA DORTMUND correlation with market (DOW)
β = 0.1093

BORUSSIA DORTMUND Central Daily Price Deviation

BORUSSIA DORTMUND Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. BORUSSIA DORTMUND 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 avgprice price transform indicator.

BORUSSIA DORTMUND Projected Return Density Against Market

Assuming 30 trading days horizon, BORUSSIA DORTMUND has beta of 0.1093 . This suggests as returns on market go up, BORUSSIA DORTMUND average returns are expected to increase less than the benchmark. However during bear market, the loss on holding BORUSSIA DORTMUND will be expected to be much smaller as well. Moreover, BORUSSIA DORTMUND has an alpha of 0.0728 implying that it can potentially generate 0.0728% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of BORUSSIA DORTMUND is 3252.46. The daily returns are destributed with a variance of 6.44 and standard deviation of 2.54. The mean deviation of BORUSSIA DORTMUND is currently at 1.78. For similar time horizon, the selected benchmark (DOW) has volatility of 1.27
α
Alpha over DOW
=0.07
β
Beta against DOW=0.11
σ
Overall volatility
=2.54
Ir
Information ratio =0.0441

BORUSSIA DORTMUND Return Volatility

BORUSSIA DORTMUND assumes 2.5383% volatility of returns over the 30 days investment horizon. DOW inherits 1.3014% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

BORUSSIA DORTMUND Volatility Factors

60 Days Market Risk

Relatively volatile

Chance of Distress in 24 months

High

60 Days Economic Sensitivity

Barely shadows market

Investment Outlook

BORUSSIA DORTMUND Investment Opportunity

BORUSSIA DORTMUND has a volatility of 2.54 and is 1.95 times more volatile than DOW. 22% of all equities and portfolios are less risky than BORUSSIA DORTMUND. Compared to the overall equity markets, volatility of historical daily returns of BORUSSIA DORTMUND is lower than 22 (%) of all global equities and portfolios over the last 30 days. Use BORUSSIA DORTMUND to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of BORUSSIA DORTMUND to be traded at €8.4 in 30 days. As returns on market increase, BORUSSIA DORTMUND returns are expected to increase less than the market. However during bear market, the loss on holding BORUSSIA DORTMUND will be expected to be smaller as well.

BORUSSIA DORTMUND correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding BORUSSIA DORTMUND and equity matching DJI index in the same portfolio.

BORUSSIA DORTMUND Volatility Indicators

BORUSSIA DORTMUND Current Risk Indicators

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