BORUSSIA DORTMUND (Germany) Risk Analysis And Volatility Evaluation

BVB -- Germany Stock  

EUR 7.81  0.00  0.00%

Macroaxis considers BORUSSIA DORTMUND unknown risk given 1 month investment horizon. BORUSSIA DORTMUND secures Sharpe Ratio (or Efficiency) of 0.1722 which signifies that BORUSSIA DORTMUND had 0.1722% of return per unit of risk over the last 1 month. 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 makes use of BORUSSIA DORTMUND Mean Deviation of 2.2 and Risk Adjusted Performance of 0.3281 to double-check if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

BORUSSIA DORTMUND Market Sensitivity

As returns on market increase, returns on owning BORUSSIA DORTMUND are expected to decrease at a much smaller rate. During bear market, BORUSSIA DORTMUND is likely to outperform the market.
One Month Beta |Analyze BORUSSIA DORTMUND Demand Trend
Check current 30 days BORUSSIA DORTMUND correlation with market (DOW)
β = -0.2218
BORUSSIA DORTMUND Almost negative betaBORUSSIA DORTMUND Beta Legend

BORUSSIA DORTMUND Technical Analysis

Transformation
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BORUSSIA DORTMUND Projected Return Density Against Market

Assuming 30 trading days horizon, BORUSSIA DORTMUND has beta of -0.2218 . This suggests as returns on benchmark increase, returns on holding BORUSSIA DORTMUND are expected to decrease at a much smaller rate. During bear market, however, BORUSSIA DORTMUND is likely to outperform the market. Moreover, BORUSSIA DORTMUND has an alpha of 0.801 implying that it can potentially generate 0.801% 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 580.73. The daily returns are destributed with a variance of 6.15 and standard deviation of 2.48. The mean deviation of BORUSSIA DORTMUND is currently at 2.0. For similar time horizon, the selected benchmark (DOW) has volatility of 1.02
α
Alpha over DOW
=0.80
β
Beta against DOW=0.22
σ
Overall volatility
=2.48
Ir
Information ratio =0.37

BORUSSIA DORTMUND Return Volatility

BORUSSIA DORTMUND assumes 2.479% volatility of returns over the 30 days investment horizon. DOW inherits 1.0479% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

BORUSSIA DORTMUND Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

BORUSSIA DORTMUND Investment Opportunity

BORUSSIA DORTMUND has a volatility of 2.48 and is 2.36 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 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 BORUSSIA DORTMUND to be traded at €7.73 in 30 days. As returns on market increase, returns on owning BORUSSIA DORTMUND are expected to decrease at a much smaller rate. During bear market, BORUSSIA DORTMUND is likely to outperform the market.

BORUSSIA DORTMUND correlation with market

Good 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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