BORUSSIA DORTMUND (Germany) Risk Analysis And Volatility

BVB -- Germany Stock  

EUR 7.02  0.18  2.50%

Macroaxis considers BORUSSIA DORTMUND to be unknown risk. BORUSSIA DORTMUND secures Sharpe Ratio (or Efficiency) of -0.3739 which signifies that the organization had -0.3739% of return per unit of risk over the last 2 months. Macroaxis philosophy in 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. BORUSSIA DORTMUND exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm BORUSSIA DORTMUND Mean Deviation of 1.85 and Risk Adjusted Performance of (0.05) to double-check risk estimate we provide.

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant
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 = 0.6968

BORUSSIA DORTMUND Central Daily Price Deviation

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 0.6968 . 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. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. BORUSSIA DORTMUND is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of BORUSSIA DORTMUND is -267.48. The daily returns are destributed with a variance of 15.52 and standard deviation of 3.94. The mean deviation of BORUSSIA DORTMUND is currently at 2.59. For similar time horizon, the selected benchmark (DOW) has volatility of 0.64
α
Alpha over DOW
=0.36
β
Beta against DOW=0.70
σ
Overall volatility
=3.94
Ir
Information ratio =0.14

BORUSSIA DORTMUND Return Volatility

the business assumes 3.939% volatility of returns over the 30 days investment horizon. the entity inherits 0.5769% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

BORUSSIA DORTMUND Investment Opportunity

BORUSSIA DORTMUND has a volatility of 3.94 and is 6.79 times more volatile than DOW. 35% 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 35 (%) of all global equities and portfolios over the last 30 days. Use BORUSSIA DORTMUND to protect your portfolios against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of BORUSSIA DORTMUND to be traded at €6.74 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
Average 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 Current Risk Indicators

BORUSSIA DORTMUND Suggested Diversification Pairs

Check also Trending Equities. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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