Baldwin Lyons Risk Analysis

Baldwin Lyons Inc -- USA Stock  

USD 23.95  0.1  0.42%

We consider Baldwin Lyons not too volatile. Baldwin Lyons Inc secures Sharpe Ratio (or Efficiency) of 0.0142 which signifies that Baldwin Lyons Inc had 0.0142% 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-one technical indicators for Baldwin Lyons Inc which you can use to evaluate future volatility of the firm. Please confirm Baldwin Lyons Inc Downside Deviation of 1.45, Risk Adjusted Performance of 0.0396 and Mean Deviation of 0.9993 to double-check if risk estimate we provide are consistent with the epected return of 0.0184%.
 Time Horizon     30 Days    Login   to change

Baldwin Lyons Market Sensitivity

As returns on market increase, returns on owning Baldwin Lyons are expected to decrease at a much smaller rate. During bear market, Baldwin Lyons is likely to outperform the market.
One Month Beta |Analyze Baldwin Lyons Inc Demand Trend
Check current 30 days Baldwin Lyons correlation with market (DOW)
β = -0.3093
Baldwin Lyons Almost negative betaBaldwin Lyons Inc Beta Legend

Baldwin Lyons Inc Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Baldwin Lyons 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

Assuming 30 trading days horizon, Baldwin Lyons Inc has beta of -0.3093 . This suggests as returns on benchmark increase, returns on holding Baldwin Lyons are expected to decrease at a much smaller rate. During bear market, however, Baldwin Lyons Inc is likely to outperform the market. Moreover, Baldwin Lyons Inc has an alpha of 0.1567 implying that it can potentially generate 0.1567% 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 Baldwin Lyons is 7042.36. The daily returns are destributed with a variance of 1.68 and standard deviation of 1.3. The mean deviation of Baldwin Lyons Inc is currently at 1.01. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.16
β
Beta against DOW=0.31
σ
Overall volatility
=1.3
Ir
Information ratio =0.12

Actual Return Volatility

Baldwin Lyons Inc shows 1.2969% volatility of returns over 30 trading days. DOW inherits 0.4644% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Baldwin Lyons Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

30 Days Economic Sensitivity

Almost neglects market

Total Debt

Baldwin Lyons Inc Total Debt History

Total Debt

Largest Trends

Baldwin Lyons Largest Period Trend

Investment Outlook

Baldwin Lyons Investment Opportunity
Baldwin Lyons Inc has a volatility of 1.3 and is 2.83 times more volatile than DOW. 12% of all equities and portfolios are less risky than Baldwin Lyons. Compared to the overall equity markets, volatility of historical daily returns of Baldwin Lyons Inc is lower than 12 (%) of all global equities and portfolios over the last 30 days. Use Baldwin Lyons Inc to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Baldwin Lyons to be traded at $23.71 in 30 days. As returns on market increase, returns on owning Baldwin Lyons are expected to decrease at a much smaller rate. During bear market, Baldwin Lyons is likely to outperform the market.

Baldwin Lyons correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Baldwin Lyons Inc and equity matching DJI index in the same portfolio.