Baldwin Lyons Risk Analysis And Volatility Evaluation

BWINB -- USA Stock  

USD 23.50  0.05  0.21%

Macroaxis considers Baldwin Lyons to be not too volatile. Baldwin Lyons secures Sharpe Ratio (or Efficiency) of -0.2769 which signifies that Baldwin Lyons had -0.2769% of return per unit of risk over the last 1 month. Macroaxis philosophy towards 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. Baldwin Lyons exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Baldwin Lyons Risk Adjusted Performance of 0.06 and Mean Deviation of 0.9576 to double-check risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Baldwin Lyons Market Sensitivity

One Month Beta |Analyze Baldwin Lyons Demand Trend
Check current 30 days Baldwin Lyons correlation with market (DOW)
β = -1.0224
Baldwin Lyons llmost one BetaBaldwin Lyons Beta Legend

Baldwin Lyons Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Baldwin Lyons 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 has beta of -1.0224 . This suggests Additionally, Baldwin Lyons 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 Baldwin Lyons is -361.09. The daily returns are destributed with a variance of 1.23 and standard deviation of 1.11. The mean deviation of Baldwin Lyons is currently at 0.88. For similar time horizon, the selected benchmark (DOW) has volatility of 0.46
α
Alpha over DOW
=0.07
β
Beta against DOW=1.02
σ
Overall volatility
=1.11
Ir
Information ratio =0.23

Actual Return Volatility

Baldwin Lyons shows 1.1095% volatility of returns over 30 trading days. DOW inherits 0.5701% 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

Totally opposite to market

Investment Outlook

Baldwin Lyons Investment Opportunity
Baldwin Lyons has a volatility of 1.11 and is 1.95 times more volatile than DOW. 10% 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 is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use Baldwin Lyons to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Baldwin Lyons to be traded at $23.27 in 30 days.

Baldwin Lyons correlation with market

Very 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.
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