EPAM Systems Risk Analysis And Volatility

EPAM -- USA Stock  

Quarterly Earning Report: November 7, 2019  

Macroaxis considers EPAM Systems to be very steady. EPAM Systems retains Efficiency (Sharpe Ratio) of -0.0242 which denotes the organization had -0.0242% of return per unit of risk over the last 3 months. Macroaxis philosophy in predicting 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. EPAM Systems exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm EPAM Systems Coefficient Of Variation of (14,140) and Market Risk Adjusted Performance of (0.007871) to check risk estimate we provide.
Interest Expense

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Very Small

90 Days Economic Sensitivity

Responds to market
Horizon     30 Days    Login   to change

EPAM Systems Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, EPAM Systems will likely underperform.
3 Months Beta |Analyze EPAM Systems Demand Trend
Check current 30 days EPAM Systems correlation with market (DOW)
β = 1.4734

EPAM Systems Central Daily Price Deviation

EPAM Systems Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. EPAM Systems Typical Price indicator is an average of each day price and can be used instead of closing price when creating different EPAM Systems moving average lines. View also all equity analysis or get more info about typical price price transform indicator.

EPAM Systems Projected Return Density Against Market

Given the investment horizon of 30 days, the stock has beta coefficient of 1.4734 suggesting as the benchmark fluctuates upward, the company is expected to outperform it on average . However, if the benchmark returns are expected to be negative, EPAM Systems will likely underperform. Moreover, The company has an alpha of 0.0265 implying that it can potentially generate 0.0265% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of EPAM Systems is -4136.25. The daily returns are destributed with a variance of 5.53 and standard deviation of 2.35. The mean deviation of EPAM Systems is currently at 1.63. For similar time horizon, the selected benchmark (DOW) has volatility of 0.97
α
Alpha over DOW
=0.0265
β
Beta against DOW=1.47
σ
Overall volatility
=2.35
Ir
Information ratio =0.0041

EPAM Systems Return Volatility

the business inherits 2.3525% risk (volatility on return distribution) over the 30 days horizon. the entity inherits 0.9791% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

EPAM Systems Investment Opportunity

EPAM Systems has a volatility of 2.35 and is 2.4 times more volatile than DOW. 21  of all equities and portfolios are less risky than EPAM Systems. Compared to the overall equity markets, volatility of historical daily returns of EPAM Systems is lower than 21 () of all global equities and portfolios over the last 30 days. Use EPAM Systems to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of EPAM Systems to be traded at $198.47 in 30 days. . As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, EPAM Systems will likely underperform.

EPAM Systems correlation with market

correlation synergy
Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding EPAM Systems Inc and equity matching DJI index in the same portfolio.

EPAM Systems Current Risk Indicators

EPAM Systems Suggested Diversification Pairs

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