We consider BNP Paribas not too volatile. BNP Paribas ST secures Sharpe Ratio (or Efficiency) of 0.0273 which signifies that the fund had 0.0273% of return per unit of risk over the last 2 months. Our philosophy towards foreseeing volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for BNP Paribas ST Income Qt Div which you can use to evaluate future volatility of the entity. Please confirm BNP Paribas ST Mean Deviation of 0.191 and Risk Adjusted Performance of 0.043 to double-check if risk estimate we provide are consistent with the epected return of 0.0121%.
|Horizon||30 Days Login to change|
BNP Paribas Market Sensitivity
|As returns on market increase, returns on owning BNP Paribas are expected to decrease at a much smaller rate. During bear market, BNP Paribas is likely to outperform the market. 2 Months Beta |Analyze BNP Paribas ST Demand TrendCheck current 30 days BNP Paribas correlation with market (DOW)|
β = -0.0288
BNP Paribas Central Daily Price Deviation
BNP Paribas ST Technical Analysis
BNP Paribas Projected Return Density Against MarketAssuming 30 trading days horizon, BNP Paribas ST Income Qt Div has beta of -0.0288 suggesting as returns on benchmark increase, returns on holding BNP Paribas are expected to decrease at a much smaller rate. During bear market, however, BNP Paribas ST Income Qt Div is likely to outperform the market. Moreover, The company has an alpha of 0.0167 implying that it can potentially generate 0.0167% excess return over DOW after adjusting for the inherited market risk (beta).
Predicted Return Density
Assuming 30 trading days horizon, the coefficient of variation of BNP Paribas is 3666.36. The daily returns are destributed with a variance of 0.2 and standard deviation of 0.44. The mean deviation of BNP Paribas ST Income Qt Div is currently at 0.14. For similar time horizon, the selected benchmark (DOW) has volatility of 1.74
|Alpha over DOW||=||0.0167|
|Beta against DOW||=||0.03|
BNP Paribas Return Volatilitythe fund accepts 0.4434% volatility on return distribution over the 30 days horizon. the entity inherits 1.6372% risk (volatility on return distribution) over the 30 days horizon.
DOW has a standard deviation of returns of 1.64 and is 3.73 times more volatile than BNP Paribas ST Income Qt Div. 4% of all equities and portfolios are less risky than BNP Paribas. Compared to the overall equity markets, volatility of historical daily returns of BNP Paribas ST Income Qt Div is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use BNP Paribas ST Income Qt Div to enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of BNP Paribas to be traded at 10.66 in 30 days. . As returns on market increase, returns on owning BNP Paribas are expected to decrease at a much smaller rate. During bear market, BNP Paribas is likely to outperform the market.
BNP Paribas correlation with market