Glacier Bancorp Risk Analysis And Volatility

GBCI -- USA Stock  

USD 40.71  0.01  0.0246%

We consider Glacier Bancorp very steady. Glacier Bancorp holds Efficiency (Sharpe) Ratio of 0.053 which attests that the entity had 0.053% of return per unit of standard deviation over the last 3 months. Our philosophy in determining volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-six technical indicators for Glacier Bancorp which you can use to evaluate future volatility of the corporation. Please check out Glacier Bancorp Risk Adjusted Performance of 0.0379 and Market Risk Adjusted Performance of 0.0525 to validate if risk estimate we provide are consistent with the epected return of 0.0764%.

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Below average

90 Days Economic Sensitivity

Almost mirrors market
Horizon     30 Days    Login   to change

Glacier Bancorp Market Sensitivity

Glacier Bancorp returns are very sensitive to returns on the market. As market goes up or down, Glacier Bancorp is expected to follow.
3 Months Beta |Analyze Glacier Bancorp Demand Trend
Check current 30 days Glacier Bancorp correlation with market (DOW)
β = 1.034

Glacier Bancorp Central Daily Price Deviation

Glacier Bancorp Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of Glacier Bancorp high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Glacier Bancorp closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

Glacier Bancorp Projected Return Density Against Market

Given the investment horizon of 30 days, the stock has beta coefficient of 1.034 . This indicates Glacier Bancorp market returns are reactive to returns on the market. As the market goes up or down, Glacier Bancorp is expected to follow. Moreover, The company has an alpha of 0.0249 implying that it can potentially generate 0.0249% 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 Glacier Bancorp is 1888.54. The daily returns are destributed with a variance of 2.08 and standard deviation of 1.44. The mean deviation of Glacier Bancorp is currently at 1.14. For similar time horizon, the selected benchmark (DOW) has volatility of 0.9
α
Alpha over DOW
=0.0249
β
Beta against DOW=1.03
σ
Overall volatility
=1.44
Ir
Information ratio =0.018

Glacier Bancorp Return Volatility

the entity inherits 1.4428% risk (volatility on return distribution) over the 30 days horizon. the entity inherits 0.9048% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Glacier Bancorp Investment Opportunity

Glacier Bancorp has a volatility of 1.44 and is 1.6 times more volatile than DOW. 12% of all equities and portfolios are less risky than Glacier Bancorp. Compared to the overall equity markets, volatility of historical daily returns of Glacier Bancorp is lower than 12 (%) of all global equities and portfolios over the last 30 days. Use Glacier Bancorp to protect your portfolios against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Glacier Bancorp to be traded at $40.3 in 30 days. . Glacier Bancorp returns are very sensitive to returns on the market. As market goes up or down, Glacier Bancorp is expected to follow.

Glacier Bancorp correlation with market

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

Glacier Bancorp Current Risk Indicators

Glacier Bancorp Suggested Diversification Pairs

Please also check Risk vs Return Analysis. Please also try ETF Directory module to find actively-traded exchange traded funds (etf) from around the world.
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