CGI Risk Analysis And Volatility

GIB -- USA Stock  

Fiscal Quarter End: December 31, 2019  

We consider CGI very steady. CGI secures Sharpe Ratio (or Efficiency) of 0.1425 which signifies that the organization had 0.1425% of return per unit of return volatility over the last 3 months. Our approach into foreseeing 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-seven technical indicators for CGI which you can use to evaluate future volatility of the firm. Please confirm CGI Mean Deviation of 0.607, Semi Deviation of 0.6972 and Risk Adjusted Performance of 0.0739 to double-check if risk estimate we provide are consistent with the epected return of 0.1117%.
Interest Expense

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Very low

90 Days Economic Sensitivity

Follows market closely
Horizon     30 Days    Login   to change

CGI Market Sensitivity

As returns on market increase, CGI returns are expected to increase less than the market. However during bear market, the loss on holding CGI will be expected to be smaller as well.
3 Months Beta |Analyze CGI Demand Trend
Check current 30 days CGI correlation with market (DOW)
β = 0.5947

CGI Central Daily Price Deviation

CGI 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 CGI 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 CGI closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

CGI Projected Return Density Against Market

Considering 30-days investment horizon, CGI has beta of 0.5947 . This indicates as returns on market go up, CGI average returns are expected to increase less than the benchmark. However during bear market, the loss on holding CGI will be expected to be much smaller as well. Moreover, The company has an alpha of 0.057 implying that it can potentially generate 0.057% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of CGI is 701.53. The daily returns are destributed with a variance of 0.61 and standard deviation of 0.78. The mean deviation of CGI is currently at 0.6. For similar time horizon, the selected benchmark (DOW) has volatility of 0.6
α
Alpha over DOW
=0.06
β
Beta against DOW=0.59
σ
Overall volatility
=0.78
Ir
Information ratio =0.0497

CGI Return Volatility

the company has volatility of 0.7837% on return distribution over 30 days investment horizon. the entity inherits 0.6048% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

CGI Investment Opportunity

CGI has a volatility of 0.78 and is 1.3 times more volatile than DOW. of all equities and portfolios are less risky than CGI. Compared to the overall equity markets, volatility of historical daily returns of CGI is lower than 7 () of all global equities and portfolios over the last 30 days. Use CGI to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of CGI to be traded at $87.17 in 30 days. . As returns on market increase, CGI returns are expected to increase less than the market. However during bear market, the loss on holding CGI will be expected to be smaller as well.

CGI correlation with market

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

CGI Current Risk Indicators

CGI Suggested Diversification Pairs

Please also check Risk vs Return Analysis. Please also try Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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