Global Power Risk Analysis And Volatility Evaluation

GLPW -- USA Stock  

USD 3.03  0.02  0.66%

We consider Global Power extremely risky. Global Power Equipment holds Efficiency (Sharpe) Ratio of 0.0326 which attests that Global Power Equipment had 0.0326% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-six technical indicators for Global Power Equipment which you can use to evaluate future volatility of the corporation. Please check out Global Power Downside Deviation of 2.21, Market Risk Adjusted Performance of 0.17 and Risk Adjusted Performance of 0.0296 to validate if risk estimate we provide are consistent with the epected return of 0.0887%.
 Time Horizon     30 Days    Login   to change

Global Power Market Sensitivity

As returns on market increase, returns on owning Global Power are expected to decrease at a much smaller rate. During bear market, Global Power is likely to outperform the market.
One Month Beta |Analyze Global Power Equipment Demand Trend
Check current 30 days Global Power correlation with market (DOW)
β = -0.5503
Global Power Almost negative betaGlobal Power Equipment Beta Legend

Global Power Equipment Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Global Power Equipment 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

Given the investment horizon of 30 days, Global Power Equipment Group has beta of -0.5503 . This indicates as returns on benchmark increase, returns on holding Global Power are expected to decrease at a much smaller rate. During bear market, however, Global Power Equipment Group is likely to outperform the market. Moreover, Global Power Equipment Group has an alpha of 0.1624 implying that it can potentially generate 0.1624% 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 Global Power is 3063.34. The daily returns are destributed with a variance of 7.39 and standard deviation of 2.72. The mean deviation of Global Power Equipment Group is currently at 1.29. For similar time horizon, the selected benchmark (DOW) has volatility of 0.54
α
Alpha over DOW
=0.16
β
Beta against DOW=0.55
σ
Overall volatility
=2.72
Ir
Information ratio =0.0036

Actual Return Volatility

Global Power Equipment Group inherits 2.7185% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.6629% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Global Power Volatility Factors

30 Days Market Risk

Extremely risky

Chance of Distress in 24 months

Close to average

30 Days Economic Sensitivity

Slightly opposite to market

Investment Outlook

Global Power Investment Opportunity
Global Power Equipment Group has a volatility of 2.72 and is 4.12 times more volatile than DOW. 24% of all equities and portfolios are less risky than Global Power. Compared to the overall equity markets, volatility of historical daily returns of Global Power Equipment Group is lower than 24 (%) of all global equities and portfolios over the last 30 days. Use Global Power Equipment Group to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Global Power to be traded at $2.97 in 30 days. As returns on market increase, returns on owning Global Power are expected to decrease at a much smaller rate. During bear market, Global Power is likely to outperform the market.

Global Power correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Global Power Equipment Group I and equity matching DJI index in the same portfolio.
Please also check Risk vs Return Analysis. Please also try Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .