Halliburton Risk Analysis And Volatility Evaluation

HAL -- USA Stock  

USD 38.71  1.68  4.16%

Macroaxis considers Halliburton to be not too risky. Halliburton holds Efficiency (Sharpe) Ratio of -0.045 which attests that Halliburton had -0.045% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining 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. Halliburton exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Halliburton Market Risk Adjusted Performance of 0.030786 and Risk Adjusted Performance of 0.002212 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

Halliburton Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Halliburton will likely underperform.
One Month Beta |Analyze Halliburton Demand Trend
Check current 30 days Halliburton correlation with market (DOW)
β = 1.3135
Halliburton Large BetaHalliburton Beta Legend

Halliburton Technical Analysis

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

Halliburton Projected Return Density Against Market

Considering 30-days investment horizon, the stock has beta coefficient of 1.3135 . This indicates as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Halliburton will likely underperform. Additionally, Halliburton Company has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of Halliburton is -2224.05. The daily returns are destributed with a variance of 3.12 and standard deviation of 1.77. The mean deviation of Halliburton Company is currently at 1.07. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.17
β
Beta against DOW=1.31
σ
Overall volatility
=1.77
Ir
Information ratio =0.08

Halliburton Return Volatility

Halliburton Company has volatility of 1.766% on return distribution over 30 days investment horizon. DOW inherits 0.3914% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Halliburton Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Totally responsive to market

Investment Outlook

Halliburton Investment Opportunity

Halliburton Company has a volatility of 1.77 and is 4.54 times more volatile than DOW. 16% of all equities and portfolios are less risky than Halliburton. Compared to the overall equity markets, volatility of historical daily returns of Halliburton Company is lower than 16 (%) of all global equities and portfolios over the last 30 days. Use Halliburton Company to protect against small markets fluctuations. The stock experiences very speculative upward sentiment.. Check odds of Halliburton to be traded at $36.77 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Halliburton will likely underperform.

Halliburton correlation with market

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Halliburton Company and equity matching DJI index in the same portfolio.

Halliburton Volatility Indicators

Halliburton Company Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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