Home BancShares Risk Analysis And Volatility

HOMB -- USA Stock  

USD 18.99  0.02  0.11%

We consider Home BancShares somewhat reliable. Home BancShares holds Efficiency (Sharpe) Ratio of 0.0287 which attests that the entity had 0.0287% of return per unit of risk over the last 3 months. Our philosophy towards 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 Home BancShares which you can use to evaluate future volatility of the corporation. Please check out Home BancShares Downside Deviation of 1.94, Risk Adjusted Performance of 0.0276 and Market Risk Adjusted Performance of 0.0345 to validate if risk estimate we provide are consistent with the epected return of 0.0519%.

90 Days Market Risk

Somewhat reliable

Chance of Distress in 24 months

Below average

90 Days Economic Sensitivity

Responds to market
Horizon     30 Days    Login   to change

Home BancShares Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Home BancShares will likely underperform.
3 Months Beta |Analyze Home BancShares Demand Trend
Check current 30 days Home BancShares correlation with market (DOW)
β = 1.4233

Home BancShares Central Daily Price Deviation

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

Home BancShares Projected Return Density Against Market

Given the investment horizon of 30 days, the stock has beta coefficient of 1.4233 . 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, Home BancShares will likely underperform. Moreover, The company has an alpha of 0.0086 implying that it can potentially generate 0.0086% 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 Home BancShares is 3479.06. The daily returns are destributed with a variance of 3.26 and standard deviation of 1.81. The mean deviation of Home BancShares is currently at 1.44. For similar time horizon, the selected benchmark (DOW) has volatility of 0.9
α
Alpha over DOW
=0.0086
β
Beta against DOW=1.42
σ
Overall volatility
=1.81
Ir
Information ratio =0.0092

Home BancShares Return Volatility

the company inherits 1.8064% 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 

Home BancShares Investment Opportunity

Home BancShares has a volatility of 1.81 and is 2.01 times more volatile than DOW. 16% of all equities and portfolios are less risky than Home BancShares. Compared to the overall equity markets, volatility of historical daily returns of Home BancShares is lower than 16 (%) of all global equities and portfolios over the last 30 days. Use Home BancShares to protect your portfolios against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Home BancShares to be traded at $18.8 in 30 days. . As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Home BancShares will likely underperform.

Home BancShares correlation with market

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

Home BancShares Current Risk Indicators

Home BancShares Suggested Diversification Pairs

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