International Business Risk Analysis And Volatility

IBM -- USA Stock  

USD 140.79  1.09  0.77%

We consider International Business very steady. International Business holds Efficiency (Sharpe) Ratio of 0.0394 which attests that the entity had 0.0394% 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 International Business which you can use to evaluate future volatility of the corporation. Please check out International Business Market Risk Adjusted Performance of 0.0701, Risk Adjusted Performance of 0.0538 and Downside Deviation of 1.69 to validate if risk estimate we provide are consistent with the epected return of 0.0572%.
Interest Expense

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

International Business Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, International Business will likely underperform.
3 Months Beta |Analyze International Business Demand Trend
Check current 30 days International Business correlation with market (DOW)
β = 1.1602

International Business Central Daily Price Deviation

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

International Business Projected Return Density Against Market

Considering 30-days investment horizon, the stock has beta coefficient of 1.1602 . 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, International Business will likely underperform. Moreover, The company has an alpha of 0.0483 implying that it can potentially generate 0.0483% 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 International Business is 2540.78. The daily returns are destributed with a variance of 2.11 and standard deviation of 1.45. The mean deviation of International Business Machines is currently at 1.0. For similar time horizon, the selected benchmark (DOW) has volatility of 0.9
α
Alpha over DOW
=0.0483
β
Beta against DOW=1.16
σ
Overall volatility
=1.45
Ir
Information ratio =0.0359

International Business Return Volatility

the business has volatility of 1.4535% on return distribution over 30 days investment horizon. the entity inherits 0.9048% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

International Business Investment Opportunity

International Business Machines has a volatility of 1.45 and is 1.61 times more volatile than DOW. 12% of all equities and portfolios are less risky than International Business. Compared to the overall equity markets, volatility of historical daily returns of International Business Machines is lower than 12 (%) of all global equities and portfolios over the last 30 days. Use International Business Machines to protect your portfolios against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of International Business to be traded at $137.97 in 30 days. . As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, International Business will likely underperform.

International Business correlation with market

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

International Business Current Risk Indicators

International Business Suggested Diversification Pairs

Please also check Risk vs Return Analysis. Please also try Theme Ratings module to determine theme ratings based on digital equity recommendations. macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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