Kellogg Risk Analysis And Volatility

K -- USA Stock  

Fiscal Quarter End: December 31, 2019  

We consider Kellogg very steady. Kellogg Company has Sharpe Ratio of 0.0241 which conveys that the firm had 0.0241% of return per unit of risk over the last 3 months. Our philosophy towards estimating 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-one technical indicators for Kellogg which you can use to evaluate future volatility of the firm. Please verify Kellogg Company Mean Deviation of 0.7973, Downside Deviation of 1.06 and Risk Adjusted Performance of 0.0359 to check out if risk estimate we provide are consistent with the epected return of 0.0245%.
Interest Expense

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Below average

90 Days Economic Sensitivity

Slowly supersedes market
Horizon     30 Days    Login   to change

Kellogg Market Sensitivity

As returns on market increase, Kellogg returns are expected to increase less than the market. However during bear market, the loss on holding Kellogg will be expected to be smaller as well.
3 Months Beta |Analyze Kellogg Company Demand Trend
Check current 30 days Kellogg correlation with market (DOW)
β = 0.4369

Kellogg Central Daily Price Deviation

Kellogg Company Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. The Median Price line plots median indexes of Kellogg Company price series. View also all equity analysis or get more info about median price price transform indicator.

Kellogg Projected Return Density Against Market

Taking into account the 30 trading days horizon, Kellogg has beta of 0.4369 indicating as returns on market go up, Kellogg average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Kellogg Company will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Kellogg Company is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Taking into account the 30 trading days horizon, the coefficient of variation of Kellogg is 4142.51. The daily returns are destributed with a variance of 1.03 and standard deviation of 1.01. The mean deviation of Kellogg Company is currently at 0.79. For similar time horizon, the selected benchmark (DOW) has volatility of 0.74
α
Alpha over DOW
=0.02
β
Beta against DOW=0.44
σ
Overall volatility
=1.01
Ir
Information ratio =0.09

Kellogg Return Volatility

the organization accepts 1.0131% volatility on return distribution over the 30 days horizon. the entity inherits 0.721% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Kellogg Investment Opportunity

Kellogg Company has a volatility of 1.01 and is 1.4 times more volatile than DOW. of all equities and portfolios are less risky than Kellogg. Compared to the overall equity markets, volatility of historical daily returns of Kellogg Company is lower than 9 () of all global equities and portfolios over the last 30 days. Use Kellogg Company to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Kellogg to be traded at $71.13 in 30 days. . As returns on market increase, Kellogg returns are expected to increase less than the market. However during bear market, the loss on holding Kellogg will be expected to be smaller as well.

Kellogg correlation with market

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

Kellogg Current Risk Indicators

Kellogg Suggested Diversification Pairs

Please see also Stocks Correlation. Please also try Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.
Search macroaxis.com