LIGAND PHARM Risk Analysis And Volatility Evaluation

LGNYZ -- USA Stock  

USD 0.0081  0.00  0.00%

LIGAND PHARM is unknown risk given 1 month investment horizon. LIGAND PHARM INC has Sharpe Ratio of 0.7071 which conveys that LIGAND PHARM INC had 0.7071% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a stock is to use LIGAND PHARM INC market data together with company specific technical indicators. We found twenty-four different technical indicators which can help you to evaluate if expected returns of 4.0% are justified by taking the suggested risk. Use LIGAND PHARM INC Mean Deviation of 1.55 and Risk Adjusted Performance of 0.1775 to evaluate company specific risk that cannot be diversified away.
Horizon     30 Days    Login   to change

LIGAND PHARM Market Sensitivity

LIGAND PHARM returns are very sensitive to returns on the market. As market goes up or down, LIGAND PHARM is expected to follow.
One Month Beta |Analyze LIGAND PHARM INC Demand Trend
Check current 30 days LIGAND PHARM correlation with market (DOW)
β = 1.0021

LIGAND PHARM Central Daily Price Deviation

LIGAND PHARM INC Technical Analysis

Transformation
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LIGAND PHARM Projected Return Density Against Market

Assuming 30 trading days horizon, the stock has beta coefficient of 1.0021 indicating LIGAND PHARM INC market returns are very sensitive to returns on the market. As the market benchmark goes up or down, LIGAND PHARM is expected to follow. Moreover, LIGAND PHARM INC has an alpha of 0.6193 implying that it can potentially generate 0.6193% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of LIGAND PHARM is 141.42. The daily returns are destributed with a variance of 32.0 and standard deviation of 5.66. The mean deviation of LIGAND PHARM INC is currently at 4.0. For similar time horizon, the selected benchmark (DOW) has volatility of 1.24
α
Alpha over DOW
=0.62
β
Beta against DOW=1.00
σ
Overall volatility
=5.66
Ir
Information ratio =0.15

LIGAND PHARM Return Volatility

LIGAND PHARM INC shows 5.6569% volatility of returns over 30 trading days. DOW inherits 1.2951% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

LIGAND PHARM Investment Opportunity

LIGAND PHARM INC has a volatility of 5.66 and is 4.35 times more volatile than DOW. 51% of all equities and portfolios are less risky than LIGAND PHARM. Compared to the overall equity markets, volatility of historical daily returns of LIGAND PHARM INC is higher than 51 (%) of all global equities and portfolios over the last 30 days. Use LIGAND PHARM INC to protect against small markets fluctuations. The stock experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of LIGAND PHARM to be traded at $0.008 in 30 days. LIGAND PHARM returns are very sensitive to returns on the market. As market goes up or down, LIGAND PHARM is expected to follow.

LIGAND PHARM correlation with market

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

LIGAND PHARM Volatility Indicators

LIGAND PHARM INC Current Risk Indicators

Please see also Stocks Correlation. Please also try Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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