LivePerson (Israel) Risk Analysis And Volatility Evaluation

LPSN -- Israel Stock  

ILS 7,780  1.00  0.0129%

Macroaxis considers LivePerson to be unknown risk. LivePerson has Sharpe Ratio of -0.6337 which conveys that LivePerson had -0.6337% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating 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. LivePerson exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify LivePerson Mean Deviation of 1.64 and Risk Adjusted Performance of 0.51 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

LivePerson Market Sensitivity

As returns on market increase, LivePerson returns are expected to increase less than the market. However during bear market, the loss on holding LivePerson will be expected to be smaller as well.
One Month Beta |Analyze LivePerson Demand Trend
Check current 30 days LivePerson correlation with market (DOW)
β = 0.3753
LivePerson Small BetaLivePerson Beta Legend

LivePerson Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

LivePerson Projected Return Density Against Market

Assuming 30 trading days horizon, LivePerson has beta of 0.3753 indicating as returns on market go up, LivePerson average returns are expected to increase less than the benchmark. However during bear market, the loss on holding LivePerson will be expected to be much smaller as well. Additionally, LivePerson 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 
Assuming 30 trading days horizon, the coefficient of variation of LivePerson is -157.81. The daily returns are destributed with a variance of 4.7 and standard deviation of 2.17. The mean deviation of LivePerson is currently at 1.51. For similar time horizon, the selected benchmark (DOW) has volatility of 1.08
α
Alpha over DOW
=0.98
β
Beta against DOW=0.38
σ
Overall volatility
=2.17
Ir
Information ratio =0.4

LivePerson Return Volatility

LivePerson accepts 2.1669% volatility on return distribution over the 30 days horizon. DOW inherits 1.0568% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

LivePerson Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

LivePerson Investment Opportunity

LivePerson has a volatility of 2.17 and is 2.05 times more volatile than DOW. 19% of all equities and portfolios are less risky than LivePerson. Compared to the overall equity markets, volatility of historical daily returns of LivePerson is lower than 19 (%) of all global equities and portfolios over the last 30 days. Use LivePerson to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of LivePerson to be traded at S7702.2 in 30 days. As returns on market increase, LivePerson returns are expected to increase less than the market. However during bear market, the loss on holding LivePerson will be expected to be smaller as well.

LivePerson correlation with market

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

LivePerson Volatility Indicators

LivePerson Current Risk Indicators

Please see also Stocks Correlation. Please also try Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.
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