Marriott International Risk Analysis And Volatility

MAR -- USA Stock  

Fiscal Quarter End: December 31, 2019  

We consider Marriott International very steady. Marriott International has Sharpe Ratio of 0.0488 which conveys that the firm had 0.0488% 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 Marriott International which you can use to evaluate future volatility of the firm. Please verify Marriott International Mean Deviation of 0.9778, Risk Adjusted Performance of 0.0639 and Downside Deviation of 1.28 to check out if risk estimate we provide are consistent with the epected return of 0.0615%.
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

Marriott International Market Sensitivity

Marriott International returns are very sensitive to returns on the market. As market goes up or down, Marriott International is expected to follow.
3 Months Beta |Analyze Marriott International Demand Trend
Check current 30 days Marriott International correlation with market (DOW)
β = 1.1293

Marriott International Central Daily Price Deviation

Marriott International Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Marriott International Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Marriott International Projected Return Density Against Market

Considering 30-days investment horizon, the stock has beta coefficient of 1.1293 indicating Marriott International market returns are sensible to returns on the market. As the market goes up or down, Marriott International is expected to follow. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Marriott International is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of Marriott International is 2051.23. The daily returns are destributed with a variance of 1.59 and standard deviation of 1.26. The mean deviation of Marriott International is currently at 0.98. For similar time horizon, the selected benchmark (DOW) has volatility of 0.73
α
Alpha over DOW
=0.05
β
Beta against DOW=1.13
σ
Overall volatility
=1.26
Ir
Information ratio =0.02

Marriott International Return Volatility

the enterprise has volatility of 1.2609% on return distribution over 30 days investment horizon. the entity inherits 0.7271% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Marriott International Investment Opportunity

Marriott International has a volatility of 1.26 and is 1.73 times more volatile than DOW. 11  of all equities and portfolios are less risky than Marriott International. Compared to the overall equity markets, volatility of historical daily returns of Marriott International is lower than 11 () of all global equities and portfolios over the last 30 days. Use Marriott International to protect your portfolios against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Marriott International to be traded at $128.55 in 30 days. . Marriott International returns are very sensitive to returns on the market. As market goes up or down, Marriott International is expected to follow.

Marriott International correlation with market

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

Marriott International Current Risk Indicators

Marriott International Suggested Diversification Pairs

Please see also Stocks Correlation. Please also try Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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