National Bank (Germany) Risk Analysis And Volatility Evaluation

NB9 -- Germany Stock  

EUR 31.96  0.22  0.69%

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 National Bank which you can use to evaluate future volatility of the firm. Please verify National Bank Holdings Corporation Mean Deviation of 1.29 and Risk Adjusted Performance of (0.031131) to check out if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

National Bank Market Sensitivity

As returns on market increase, National Bank returns are expected to increase less than the market. However during bear market, the loss on holding National Bank will be expected to be smaller as well.
2 Months Beta |Analyze National Bank Holdings Demand Trend
Check current 30 days National Bank correlation with market (DOW)
β = 0.0273

National Bank Central Daily Price Deviation

National Bank Holdings Technical Analysis

Transformation
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National Bank Projected Return Density Against Market

Assuming 30 trading days horizon, National Bank has beta of 0.0273 indicating as returns on market go up, National Bank average returns are expected to increase less than the benchmark. However during bear market, the loss on holding National Bank Holdings Corporation will be expected to be much smaller as well. Additionally, National Bank Holdings Corporation 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 
α
Alpha over DOW
=0.05
β
Beta against DOW=0.0273
σ
Overall volatility
=0.00
Ir
Information ratio =0.07

National Bank Return Volatility

National Bank Holdings Corporation shows 0.0% volatility of returns over 30 trading days. DOW inherits 1.2918% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

National Bank Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

National Bank Investment Opportunity

DOW has a standard deviation of returns of 1.29 and is 9.223372036854776E16 times more volatile than National Bank Holdings Corporation. 0% of all equities and portfolios are less risky than National Bank. Compared to the overall equity markets, volatility of historical daily returns of National Bank Holdings Corporation is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use National Bank Holdings Corporation to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of National Bank to be traded at €35.16 in 30 days. As returns on market increase, National Bank returns are expected to increase less than the market. However during bear market, the loss on holding National Bank will be expected to be smaller as well.

National Bank correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding National Bank Holdings Corp. and equity matching DJI index in the same portfolio.

National Bank Volatility Indicators

National Bank Holdings Corporation Current Risk Indicators

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