Realty Income Risk Analysis And Volatility

O -- USA Stock  

Fiscal Quarter End: December 31, 2019  

We consider Realty Income very steady. Realty Income maintains Sharpe Ratio (i.e. Efficiency) of 0.1183 which implies the corporation had 0.1183% of return per unit of risk over the last 3 months. Our philosophy towards forecasting 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-seven technical indicators for Realty Income which you can use to evaluate future volatility of the company. Please check Realty Income Coefficient Of Variation of 862.95, Risk Adjusted Performance of 0.0868 and Semi Deviation of 1.02 to confirm if risk estimate we provide are consistent with the epected return of 0.1221%.
Interest Expense

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Below average

90 Days Economic Sensitivity

Moves indifferently to market moves
Horizon     30 Days    Login   to change

Realty Income Market Sensitivity

As returns on market increase, returns on owning Realty Income are expected to decrease at a much smaller rate. During bear market, Realty Income is likely to outperform the market.
3 Months Beta |Analyze Realty Income Demand Trend
Check current 30 days Realty Income correlation with market (DOW)
β = -0.0569

Realty Income Central Daily Price Deviation

Realty Income Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Realty Income 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.

Realty Income Projected Return Density Against Market

Taking into account the 30 trading days horizon, Realty Income Corporation has beta of -0.0569 . This implies as returns on benchmark increase, returns on holding Realty Income are expected to decrease at a much smaller rate. During bear market, however, Realty Income Corporation is likely to outperform the market. Moreover, The company has an alpha of 0.116 implying that it can potentially generate 0.116% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Taking into account the 30 trading days horizon, the coefficient of variation of Realty Income is 845.55. The daily returns are destributed with a variance of 1.07 and standard deviation of 1.03. The mean deviation of Realty Income Corporation is currently at 0.77. For similar time horizon, the selected benchmark (DOW) has volatility of 0.72
α
Alpha over DOW
=0.12
β
Beta against DOW=0.06
σ
Overall volatility
=1.03
Ir
Information ratio =0.0039

Realty Income Return Volatility

the corporation accepts 1.0323% volatility on return distribution over the 30 days horizon. the entity inherits 0.7137% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Realty Income Investment Opportunity

Realty Income Corporation has a volatility of 1.03 and is 1.45 times more volatile than DOW. of all equities and portfolios are less risky than Realty Income. Compared to the overall equity markets, volatility of historical daily returns of Realty Income Corporation is lower than 9 () of all global equities and portfolios over the last 30 days. Use Realty Income Corporation to protect your portfolios against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Realty Income to be traded at $77.3 in 30 days. . As returns on market increase, returns on owning Realty Income are expected to decrease at a much smaller rate. During bear market, Realty Income is likely to outperform the market.

Realty Income correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Realty Income Corp. and equity matching DJI index in the same portfolio.

Realty Income Current Risk Indicators

Realty Income Suggested Diversification Pairs

Additionally take a look at Your Equity Center. Please also try Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.
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