Rex Energy Risk Analysis

Rex Energy Corporation -- USA Stock  

USD 1.47  0.03  2%

Rex Energy is abnormally risky given 1 month investment horizon. Rex Energy maintains Sharpe Ratio (i.e. Efficiency) of 0.0832 which implies Rex Energy had 0.0832% of return per unit of risk over the last 1 month. Our philosophy towards forecasting risk of a stock is to use both market data as well as company specific technical data. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 1.3596% are justified by taking the suggested risk. Use Rex Energy Coefficient Of Variation of 1420.55, Semi Deviation of 5.93 and Risk Adjusted Performance of 0.0408 to evaluate company specific risk that cannot be diversified away.
 Time Horizon     30 Days    Login   to change

Rex Energy Market Sensitivity

As returns on market increase, returns on owning Rex Energy are expected to decrease by larger amounts. On the other hand, during market turmoil, Rex Energy is expected to significantly outperform it.
One Month Beta |Analyze Rex Energy Demand Trend
Check current 30 days Rex Energy correlation with market (DOW)
β = -1.593
Rex Energy Large Negative BetaRex Energy Beta Legend

Rex Energy Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Rex Energy 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.

Projected Return Density Against Market

Given the investment horizon of 30 days, Rex Energy Corporation has beta of -1.593 . This implies as returns on its benchmark rise, returns on holding Rex Energy Corporation are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Rex Energy is expected to outperform its benchmark. In addition to that, Rex Energy Corporation has an alpha of 1.3938 implying that it can potentially generate 1.3938% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Rex Energy is 1202.58. The daily returns are destributed with a variance of 267.32 and standard deviation of 16.35. The mean deviation of Rex Energy Corporation is currently at 7.92. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44
α
Alpha over DOW
=1.39
β
Beta against DOW=1.59
σ
Overall volatility
=16.35
Ir
Information ratio =0.055

Actual Return Volatility

Rex Energy Corporation inherits 16.3501% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.4629% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Rex Energy Volatility Factors

30 Days Market Risk

Abnormally risky

Chance of Distress in 24 months

About average

30 Days Economic Sensitivity

Very regressive towards market

Total Debt

Rex Energy Total Debt History

Total Debt

Largest Trends

Rex Energy Largest Period Trend

Investment Outlook

Rex Energy Investment Opportunity
Rex Energy Corporation has a volatility of 16.35 and is 35.54 times more volatile than DOW. 96% of all equities and portfolios are less risky than Rex Energy. Compared to the overall equity markets, volatility of historical daily returns of Rex Energy Corporation is higher than 96 (%) of all global equities and portfolios over the last 30 days. Use Rex Energy Corporation to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Rex Energy to be traded at $1.4259 in 30 days. As returns on market increase, returns on owning Rex Energy are expected to decrease by larger amounts. On the other hand, during market turmoil, Rex Energy is expected to significantly outperform it.

Rex Energy correlation with market

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