Rex Energy Risk Analysis

Rex Energy Corporation -- USA Stock  

USD 0.53  0.18  26.03%

Macroaxis considers Rex Energy to be unknown risk. Rex Energy maintains Sharpe Ratio (i.e. Efficiency) of -0.0739 which implies Rex Energy had -0.0739% of return per unit of risk over the last 2 months. Macroaxis philosophy towards forecasting 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. Rex Energy exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Rex Energy Coefficient Of Variation of 373.77 and Risk Adjusted Performance of 0.43 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Rex Energy Market Sensitivity

As returns on market increase, Rex Energy returns are expected to increase less than the market. However during bear market, the loss on holding Rex Energy will be expected to be smaller as well.
2 Months Beta |Analyze Rex Energy Demand Trend
Check current 30 days Rex Energy correlation with market (DOW)
β = 0.268
Rex Energy Small BetaRex Energy Beta Legend

Rex Energy Technical Analysis

Transformation
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Projected Return Density Against Market

Given the investment horizon of 30 days, Rex Energy has beta of 0.268 . This implies as returns on market go up, Rex Energy average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Rex Energy Corporation will be expected to be much smaller as well. Additionally, Rex Energy 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 
Given the investment horizon of 30 days, the coefficient of variation of Rex Energy is -1353.07. The daily returns are destributed with a variance of 86.3 and standard deviation of 9.29. The mean deviation of Rex Energy Corporation is currently at 5.5. For similar time horizon, the selected benchmark (DOW) has volatility of 1.65
α
Alpha over DOW
=1.75
β
Beta against DOW=0.27
σ
Overall volatility
=9.29
Ir
Information ratio =0.26

Actual Return Volatility

Rex Energy Corporation inherits 9.2896% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.4149% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Rex Energy Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Unaffected

Total Debt

Rex Energy Total Debt History

Total Debt

Investment Outlook

Rex Energy Investment Opportunity
Rex Energy Corporation has a volatility of 9.29 and is 6.59 times more volatile than DOW. 85% 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 85 (%) of all global equities and portfolios over the last 30 days. Use Rex Energy Corporation to protect against small markets fluctuations. The stock experiences very speculative upward sentiment.. Check odds of Rex Energy to be traded at $0.4989 in 30 days. As returns on market increase, Rex Energy returns are expected to increase less than the market. However during bear market, the loss on holding Rex Energy will be expected to be smaller as well.

Rex Energy correlation with market

Significant 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.
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