ResMed Risk Analysis And Volatility Evaluation

RMD -- USA Stock  

USD 100.93  4.10  3.90%

Macroaxis considers ResMed to be not too risky. ResMed maintains Sharpe Ratio (i.e. Efficiency) of -0.3063 which implies ResMed had -0.3063% of return per unit of risk over the last 1 month. 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. ResMed exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check ResMed Coefficient Of Variation of 263.40 and Risk Adjusted Performance of 0.41 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

ResMed Market Sensitivity

As returns on market increase, ResMed returns are expected to increase less than the market. However during bear market, the loss on holding ResMed will be expected to be smaller as well.
One Month Beta |Analyze ResMed Demand Trend
Check current 30 days ResMed correlation with market (DOW)
β = 0.0325
ResMed Small BetaResMed Beta Legend

ResMed Technical Analysis

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

ResMed Projected Return Density Against Market

Considering 30-days investment horizon, ResMed has beta of 0.0325 . This implies as returns on market go up, ResMed average returns are expected to increase less than the benchmark. However during bear market, the loss on holding ResMed will be expected to be much smaller as well. Additionally, ResMed 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 
Considering 30-days investment horizon, the coefficient of variation of ResMed is -326.47. The daily returns are destributed with a variance of 2.82 and standard deviation of 1.68. The mean deviation of ResMed is currently at 1.31. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.6
β
Beta against DOW=0.0325
σ
Overall volatility
=1.68
Ir
Information ratio =0.28

ResMed Return Volatility

ResMed has volatility of 1.6784% on return distribution over 30 days investment horizon. DOW inherits 1.0609% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ResMed Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Very low

30 Days Economic Sensitivity

Barely shadows market

Investment Outlook

ResMed Investment Opportunity

ResMed has a volatility of 1.68 and is 1.58 times more volatile than DOW. 15% of all equities and portfolios are less risky than ResMed. Compared to the overall equity markets, volatility of historical daily returns of ResMed is lower than 15 (%) of all global equities and portfolios over the last 30 days. Use ResMed to protect against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of ResMed to be traded at $96.89 in 30 days. As returns on market increase, ResMed returns are expected to increase less than the market. However during bear market, the loss on holding ResMed will be expected to be smaller as well.

ResMed correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding ResMed Inc and equity matching DJI index in the same portfolio.
Additionally take a look at Your Equity Center. Please also try Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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