Macroaxis considers ScanSource to be not too volatile. ScanSource owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0515 which indicates the firm had -0.0515% of return per unit of risk over the last 2 months. Macroaxis philosophy towards measuring 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. ScanSource exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate ScanSource Risk Adjusted Performance of
(0.06) and Coefficient Of Variation of (1,392) to confirm risk estimate we provide.
60 Days Market Risk
Not too volatile
Chance of Distress in 24 months
60 Days Economic Sensitivity
Almost mirrors market
|Horizon||30 Days Login to change|
ScanSource Market Sensitivity
|ScanSource returns are very sensitive to returns on the market. As market goes up or down, ScanSource is expected to follow. 2 Months Beta |Analyze ScanSource Demand TrendCheck current 30 days ScanSource correlation with market (DOW)|
β = 1.0512
ScanSource Central Daily Price Deviation
ScanSource Technical Analysis
ScanSource Projected Return Density Against MarketGiven the investment horizon of 30 days, the stock has beta coefficient of 1.0512 . This entails ScanSource market returns are sensitive to returns on the market. As the market goes up or down, ScanSource is expected to follow. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. ScanSource is significantly underperforming DOW.
Predicted Return Density
Given the investment horizon of 30 days, the coefficient of variation of ScanSource is -1939.96. The daily returns are destributed with a variance of 3.12 and standard deviation of 1.77. The mean deviation of ScanSource is currently at 1.33. For similar time horizon, the selected benchmark (DOW) has volatility of 0.92
|Alpha over DOW||=||0.08|
|Beta against DOW||=||1.05|
ScanSource Return Volatilitythe company inherits 1.7655% risk (volatility on return distribution) over the 30 days horizon. the entity inherits 0.9407% risk (volatility on return distribution) over the 30 days horizon.
ScanSource Investment Opportunity
ScanSource has a volatility of 1.77 and is 1.88 times more volatile than DOW. 15% of all equities and portfolios are less risky than ScanSource. Compared to the overall equity markets, volatility of historical daily returns of ScanSource is lower than 15 (%) of all global equities and portfolios over the last 30 days. Use ScanSource to protect your portfolios against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of ScanSource to be traded at $28.93 in 30 days. . ScanSource returns are very sensitive to returns on the market. As market goes up or down, ScanSource is expected to follow.
ScanSource correlation with market
ScanSource Current Risk Indicators
|Risk Adjusted Performance||(0.06)|
|Market Risk Adjusted Performance||(0.12)|
|Coefficient Of Variation||(1,392)|
ScanSource Suggested Diversification Pairs