ScanSource Risk Analysis And Volatility

SCSC -- USA Stock  

Fiscal Quarter End: December 31, 2019  

We consider ScanSource not too volatile. ScanSource owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1095 which indicates the firm had 0.1095% of return per unit of risk over the last 3 months. Our philosophy towards measuring 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 ScanSource which you can use to evaluate future volatility of the company. Please validate ScanSource Coefficient Of Variation of 763.85, Risk Adjusted Performance of 0.1008 and Semi Deviation of 1.84 to confirm if risk estimate we provide are consistent with the epected return of 0.197%.
Interest Expense

90 Days Market Risk

Not too volatile

Chance of Distress in 24 months

90 Days Economic Sensitivity

Almost neglects market trends
Horizon     30 Days    Login   to change

ScanSource Market Sensitivity

As returns on market increase, returns on owning ScanSource are expected to decrease at a much smaller rate. During bear market, ScanSource is likely to outperform the market.
3 Months Beta |Analyze ScanSource Demand Trend
Check current 30 days ScanSource correlation with market (DOW)
β = -0.3203

ScanSource Central Daily Price Deviation

ScanSource Technical Analysis

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

ScanSource Projected Return Density Against Market

Given the investment horizon of 30 days, ScanSource has beta of -0.3203 . This entails as returns on benchmark increase, returns on holding ScanSource are expected to decrease at a much smaller rate. During bear market, however, ScanSource is likely to outperform the market. Moreover, The company has an alpha of 0.2688 implying that it can potentially generate 0.2688% 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 ScanSource is 913.54. The daily returns are destributed with a variance of 3.24 and standard deviation of 1.8. The mean deviation of ScanSource is currently at 1.33. For similar time horizon, the selected benchmark (DOW) has volatility of 0.72
α
Alpha over DOW
=0.27
β
Beta against DOW=0.32
σ
Overall volatility
=1.80
Ir
Information ratio =0.06

ScanSource Return Volatility

the company inherits 1.7994% risk (volatility on return distribution) over the 30 days horizon. the entity inherits 0.7199% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

ScanSource Investment Opportunity

ScanSource has a volatility of 1.8 and is 2.5 times more volatile than DOW. 16  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 16 () of all global equities and portfolios over the last 30 days. Use ScanSource to protect your portfolios against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of ScanSource to be traded at $34.82 in 30 days. . As returns on market increase, returns on owning ScanSource are expected to decrease at a much smaller rate. During bear market, ScanSource is likely to outperform the market.

ScanSource correlation with market

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

ScanSource Current Risk Indicators

ScanSource Suggested Diversification Pairs

Also please take a look at World Market Map. Please also try Money Managers module to screen money managers from public funds and etfs managed around the world.
Search macroaxis.com