ScanSource Risk Analysis And Volatility

SCSC -- USA Stock  

USD 30.14  1.13  3.61%

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.
Interest Expense

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 Trend
Check current 30 days ScanSource correlation with market (DOW)
β = 1.0512

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 thirty-nine. Developed by Larry Williams, the Weighted Close is the average of ScanSource high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only ScanSource closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

ScanSource Projected Return Density Against Market

Given 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 
      Returns 
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
α
Alpha over DOW
=0.08
β
Beta against DOW=1.05
σ
Overall volatility
=1.77
Ir
Information ratio =0.05

ScanSource Return Volatility

the 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.
 Performance (%) 
      Timeline 

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

correlation synergy
Very weak 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

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