Vallourec (Germany) Risk Analysis And Volatility Evaluation

VACC -- Germany Stock  

EUR 4.56  0.02  0.44%

Macroaxis considers Vallourec to be unknown risk. Vallourec S A owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.4912 which indicates Vallourec S A had -0.4912% 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. Vallourec S A EO Conv Bonds 2 exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Vallourec Coefficient Of Variation of (362.09) and Risk Adjusted Performance of (0.35) to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Vallourec Market Sensitivity

As returns on market increase, returns on owning Vallourec are expected to decrease at a much smaller rate. During bear market, Vallourec is likely to outperform the market.
2 Months Beta |Analyze Vallourec S A Demand Trend
Check current 30 days Vallourec correlation with market (DOW)
β = -0.4479

Vallourec Central Daily Price Deviation

Vallourec S A Technical Analysis

Transformation
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Vallourec Projected Return Density Against Market

Assuming 30 trading days horizon, Vallourec S A EO Conv Bonds 2 has beta of -0.4479 . This entails as returns on benchmark increase, returns on holding Vallourec are expected to decrease at a much smaller rate. During bear market, however, Vallourec S A EO Conv Bonds 2 is likely to outperform the market. Additionally, Vallourec S A EO Conv Bonds 2 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 
Assuming 30 trading days horizon, the coefficient of variation of Vallourec is -203.59. The daily returns are destributed with a variance of 280.27 and standard deviation of 16.74. The mean deviation of Vallourec S A EO Conv Bonds 2 is currently at 12.56. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=2.6
β
Beta against DOW=0.45
σ
Overall volatility
=16.74
Ir
Information ratio =0.26

Vallourec Return Volatility

Vallourec S A EO Conv Bonds 2 accepts 16.7414% volatility on return distribution over the 30 days horizon. DOW inherits 1.2765% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Balance Of Power

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Investment Outlook

Vallourec Investment Opportunity

Vallourec S A EO Conv Bonds 2 has a volatility of 16.74 and is 13.08 times more volatile than DOW. 96% of all equities and portfolios are less risky than Vallourec. Compared to the overall equity markets, volatility of historical daily returns of Vallourec S A EO Conv Bonds 2 is higher than 96 (%) of all global equities and portfolios over the last 30 days. Use Vallourec S A EO Conv Bonds 2 to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of Vallourec to be traded at €4.79 in 30 days. As returns on market increase, returns on owning Vallourec are expected to decrease at a much smaller rate. During bear market, Vallourec is likely to outperform the market.

Vallourec correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Vallourec S A EO Conv Bonds 2 and equity matching DJI index in the same portfolio.

Vallourec Volatility Indicators

Vallourec S A EO Conv Bonds 2 Current Risk Indicators

Also please take a look at World Market Map. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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