Vallourec (Germany) Risk Analysis And Volatility Evaluation

VACC -- Germany Stock  

EUR 6.83  0.02  0.29%

Macroaxis considers Vallourec to be unknown risk. Vallourec S A owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.7563 which indicates Vallourec S A had -0.7563% of return per unit of risk over the last 1 month. 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 1,294 and Risk Adjusted Performance of 0.08 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Vallourec Market Sensitivity

As returns on market increase, Vallourec returns are expected to increase less than the market. However during bear market, the loss on holding Vallourec will be expected to be smaller as well.
One Month Beta |Analyze Vallourec S A Demand Trend
Check current 30 days Vallourec correlation with market (DOW)
β = 0.0754
Vallourec Small BetaVallourec S A Beta Legend

Vallourec S A Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Vallourec Projected Return Density Against Market

Assuming 30 trading days horizon, Vallourec has beta of 0.0754 . This entails as returns on market go up, Vallourec average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Vallourec S A EO Conv Bonds 2 will be expected to be much smaller as well. 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 -132.23. The daily returns are destributed with a variance of 4.47 and standard deviation of 2.11. The mean deviation of Vallourec S A EO Conv Bonds 2 is currently at 1.81. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.21
β
Beta against DOW=0.08
σ
Overall volatility
=2.11
Ir
Information ratio =0.02

Vallourec Return Volatility

Vallourec S A EO Conv Bonds 2 accepts 2.1138% volatility on return distribution over the 30 days horizon. DOW inherits 1.088% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Did you try this?

Run Alpha Finder Now

   

Alpha Finder

Use alpha and beta coefficients to find investment opportunities after accounting for the risk
All  Next Launch Alpha Finder

Investment Outlook

Vallourec Investment Opportunity

Vallourec S A EO Conv Bonds 2 has a volatility of 2.11 and is 1.94 times more volatile than DOW. 19% 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 lower than 19 (%) of all global equities and portfolios over the last 30 days. Use Vallourec S A EO Conv Bonds 2 to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Vallourec to be traded at €6.76 in 30 days. As returns on market increase, Vallourec returns are expected to increase less than the market. However during bear market, the loss on holding Vallourec will be expected to be smaller as well.

Vallourec correlation with market

Significant 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 Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.
Search macroaxis.com