W R Risk Analysis And Volatility

WRB -- USA Stock  

USD 72.01  0.56  0.78%

We consider W R very steady. W R Berkley shows Sharpe Ratio of 0.1026 which attests that the company had 0.1026% of return per unit of standard deviation over the last 3 months. Our way of determining 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-one technical indicators for W R Berkley which you can use to evaluate future volatility of the entity. Please check out W R Berkley Mean Deviation of 0.8055, Downside Deviation of 1.13 and Risk Adjusted Performance of 0.1032 to validate if risk estimate we provide are consistent with the epected return of 0.1133%.
Interest Expense

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Below average

90 Days Economic Sensitivity

Follows market closely
Horizon     30 Days    Login   to change

W R Market Sensitivity

As returns on market increase, W R returns are expected to increase less than the market. However during bear market, the loss on holding W R will be expected to be smaller as well.
3 Months Beta |Analyze W R Berkley Demand Trend
Check current 30 days W R correlation with market (DOW)
β = 0.729

W R Central Daily Price Deviation

W R Berkley Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of W R Berkley 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 W R closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

W R Projected Return Density Against Market

Considering 30-days investment horizon, W R has beta of 0.729 . This means as returns on market go up, W R average returns are expected to increase less than the benchmark. However during bear market, the loss on holding W R Berkley Corporation will be expected to be much smaller as well. Moreover, The company has an alpha of 0.0994 implying that it can potentially generate 0.0994% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of W R is 974.63. The daily returns are destributed with a variance of 1.22 and standard deviation of 1.1. The mean deviation of W R Berkley Corporation is currently at 0.82. For similar time horizon, the selected benchmark (DOW) has volatility of 0.9
α
Alpha over DOW
=0.1
β
Beta against DOW=0.73
σ
Overall volatility
=1.10
Ir
Information ratio =0.09

W R Return Volatility

the company has volatility of 1.1043% on return distribution over 30 days investment horizon. the entity inherits 0.9009% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

W R Investment Opportunity

W R Berkley Corporation has a volatility of 1.1 and is 1.22 times more volatile than DOW. 9% of all equities and portfolios are less risky than W R. Compared to the overall equity markets, volatility of historical daily returns of W R Berkley Corporation is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use W R Berkley Corporation to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of W R to be traded at $79.21 in 30 days. . As returns on market increase, W R returns are expected to increase less than the market. However during bear market, the loss on holding W R will be expected to be smaller as well.

W R correlation with market

correlation synergy
Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding W R Berkley Corp. and equity matching DJI index in the same portfolio.

W R Current Risk Indicators

W R Suggested Diversification Pairs

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