United States Risk Analysis And Volatility

X -- USA Stock  

Fiscal Quarter End: December 31, 2019  

Macroaxis considers United States risky given 3 months investment horizon. United States Steel owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0817 which indicates the firm had 0.0817% 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-one technical indicators for United States Steel Corporation which you can use to evaluate future volatility of the company. Please operate United States Risk Adjusted Performance of 0.0548, Semi Deviation of 3.99 and Coefficient Of Variation of 1779.01 to confirm if our risk estimates are consistent with your expectations.
Interest Expense

90 Days Market Risk

Risky

Chance of Distress in 24 months

Close to average

90 Days Economic Sensitivity

Hyperactively responds to market trends
Horizon     30 Days    Login   to change

United States Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, United States will likely underperform.
3 Months Beta |Analyze United States Steel Demand Trend
Check current 30 days United States correlation with market (DOW)
β = 2.6492

United States Central Daily Price Deviation

United States Steel 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 United States Steel 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 United States closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

United States Projected Return Density Against Market

Taking into account the 30 trading days horizon, the stock has beta coefficient of 2.6492 . This means as the benchmark fluctuates upward, the company is expected to outperform it on average . However, if the benchmark returns are expected to be negative, United States will likely underperform. Moreover, The company has an alpha of 0.0437 implying that it can potentially generate 0.0437% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Taking into account the 30 trading days horizon, the coefficient of variation of United States is 1224.57. The daily returns are destributed with a variance of 20.93 and standard deviation of 4.57. The mean deviation of United States Steel Corporation is currently at 3.25. For similar time horizon, the selected benchmark (DOW) has volatility of 0.83
α
Alpha over DOW
=0.0437
β
Beta against DOW=2.65
σ
Overall volatility
=4.57
Ir
Information ratio =0.0372

United States Return Volatility

the company accepts 4.5745% volatility on return distribution over the 30 days horizon. the entity inherits 0.735% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

United States Investment Opportunity

United States Steel Corporation has a volatility of 4.57 and is 6.18 times more volatile than DOW. 40  of all equities and portfolios are less risky than United States. Compared to the overall equity markets, volatility of historical daily returns of United States Steel Corporation is lower than 40 () of all global equities and portfolios over the last 30 days. Use United States Steel Corporation to protect your portfolios against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of United States to be traded at $12.88 in 30 days. . As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, United States will likely underperform.

United States correlation with market

correlation synergy
Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding United States Steel Corp. and equity matching DJI index in the same portfolio.

United States Current Risk Indicators

United States Suggested Diversification Pairs

See also Your Current Watchlist. Please also try Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.
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