GATX Corp Stock Volatility

GATX -  USA Stock  

USD 96.52  1.00  1.05%

We consider GATX Corp very steady. GATX Corp holds Efficiency (Sharpe) Ratio of 0.0108, which attests that the company had 0.0108% of return per unit of volatility over the last 3 months. Our viewpoint regarding determining the 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-eight technical indicators for GATX Corp, which you can use to evaluate the future volatility of the entity. Please check out GATX Corp market risk adjusted performance of (0.1), and Semi Deviation of 1.88 to validate if the risk estimate we provide is consistent with the expected return of 0.0175%.

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GATX Corp Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of GATX Corp daily returns, and it is calculated using variance and standard deviation. We also use GATX Corp's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of GATX Corp volatility.

90 Days Market Risk

Very steady

Chance of Distress

Below Average

90 Days Economic Sensitivity

Barely shadows the market

GATX Corp Market Sensitivity And Downside Risk

GATX Corp's beta coefficient measures the volatility of GATX Corp stock compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents GATX Corp stock's returns against your selected market. In other words, GATX Corp's beta of 0.0274 provides an investor with an approximation of how much risk GATX Corp stock can potentially add to one of your existing portfolios.
Let's try to break down what GATX Corp's beta means in this case. As returns on the market increase, GATX Corp returns are expected to increase less than the market. However, during the bear market, the loss on holding GATX Corp will be expected to be smaller as well.
3 Months Beta |Analyze GATX Corp Demand Trend
Check current 90 days GATX Corp correlation with market (DOW)

GATX Corp Beta

    
  0.0274  
GATX Corp standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  1.62  
It is essential to understand the difference between upside risk (as represented by GATX Corp's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of GATX Corp stock's daily returns or price. Since the actual investment returns on holding a position in GATX Corp stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in GATX Corp.

GATX Corp Stock Volatility 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 GATX Corp 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 GATX Corp closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

GATX Corp Projected Return Density Against Market

Given the investment horizon of 90 days GATX Corp has a beta of 0.0274 . This usually indicates as returns on the market go up, GATX Corp average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding GATX Corp will be expected to be much smaller as well.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to GATX Corp or Industrials sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that GATX Corp stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a GATX Corp stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has a negative alpha, implying that the risk taken by holding this equity is not justified. GATX Corp is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

GATX Corp Stock Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to GATX Corp or Industrials sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that GATX Corp stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a GATX Corp stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Given the investment horizon of 90 days the coefficient of variation of GATX Corp is 9261.97. The daily returns are distributed with a variance of 2.61 and standard deviation of 1.62. The mean deviation of GATX Corp is currently at 1.21. For similar time horizon, the selected benchmark (DOW) has volatility of 0.64
α
Alpha over DOW
-0.0045
β
Beta against DOW0.0274
σ
Overall volatility
1.62
Ir
Information ratio -0.04

GATX Corp Stock Return Volatility

GATX Corp historical daily return volatility represents how much GATX Corp stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The company inherits 1.617% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.6328% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About GATX Corp Volatility

Volatility is a rate at which the price of GATX Corp or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of GATX Corp may increase or decrease. In other words, similar to GATX Corp's beta indicator, it measures the risk of GATX Corp and helps estimate the fluctuations that may happen in a short period of time. So if prices of GATX Corp fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
Last ReportedProjected for 2021
Market Capitalization2.9 B2.9 B
GATX Corporation strives to be recognized as the finest railcar leasing company in the world by our customers, our shareholders, our employees and the communities where we operate. As the leading global railcar lessor, GATX has been providing quality railcars and services to its customers for more than 122 years. GATX has been headquartered in Chicago, Illinois since its founding in 1898.

GATX Corp Investment Opportunity

GATX Corp has a volatility of 1.62 and is 2.57 times more volatile than DOW. 13  of all equities and portfolios are less risky than GATX Corp. Compared to the overall equity markets, volatility of historical daily returns of GATX Corp is lower than 13 () of all global equities and portfolios over the last 90 days. Use GATX Corp to enhance returns of your portfolios. The stock experiences a large bullish trend. Check odds of GATX Corp to be traded at $106.17 in 90 days. . Let's try to break down what GATX Corp's beta means in this case. As returns on the market increase, GATX Corp returns are expected to increase less than the market. However, during the bear market, the loss on holding GATX Corp will be expected to be smaller as well.

Significant diversification

The correlation between GATX Corp and DJI is Significant diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding GATX Corp and DJI in the same portfolio assuming nothing else is changed.

GATX Corp Additional Risk Indicators

The analysis of GATX Corp's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in GATX Corp's investment and either accepting that risk or mitigating it. Along with some common measures of GATX Corp stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Risk Adjusted Performance0.0089
Market Risk Adjusted Performance(0.1)
Mean Deviation1.25
Semi Deviation1.88
Downside Deviation1.91
Coefficient Of Variation23008.68
Standard Deviation1.64
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

GATX Corp Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against GATX Corp as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. GATX Corp's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, GATX Corp's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to GATX Corp.
Please check Risk vs Return Analysis. Note that the GATX Corp information on this page should be used as a complementary analysis to other GATX Corp's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.

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When running GATX Corp stock analysis, check to measure GATX Corp's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy GATX Corp is operating at the current time. Most of GATX Corp's stock examination focuses on studying past and present price action to predict the probability of GATX Corp's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move GATX Corp's price. Additionally, you may evaluate how the addition of GATX Corp to your portfolios can decrease your overall portfolio volatility.
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The market value of GATX Corp is measured differently than its book value, which is the value of GATX Corp that is recorded on the company's balance sheet. Investors also form their own opinion of GATX Corp stock's value that differs from its market value or its book value, called intrinsic value, which is GATX Corp's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because GATX Corp's market value can be influenced by many factors that don't directly affect GATX Corp underlying business (such as pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between GATX Corp's stock value and its price as these two are different measures arrived at by different means. Investors typically determine GATX Corp value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, GATX Corp's stock price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.