Moodys Volatility

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MCO -- USA Stock  

Fiscal Quarter End: 30th of June 2020  

Macroaxis considers Moodys very steady given 3 months investment horizon. Moodys has Sharpe Ratio of 0.1101, which conveys that the firm had 0.1101% of return per unit of risk over the last 3 months. Our philosophy towards estimating the volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By analyzing Moodys technical indicators you can presently evaluate if the expected return of 0.5772% is justified by implied risk. Please exercise Moodys Risk Adjusted Performance of 0.1457, Downside Deviation of 5.94 and Mean Deviation of 3.9 to check out if our risk estimates are consistent with your expectations.

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Moodys 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 Moodys daily returns, and it is calculated using variance and standard deviation. We also use Moodys's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Moodys volatility.

  Interest Expense

90 Days Market Risk

Very steady

Chance of Distress

90 Days Economic Sensitivity

Almost neglects market trends

Moodys Market Sensitivity

As returns on market increase, returns on owning Moodys are expected to decrease at a much smaller rate. During bear market, Moodys is likely to outperform the market.
3 Months Beta |Analyze Moodys Demand Trend
Check current 30 days Moodys correlation with market (DOW)
β = -0.4856

Moodys Central Daily Price Deviation

Moodys Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. The Median Price line plots median indexes of Moodys price series. View also all equity analysis or get more info about median price price transform indicator.

Moodys Projected Return Density Against Market

Considering 30-days investment horizon, Moodys has beta of -0.4856 indicating as returns on benchmark increase, returns on holding Moodys are expected to decrease at a much smaller rate. During bear market, however, Moodys is likely to outperform the market. Moreover, 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 Moodys or Top FinTech 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 Moodys 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 Moodys 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 an alpha of 0.3219 implying that it can potentially generate 0.3219% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Moodys 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 Moodys or Top FinTech 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 Moodys 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 Moodys 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. Considering 30-days investment horizon, the coefficient of variation of Moodys is 907.97. The daily returns are destributed with a variance of 27.46 and standard deviation of 5.24. The mean deviation of Moodys is currently at 3.61. For similar time horizon, the selected benchmark (DOW) has volatility of 3.84
α
Alpha over DOW
=0.32
β
Beta against DOW=-0.49
σ
Overall volatility
=5.24
Ir
Information ratio =-0.01

Moodys Return Volatility

the corporation has volatility of 5.2405% on return distribution over 30 days investment horizon. the entity inherits 3.8362% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About Moodys Volatility

Volatility is a rate at which the price of Moodys 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 Moodys may increase or decrease. In other words, similar to Moodys's beta indicator, it measures the risk of Moodys and helps estimate the fluctuations that may happen in a short period of time. So if prices of Moodys 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 2020
Market Capitalization 44,823,008,000  44,510,000,000 
Moodys Corporation provides credit ratings and assessment services and credit, capital markets, and economic research, data, and analytical tools worldwide. Moodys Corporation was founded in 1900 and is headquartered in New York, New York. Moodys operates under Financial Data Stock Exchanges classification in USA and is traded on BATS Exchange. It employs 11363 people.

Moodys Investment Opportunity

Moodys has a volatility of 5.24 and is 1.36 times more volatile than DOW. 46  of all equities and portfolios are less risky than Moodys. Compared to the overall equity markets, volatility of historical daily returns of Moodys is lower than 46 () of all global equities and portfolios over the last 30 days. Use Moodys to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Moodys to be traded at $307.66 in 30 days. . As returns on market increase, returns on owning Moodys are expected to decrease at a much smaller rate. During bear market, Moodys is likely to outperform the market.

Moodys correlation with market

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

Moodys Additional Risk Indicators

The analysis of various secondary risk indicators of Moodys is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Moodys investment, and either accepting that risk or mitigating it. Along with some common measures of Moodys 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 your existing portfolio. 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 the like to determine which investment holds the most risk.
Risk Adjusted Performance0.1457
Market Risk Adjusted Performance(0.39)
Mean Deviation3.9
Semi Deviation5.61
Downside Deviation5.94
Coefficient Of Variation2687.62
Standard Deviation5.48

Moodys 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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