DAIMLER Volatility

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DDAIF -- USA Stock  

Report: 22nd of July 2020  

DAIMLER AG appears to be not too volatile, given 3 months investment horizon. DAIMLER AG secures Sharpe Ratio (or Efficiency) of 0.11, which denotes the company had 0.11% of return per unit of return volatility over the last 3 months. Our standpoint towards predicting the volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By examining DAIMLER AG technical indicators you can at this time evaluate if the expected return of 0.55% is justified by implied risk. Please utilize DAIMLER AG downside deviation of 5.31, and mean deviation of 3.7 to check if our risk estimates are consistent with your expectations.

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

  DAIMLER AG Interest Expense

90 Days Market Risk

Not too volatile

Chance of Distress

Below Average

90 Days Economic Sensitivity

Almost neglects market trends

DAIMLER AG Market Sensitivity And Downside Risk

DAIMLER AG beta coefficient measures the volatility of DAIMLER 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 DAIMLER stock's returns against your selected market. In other words, DAIMLER AG's beta of -0.3197 provides an investor with an approximation of how much risk DAIMLER AG stock can potentially add to one of your existing portfolios. Let's try to break down what DAIMLER's beta means in this case. As returns on the market increase, returns on owning DAIMLER AG are expected to decrease at a much lower rate. During the bear market, DAIMLER AG is likely to outperform the market.
3 Months Beta |Analyze DAIMLER AG Demand Trend
Check current 30 days DAIMLER AG correlation with market (DOW)
β

Current DAIMLER AG Beta Coefficient

 = 

DAIMLER AG Central Daily Price Deviations

It is essential to understand the difference between upside risk (as represented by DAIMLER AG's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of DAIMLER AG stock's daily returns or price. Since the actual investment returns on holding a position in DAIMLER AG 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 DAIMLER AG.

DAIMLER AG Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. DAIMLER AG Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

DAIMLER AG Projected Return Density Against Market

Assuming the 30 trading days horizon, DAIMLER AG has a beta of -0.3197 suggesting as returns on benchmark increase, returns on holding DAIMLER AG are expected to decrease at a much lower rate. During the bear market, however, DAIMLER AG 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 DAIMLER AG or Driverless Cars 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 DAIMLER AG 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 DAIMLER 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 0.6051, implying that it can generate a 0.61 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

DAIMLER AG 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 DAIMLER AG or Driverless Cars 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 DAIMLER AG 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 DAIMLER 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. Assuming the 30 trading days horizon, the coefficient of variation of DAIMLER AG is 870.5. The daily returns are destributed with a variance of 23.07 and standard deviation of 4.8. The mean deviation of DAIMLER AG is currently at 3.64. For similar time horizon, the selected benchmark (DOW) has volatility of 1.81
α
Alpha over DOW
=0.61
β
Beta against DOW=-0.32
σ
Overall volatility
=4.80
Ir
Information ratio =0.08

DAIMLER AG Return Volatility

DAIMLER AG historical daily return volatility represents how much DAIMLER AG stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The firm shows 4.803% volatility of returns over 30 . By contrast, DOW inherits 1.7979% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About DAIMLER AG Volatility

Volatility is a rate at which the price of DAIMLER AG 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 DAIMLER AG may increase or decrease. In other words, similar to DAIMLER's beta indicator, it measures the risk of DAIMLER AG and helps estimate the fluctuations that may happen in a short period of time. So if prices of DAIMLER AG 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 Capitalization44.5 B44.2 B
Daimler AG, together its subsidiaries, develops and manufactures premium cars, trucks, vans, and buses in Germany and internationally. Daimler AG was founded in 1886 and is headquartered in Stuttgart, Germany. DAIMLER AG operates under Auto Manufacturers classification in the United States and is traded on BATS Exchange. It employs 298611 people.

DAIMLER AG Investment Opportunity

DAIMLER AG has a volatility of 4.8 and is 2.67 times more volatile than DOW. 41  of all equities and portfolios are less risky than DAIMLER AG. Compared to the overall equity markets, volatility of historical daily returns of DAIMLER AG is lower than 41 () of all global equities and portfolios over the last 30 days. Use DAIMLER AG to enhance returns of your portfolios. The otc stock experiences an expected bullish sentiment for its category. Check odds of DAIMLER AG to be traded at $49.57 in 30 days. . Let's try to break down what DAIMLER's beta means in this case. As returns on the market increase, returns on owning DAIMLER AG are expected to decrease at a much lower rate. During the bear market, DAIMLER AG is likely to outperform the market.

DAIMLER AG correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding DAIMLER AG and equity matching DJI index in the same portfolio.

DAIMLER AG Additional Risk Indicators

The analysis of various secondary risk indicators of DAIMLER AG is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in DAIMLER AG investment, and either accepting that risk or mitigating it. Along with some common measures of DAIMLER AG 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 Performance0.2147
Market Risk Adjusted Performance(1.71)
Mean Deviation3.7
Semi Deviation4.96
Downside Deviation5.31
Coefficient Of Variation869.52
Standard Deviation4.86

DAIMLER AG 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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Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page