GM Volatility

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GM -- USA Stock  

Report: 29th of July 2020  

We consider GM not too volatile. General Motors holds Efficiency (Sharpe) Ratio of 0.0259, which attests that the entity had 0.0259% of return per unit of risk over the last 3 months. Our standpoint towards 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 General Motors, which you can use to evaluate future volatility of the firm. Please check out GM market risk adjusted performance of 0.3474, downside deviation of 3.5, and risk adjusted performance of 0.2653 to validate if the risk estimate we provide is consistent with the expected return of 0.0971%.

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

  GM Interest Expense

90 Days Market Risk

Not too volatile

Chance of Distress

Average

90 Days Economic Sensitivity

Actively responds to the market

GM Market Sensitivity And Downside Risk

General Motors beta coefficient measures the volatility of GM 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 GM stock's returns against your selected market. In other words, GM's beta of 1.66 provides an investor with an approximation of how much risk GM stock can potentially add to one of your existing portfolios. Let's try to break down what GM's beta means in this case. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, GM will likely underperform.
3 Months Beta |Analyze General Motors Demand Trend
Check current 30 days GM correlation with market (DOW)
β

Current GM Beta Coefficient

 = 

GM Central Daily Price Deviations

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

General Motors Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. General Motors 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.

GM Projected Return Density Against Market

Allowing for the 30-days total investment horizon, the stock has the beta coefficient of 1.6627 . This usually indicates as the benchmark fluctuates upward, the company is expected to outperform it on average . However, if the benchmark returns are expected to be negative, GM will likely underperform. 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 GM 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 GM 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 GM 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 0.2965, implying that it can generate a 0.3 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

GM 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 GM 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 GM 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 GM 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. Allowing for the 30-days total investment horizon, the coefficient of variation of GM is 3855.29. The daily returns are destributed with a variance of 14.01 and standard deviation of 3.74. The mean deviation of General Motors is currently at 2.87. For similar time horizon, the selected benchmark (DOW) has volatility of 1.83
α
Alpha over DOW
=0.30
β
Beta against DOW=1.66
σ
Overall volatility
=3.74
Ir
Information ratio =0.1

GM Return Volatility

GM historical daily return volatility represents how much GM stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The company accepts 3.7432% volatility on return distribution over the 30 days horizon. By contrast, DOW inherits 1.8343% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About GM Volatility

Volatility is a rate at which the price of GM 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 GM may increase or decrease. In other words, similar to GM's beta indicator, it measures the risk of GM and helps estimate the fluctuations that may happen in a short period of time. So if prices of GM 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 Capitalization52.3 B57 B
General Motors Company designs, builds, and sells cars, trucks, crossovers, and automobile parts worldwide. The company operates through GM North America, GM International, Cruise, and GM Financial segments. It markets its vehicles primarily under the Buick, Cadillac, Chevrolet, GMC, Holden, Baojun, and Wuling brand names. The company also sells trucks, crossovers, and cars to dealers for consumer retail sales, as well as to fleet customers, including daily rental car companies, commercial fleet customers, leasing companies, and governments. In addition, it offers safety and security services for retail and fleet customers, including automatic crash response, emergency services, crisis assist, stolen vehicle assistance, roadside assistance, and turn-by-turn navigation, as well as connected services comprising mobile applications for owners to remotely control their vehicles and electric vehicle owners to locate charging stations, on-demand vehicle diagnostics, smart driver, marketplace in-vehicle commerce, connected navigation, SiriusXM with 360L, and 4G LTE wireless connectivity. Further, the company provides automotive financing services and operates an online new vehicle store. General Motors Company was founded in 1908 and is headquartered in Detroit, Michigan.

GM Investment Opportunity

General Motors has a volatility of 3.74 and is 2.04 times more volatile than DOW. 32  of all equities and portfolios are less risky than GM. Compared to the overall equity markets, volatility of historical daily returns of General Motors is lower than 32 () of all global equities and portfolios over the last 30 days. Use General Motors to protect your portfolios against small markets fluctuations. The stock experiences a very speculative upward sentiment. Check odds of GM to be traded at $22.25 in 30 days. . Let's try to break down what GM's beta means in this case. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, GM will likely underperform.

GM correlation with market

correlation synergy
Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding General Motors Company and equity matching DJI index in the same portfolio.

GM Additional Risk Indicators

The analysis of various secondary risk indicators of GM is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in GM investment, and either accepting that risk or mitigating it. Along with some common measures of GM 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 Performance0.2653
Market Risk Adjusted Performance0.3474
Mean Deviation3.16
Semi Deviation3.1
Downside Deviation3.5
Coefficient Of Variation705.88
Standard Deviation4.03

GM 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