B of A Risk Analysis And Volatility

BAC -- USA Stock  

0.18 Dividend

Macroaxis considers B of A very steady given 3 months investment horizon. Bank Of America secures Sharpe Ratio (or Efficiency) of 0.1864 which signifies that the organization had 0.1864% of return per unit of risk over the last 3 months. Our philosophy towards foreseeing 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 Bank Of America Corporation which you can use to evaluate future volatility of the firm. Please makes use of Bank Of America Downside Deviation of 1.06, Risk Adjusted Performance of 0.1377 and Mean Deviation of 0.875 to double-check if our risk estimates are consistent with your expectations.

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Below average

90 Days Economic Sensitivity

Responds to market
Horizon     30 Days    Login   to change

B of A Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, B of A will likely underperform.
3 Months Beta |Analyze Bank Of America Demand Trend
Check current 30 days B of A correlation with market (DOW)
β = 1.3062

B of A Central Daily Price Deviation

Bank Of America 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 Bank Of America 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 B of A closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

B of A Projected Return Density Against Market

Considering 30-days investment horizon, the stock has beta coefficient of 1.3062 . This suggests as the benchmark fluctuates upward, the company is expected to outperform it on average . However, if the benchmark returns are expected to be negative, B of A will likely underperform. Moreover, The company has an alpha of 0.1708 implying that it can potentially generate 0.1708% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of B of A is 536.57. The daily returns are destributed with a variance of 1.21 and standard deviation of 1.1. The mean deviation of Bank Of America Corporation is currently at 0.86. For similar time horizon, the selected benchmark (DOW) has volatility of 0.61
α
Alpha over DOW
=0.17
β
Beta against DOW=1.31
σ
Overall volatility
=1.10
Ir
Information ratio =0.17

B of A Return Volatility

the company has volatility of 1.0982% on return distribution over 30 days investment horizon. the entity inherits 0.6074% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

B of A Investment Opportunity

Bank Of America Corporation has a volatility of 1.1 and is 1.8 times more volatile than DOW. of all equities and portfolios are less risky than B of A. Compared to the overall equity markets, volatility of historical daily returns of Bank Of America Corporation is lower than 9 () of all global equities and portfolios over the last 30 days. Use Bank Of America Corporation to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of B of A to be traded at $37.1 in 30 days. . As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, B of A will likely underperform.

B of A correlation with market

correlation synergy
Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Bank Of America Corp. and equity matching DJI index in the same portfolio.

B of A Current Risk Indicators

B of A Suggested Diversification Pairs

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