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Sally Beauty Risk Analysis And Volatility

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SBH -- USA Stock  

Fiscal Quarter End: March 31, 2020  

Macroaxis considers Sally Beauty to be slightly risky. Sally Beauty Holdings owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.187 which indicates the firm had -0.187% of return per unit of risk over the last 3 months. Macroaxis philosophy towards measuring risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Sally Beauty Holdings Inc Na exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Sally Beauty Coefficient Of Variation of (513.72) and Risk Adjusted Performance of (0.15) to confirm risk estimate we provide.
Equity
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Interest Expense

90 Days Market Risk

Slightly risky

Chance of Distress

Close to Average

90 Days Economic Sensitivity

Moves slightly opposite to market

Sally Beauty Market Sensitivity

As returns on market increase, returns on owning Sally Beauty are expected to decrease at a much smaller rate. During bear market, Sally Beauty is likely to outperform the market.
3 Months Beta |Analyze Sally Beauty Holdings Demand Trend
Check current 30 days Sally Beauty correlation with market (DOW)
β = -0.7466

Sally Beauty Central Daily Price Deviation

Sally Beauty Holdings Technical Analysis

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

Sally Beauty Projected Return Density Against Market

Considering 30-days investment horizon, Sally Beauty Holdings Inc Na has beta of -0.7466 . This entails as returns on benchmark increase, returns on holding Sally Beauty are expected to decrease at a much smaller rate. During bear market, however, Sally Beauty Holdings Inc Na is likely to outperform the market. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Sally Beauty Holdings is significantly underperforming DOW.
 Predicted Return Density 
    
  Returns 
Considering 30-days investment horizon, the coefficient of variation of Sally Beauty is -534.82. The daily returns are destributed with a variance of 6.85 and standard deviation of 2.62. The mean deviation of Sally Beauty Holdings Inc Na is currently at 1.65. For similar time horizon, the selected benchmark (DOW) has volatility of 0.79
α
Alpha over DOW
=0.48
β
Beta against DOW=0.75
σ
Overall volatility
=2.62
Ir
Information ratio =0.22

Sally Beauty Return Volatility

the entity has volatility of 2.6167% on return distribution over 30 days investment horizon. the entity inherits 0.8011% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
    
  Timeline 

Sally Beauty Investment Opportunity

Sally Beauty Holdings Inc Na has a volatility of 2.62 and is 3.28 times more volatile than DOW. 23  of all equities and portfolios are less risky than Sally Beauty. Compared to the overall equity markets, volatility of historical daily returns of Sally Beauty Holdings Inc Na is lower than 23 () of all global equities and portfolios over the last 30 days. Use Sally Beauty Holdings Inc Na to protect your portfolios against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Sally Beauty to be traded at $12.6 in 30 days. . As returns on market increase, returns on owning Sally Beauty are expected to decrease at a much smaller rate. During bear market, Sally Beauty is likely to outperform the market.

Sally Beauty correlation with market

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

Sally Beauty Current Risk Indicators

Sally Beauty Suggested Diversification Pairs

Additionally take a look at World Market Map. Please also try Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.
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