Realty Stock Volatility

O
 Stock
  

USD 68.26  1.10  1.59%   

Realty Income Corp maintains Sharpe Ratio (i.e., Efficiency) of -0.0243, which implies the firm had -0.0243% of return per unit of risk over the last 3 months. Macroaxis standpoint towards forecasting the risk of any stock is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. Realty Income Corp exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Realty Income Corp Semi Deviation of 1.62, coefficient of variation of 8720.57, and Risk Adjusted Performance of 0.0173 to confirm the risk estimate we provide.
  
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Realty Income 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 Realty daily returns, and it is calculated using variance and standard deviation. We also use Realty's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Realty Income volatility.

720 Days Market Risk

Very steady

Chance of Distress

Below Average

720 Days Economic Sensitivity

Follows the market closely

ESG Sustainability

While most ESG disclosures are voluntary, Realty Income's sustainability indicators can be used to identify a proper investment strutegies using environmental, social, and governance scores that are crucial to Realty Income's managers and investors.
Environment Score
Governance Score
Social Score
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Realty Income can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Realty Income at lower prices. For example, an investor can purchase Realty stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Realty Income's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

Moving together with Realty Income

0.63VNOVornado Realty TrustPairCorr
0.63AATAmerican Assets TrustPairCorr
0.64ACREAres Commercial RealPairCorr

Realty Income Market Sensitivity And Downside Risk

Realty Income's beta coefficient measures the volatility of Realty 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 Realty stock's returns against your selected market. In other words, Realty Income's beta of 0.7 provides an investor with an approximation of how much risk Realty Income stock can potentially add to one of your existing portfolios.
Let's try to break down what Realty's beta means in this case. As returns on the market increase, Realty Income returns are expected to increase less than the market. However, during the bear market, the loss on holding Realty Income will be expected to be smaller as well.
3 Months Beta |Analyze Realty Income Corp Demand Trend
Check current 90 days Realty Income correlation with market (DOW)

Realty Beta

    
  0.7  
Realty standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  1.56  
It is essential to understand the difference between upside risk (as represented by Realty Income's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Realty Income stock's daily returns or price. Since the actual investment returns on holding a position in Realty Income 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 Realty Income.

Realty Income Implied Volatility

    
  28.8  
Realty Income's implied volatility exposes the market's sentiment of Realty Income Corp stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Realty Income's implied volatility is high, the market thinks the stock has potential for high price swings in either direction. On the other hand, the low implied volatility suggests that Realty Income stock will not fluctuate a lot when Realty Income's options are near their expiration.

Realty Income Corp Stock Volatility Analysis

Volatility refers to the frequency at which Realty Income stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Realty Income's price changes. Investors will then calculate the volatility of Realty Income's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Realty Income's volatility:

Historical Volatility

This type of stock volatility measures Realty Income's fluctuations based on previous trends. It's commonly used to predict Realty Income's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for Realty Income's current market price. This means that the stock will return to its initially predicted market price.
Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Realty Income Corp 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.
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Realty Income Projected Return Density Against Market

Taking into account the 90-day investment horizon Realty Income has a beta of 0.7009 . This indicates as returns on the market go up, Realty Income average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Realty Income Corp will be expected to be much smaller as well.
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 Realty Income or Real Estate 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 Realty Income 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 Realty 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 0.1433, implying that it can generate a 0.14 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Realty Income's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Realty Income stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Company's Stock Price Volatility?

Several factors can influence a company's stock volatility:

Industry

Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.

Political and Economic environment

When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.

The Company's Performance

Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.

Realty Income Stock 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 Realty Income or Real Estate 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 Realty Income 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 Realty 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.
Taking into account the 90-day investment horizon the coefficient of variation of Realty Income is -4122.82. The daily returns are distributed with a variance of 2.43 and standard deviation of 1.56. The mean deviation of Realty Income Corp is currently at 1.26. For similar time horizon, the selected benchmark (DOW) has volatility of 1.42
α
Alpha over DOW
0.14
β
Beta against DOW0.70
σ
Overall volatility
1.56
Ir
Information ratio 0.13

Realty Income Stock Return Volatility

Realty Income historical daily return volatility represents how much Realty Income 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 1.5579% volatility on return distribution over the 90 days horizon. By contrast, DOW inherits 1.4438% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Realty Income Volatility

Volatility is a rate at which the price of Realty Income 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 Realty Income may increase or decrease. In other words, similar to Realty's beta indicator, it measures the risk of Realty Income and helps estimate the fluctuations that may happen in a short period of time. So if prices of Realty Income 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 2022
Market Capitalization27.6 B29.8 B
Realty Income, The Monthly Dividend Company, is an SP 500 company dedicated to providing stockholders with dependable monthly income. Additional information about the company can be obtained from the corporate website at www.realtyincome.com. Realty Income operates under REITRetail classification in the United States and is traded on New York Stock Exchange. It employs 367 people.

Realty Income Investment Opportunity

Realty Income Corp has a volatility of 1.56 and is 1.08 times more volatile than DOW. 13  of all equities and portfolios are less risky than Realty Income. Compared to the overall equity markets, volatility of historical daily returns of Realty Income Corp is lower than 13 () of all global equities and portfolios over the last 90 days. Use Realty Income Corp to protect your portfolios against small market fluctuations. The stock experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Realty Income to be traded at $66.21 in 90 days. . Let's try to break down what Realty's beta means in this case. As returns on the market increase, Realty Income returns are expected to increase less than the market. However, during the bear market, the loss on holding Realty Income will be expected to be smaller as well.

Poor diversification

The correlation between Realty Income Corp and DJI is Poor diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Realty Income Corp and DJI in the same portfolio, assuming nothing else is changed.

Realty Income Additional Risk Indicators

The analysis of Realty Income's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Realty Income's investment and either accepting that risk or mitigating it. Along with some common measures of Realty Income 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 the risk of your existing portfolios.
Risk Adjusted Performance0.0173
Market Risk Adjusted Performance0.0216
Mean Deviation1.28
Semi Deviation1.62
Downside Deviation1.65
Coefficient Of Variation8720.57
Standard Deviation1.58
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 similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Realty Income 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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The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Realty Income as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Realty Income's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Realty Income's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Realty Income Corp.
Please check Your Equity Center. Note that the Realty Income Corp information on this page should be used as a complementary analysis to other Realty Income's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.

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When running Realty Income Corp price analysis, check to measure Realty Income's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Realty Income is operating at the current time. Most of Realty Income's value examination focuses on studying past and present price action to predict the probability of Realty Income's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Realty Income's price. Additionally, you may evaluate how the addition of Realty Income to your portfolios can decrease your overall portfolio volatility.
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Is Realty Income's industry expected to grow? Or is there an opportunity to expand the business' product line in the future? Factors like these will boost the valuation of Realty Income. If investors know Realty will grow in the future, the company's valuation will be higher. The financial industry is built on trying to define current growth potential and future valuation accurately. All the valuation information about Realty Income listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.
Quarterly Earnings Growth YOY
0.3
Market Capitalization
41.7 B
Quarterly Revenue Growth YOY
0.83
Return On Assets
0.0203
Return On Equity
0.025
The market value of Realty Income Corp is measured differently than its book value, which is the value of Realty that is recorded on the company's balance sheet. Investors also form their own opinion of Realty Income's value that differs from its market value or its book value, called intrinsic value, which is Realty Income's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Realty Income's market value can be influenced by many factors that don't directly affect Realty Income's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Realty Income's value and its price as these two are different measures arrived at by different means. Investors typically determine Realty Income value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Realty Income's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.