IOI Bhd (Malaysia) Volatility
| 1961 Stock | 3.80 0.04 1.04% |
IOI Bhd holds Efficiency (Sharpe) Ratio of -0.0498, which attests that the entity had a -0.0498% return per unit of risk over the last 3 months. IOI Bhd exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out IOI Bhd's Market Risk Adjusted Performance of (0.25), risk adjusted performance of 0.0209, and Semi Deviation of 0.9617 to validate the risk estimate we provide. Key indicators related to IOI Bhd's volatility include:
540 Days Market Risk | Chance Of Distress | 540 Days Economic Sensitivity |
IOI Bhd 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 IOI daily returns, and it is calculated using variance and standard deviation. We also use IOI's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of IOI Bhd volatility.
IOI |
Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of IOI Bhd at lower prices. For example, an investor can purchase IOI stock that has halved in price over a short period. This will lower their average cost per share, thereby improving the overall portfolio performance when market normalizes.
Moving against IOI Stock
| 0.74 | 3026 | Dutch Lady Milk | PairCorr |
| 0.59 | 3689 | Fraser Neave Holdings | PairCorr |
| 0.47 | 7216 | Kawan Food Bhd | PairCorr |
| 0.41 | 4707 | Nestle Bhd | PairCorr |
| 0.34 | 7107 | Oriental Food Industries | PairCorr |
IOI Bhd Market Sensitivity And Downside Risk
IOI Bhd's beta coefficient measures the volatility of IOI stock compared to the systematic risk of the entire 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 IOI stock's returns against your selected market. In other words, IOI Bhd's beta of -0.0637 provides an investor with an approximation of how much risk IOI Bhd stock can potentially add to one of your existing portfolios. IOI Bhd has relatively low volatility with skewness of 0.33 and kurtosis of 1.36. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure IOI Bhd's stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact IOI Bhd's stock price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze IOI Bhd Demand TrendCheck current 90 days IOI Bhd correlation with market (Dow Jones Industrial)IOI Beta |
IOI standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity 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 | 1.11 |
It is essential to understand the difference between upside risk (as represented by IOI Bhd's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of IOI Bhd's daily returns or price. Since the actual investment returns on holding a position in ioi 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 IOI Bhd.
IOI Bhd Stock Volatility Analysis
Volatility refers to the frequency at which IOI Bhd stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with IOI Bhd's price changes. Investors will then calculate the volatility of IOI Bhd'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 IOI Bhd's volatility:
Historical Volatility
This type of stock volatility measures IOI Bhd's fluctuations based on previous trends. It's commonly used to predict IOI Bhd'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 IOI Bhd's current market price. This means that the stock will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on IOI Bhd's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. IOI Bhd 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.
IOI Bhd Projected Return Density Against Market
Assuming the 90 days trading horizon IOI Bhd has a beta of -0.0637 . This suggests as returns on the benchmark increase, returns on holding IOI Bhd are expected to decrease at a much lower rate. During a bear market, however, IOI Bhd is likely to outperform the market.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 IOI Bhd or Food & Tobacco 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 IOI Bhd'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 IOI 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.
IOI Bhd has an alpha of 0.0239, implying that it can generate a 0.0239 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives an IOI Bhd Price Volatility?
Several factors can influence a stock's market 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.IOI Bhd Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of IOI Bhd is -2008.22. The daily returns are distributed with a variance of 1.24 and standard deviation of 1.11. The mean deviation of IOI Bhd is currently at 0.79. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.77
α | Alpha over Dow Jones | 0.02 | |
β | Beta against Dow Jones | -0.06 | |
σ | Overall volatility | 1.11 | |
Ir | Information ratio | -0.08 |
IOI Bhd Stock Return Volatility
IOI Bhd historical daily return volatility represents how much of IOI Bhd stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company accepts 1.1117% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7444% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About IOI Bhd Volatility
Volatility is a rate at which the price of IOI Bhd 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 IOI Bhd may increase or decrease. In other words, similar to IOI's beta indicator, it measures the risk of IOI Bhd and helps estimate the fluctuations that may happen in a short period of time. So if prices of IOI Bhd 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.3 ways to utilize IOI Bhd's volatility to invest better
Higher IOI Bhd's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of IOI Bhd stock is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. IOI Bhd stock volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of IOI Bhd investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in IOI Bhd's stock can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of IOI Bhd's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
IOI Bhd Investment Opportunity
IOI Bhd has a volatility of 1.11 and is 1.5 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of IOI Bhd is lower than 9 percent of all global equities and portfolios over the last 90 days. You can use IOI Bhd 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 IOI Bhd to be traded at 3.69 in 90 days.Good diversification
The correlation between IOI Bhd and DJI is -0.04 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding IOI Bhd and DJI in the same portfolio, assuming nothing else is changed.
IOI Bhd Additional Risk Indicators
The analysis of IOI Bhd'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 IOI Bhd's investment and either accepting that risk or mitigating it. Along with some common measures of IOI Bhd stock's 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 Performance | 0.0209 | |||
| Market Risk Adjusted Performance | (0.25) | |||
| Mean Deviation | 0.8259 | |||
| Semi Deviation | 0.9617 | |||
| Downside Deviation | 1.17 | |||
| Coefficient Of Variation | 4397.27 | |||
| Standard Deviation | 1.17 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stocks, we recommend comparing similar stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
IOI Bhd 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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| Citigroup vs. IOI Bhd | ||
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 IOI Bhd 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. IOI Bhd'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, IOI Bhd'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 IOI Bhd.
Other Information on Investing in IOI Stock
IOI Bhd financial ratios help investors to determine whether IOI Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in IOI with respect to the benefits of owning IOI Bhd security.