Carlsberg Brewery (Malaysia) Volatility
| 2836 Stock | 20.22 0.20 1.00% |
As of now, Carlsberg Stock is very steady. Carlsberg Brewery secures Sharpe Ratio (or Efficiency) of 0.12, which signifies that the company had a 0.12 % return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Carlsberg Brewery Malaysia, which you can use to evaluate the volatility of the firm. Please confirm Carlsberg Brewery's Mean Deviation of 0.5444, risk adjusted performance of 0.0596, and Downside Deviation of 0.677 to double-check if the risk estimate we provide is consistent with the expected return of 0.0848%. Key indicators related to Carlsberg Brewery's volatility include:
60 Days Market Risk | Chance Of Distress | 60 Days Economic Sensitivity |
Carlsberg Brewery 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 Carlsberg daily returns, and it is calculated using variance and standard deviation. We also use Carlsberg's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Carlsberg Brewery volatility.
Carlsberg |
Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Carlsberg Brewery at lower prices. For example, an investor can purchase Carlsberg 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 together with Carlsberg Stock
Moving against Carlsberg Stock
Carlsberg Brewery Market Sensitivity And Downside Risk
Carlsberg Brewery's beta coefficient measures the volatility of Carlsberg 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 Carlsberg stock's returns against your selected market. In other words, Carlsberg Brewery's beta of -0.0196 provides an investor with an approximation of how much risk Carlsberg Brewery stock can potentially add to one of your existing portfolios. Carlsberg Brewery Malaysia exhibits relatively low volatility with skewness of 0.48 and kurtosis of 1.09. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Carlsberg Brewery'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 Carlsberg Brewery'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 Carlsberg Brewery Demand TrendCheck current 90 days Carlsberg Brewery correlation with market (Dow Jones Industrial)Carlsberg Beta |
Carlsberg 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 | 0.71 |
It is essential to understand the difference between upside risk (as represented by Carlsberg Brewery's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Carlsberg Brewery's daily returns or price. Since the actual investment returns on holding a position in carlsberg 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 Carlsberg Brewery.
Carlsberg Brewery Stock Volatility Analysis
Volatility refers to the frequency at which Carlsberg Brewery stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Carlsberg Brewery's price changes. Investors will then calculate the volatility of Carlsberg Brewery'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 Carlsberg Brewery's volatility:
Historical Volatility
This type of stock volatility measures Carlsberg Brewery's fluctuations based on previous trends. It's commonly used to predict Carlsberg Brewery'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 Carlsberg Brewery'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 Carlsberg Brewery'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. Carlsberg Brewery 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.
Carlsberg Brewery Projected Return Density Against Market
Assuming the 90 days trading horizon Carlsberg Brewery Malaysia has a beta of -0.0196 . This suggests as returns on the benchmark increase, returns on holding Carlsberg Brewery are expected to decrease at a much lower rate. During a bear market, however, Carlsberg Brewery Malaysia 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 Carlsberg Brewery or Consumer Staples 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 Carlsberg Brewery'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 Carlsberg 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.
Carlsberg Brewery Malaysia has an alpha of 0.0419, implying that it can generate a 0.0419 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Carlsberg Brewery 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.Carlsberg Brewery Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Carlsberg Brewery is 836.29. The daily returns are distributed with a variance of 0.5 and standard deviation of 0.71. The mean deviation of Carlsberg Brewery Malaysia is currently at 0.55. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.85
α | Alpha over Dow Jones | 0.04 | |
β | Beta against Dow Jones | -0.02 | |
σ | Overall volatility | 0.71 | |
Ir | Information ratio | 0 |
Carlsberg Brewery Stock Return Volatility
Carlsberg Brewery historical daily return volatility represents how much of Carlsberg Brewery stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company accepts 0.7091% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.8662% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Carlsberg Brewery Volatility
Volatility is a rate at which the price of Carlsberg Brewery 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 Carlsberg Brewery may increase or decrease. In other words, similar to Carlsberg's beta indicator, it measures the risk of Carlsberg Brewery and helps estimate the fluctuations that may happen in a short period of time. So if prices of Carlsberg Brewery 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 Carlsberg Brewery's volatility to invest better
Higher Carlsberg Brewery's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Carlsberg Brewery 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. Carlsberg Brewery 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 Carlsberg Brewery investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Carlsberg Brewery'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 Carlsberg Brewery's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Carlsberg Brewery Investment Opportunity
Dow Jones Industrial has a standard deviation of returns of 0.87 and is 1.23 times more volatile than Carlsberg Brewery Malaysia. Compared to the overall equity markets, volatility of historical daily returns of Carlsberg Brewery Malaysia is lower than 6 percent of all global equities and portfolios over the last 90 days. You can use Carlsberg Brewery Malaysia to enhance the returns of your portfolios. The stock experiences a moderate upward volatility. Check odds of Carlsberg Brewery to be traded at 22.24 in 90 days.Good diversification
The correlation between Carlsberg Brewery Malaysia and DJI is -0.02 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Carlsberg Brewery Malaysia and DJI in the same portfolio, assuming nothing else is changed.
Carlsberg Brewery Additional Risk Indicators
The analysis of Carlsberg Brewery'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 Carlsberg Brewery's investment and either accepting that risk or mitigating it. Along with some common measures of Carlsberg Brewery 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 | 0.0596 | |||
| Market Risk Adjusted Performance | (2.09) | |||
| Mean Deviation | 0.5444 | |||
| Semi Deviation | 0.5604 | |||
| Downside Deviation | 0.677 | |||
| Coefficient Of Variation | 1380.23 | |||
| Standard Deviation | 0.7066 |
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.
Carlsberg Brewery 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.
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 Carlsberg Brewery 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. Carlsberg Brewery'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, Carlsberg Brewery'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 Carlsberg Brewery Malaysia.
Other Information on Investing in Carlsberg Stock
Carlsberg Brewery financial ratios help investors to determine whether Carlsberg 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 Carlsberg with respect to the benefits of owning Carlsberg Brewery security.