Alico Inc Stock Volatility
| ALCO Stock | USD 40.89 -0.39 -0.94% |
Sharpe Ratio = 0.0072
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For Alico Inc, recent data highlights a Market Risk Adjusted Performance of 0.03%, a Risk of 1.45, and a Risk Adjusted Performance of 0.01%. Monthly performance data suggests the stock is falling short of its full potential.
Key indicators related to Alico's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Alico (3 Months):
Beta 0.32 | Alpha 0 | Risk 1.45 | Sharpe Ratio 0.01 | Expected Return 0.01 |
Moving together with Alico Stock
Moving Against Alico Stock
| 0.65 | TLKMF | Telkom Indonesia Tbk | PairCorr |
| 0.6 | BKRKF | PT Bank Rakyat | PairCorr |
| 0.51 | PPERF | Bank Mandiri Persero | PairCorr |
| 0.32 | MCD | McDonalds Earnings Call Today | PairCorr |
Sensitivity To Market
Alico Inc exhibits a beta of 0.32, representing its market-relative sensitivity. This coefficient separates systematic risk from company-specific volatility. Total return dispersion is approximately 1.45%. Alico Inc return patterns over the selected horizon reflect a low level of variability, based on dispersion and downside-focused statistics. Standard deviation is near 1.44%. For individual stocks, volatility often rises around earnings, guidance updates, and major company news.
3 Months Beta |Alico Inc Demand TrendCurrent 90-day Alico correlation with market (Dow Jones Industrial)Downside Risk
For Alico, the standard deviation figure expresses the observed spread of daily returns over the selected period. The magnitude of Alico standard deviation determines where it falls on the volatility spectrum relative to peers. Pairing standard deviation with beta separates Alico total risk from its market-driven component. Combining Alico standard deviation with skewness and kurtosis gives a more complete picture of return distribution shape.
Standard Deviation | 1.45 |
Distinguishing between standard deviation and downside deviation sharpens the risk picture for Alico. Standard deviation reflects total return dispersion for Alico, while downside deviation captures only the adverse portion of Alico's returns. Standard deviation and downside deviation for Alico measure different things - total dispersion vs. loss-only dispersion. Semi-deviation and downside deviation focus on the loss risk embedded in Alico's returns. For Alico Inc, recent data highlights a Downside Deviation of 1.67, a Downside Variance of 2.78, and a Maximum Drawdown of 5.95.
Stock Volatility Analysis
For Alico, understanding volatility is essential to assessing portfolio risk contribution. It indicates how dramatically Alico's price swings over a specific time horizon. For Alico, volatility is both a risk factor and a driver of return dispersion. Sharp price movements in Alico's are triggered by earnings surprises, macroeconomic data, or sector trends.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Alico Inc's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.
Projected Return Density Against Market
Given a 90-day horizon, Alico has a beta of 0.3179. This suggests as returns on the market go up, Alico's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding Alico Inc tends to be smaller as well.Holders of Alico face systematic risk from broad stock market trends and unsystematic risk from company or sector-specific developments. Diversification reduces specific exposure, but macro-driven volatility persists. Beta remains a common sensitivity metric. For Alico Inc, recent data highlights a Downside Deviation of 1.67, a Mean Deviation of 1.13, and a Semi Deviation of 1.60.
Predicted Return Distribution |
| Density |
What Drives Alico's Price Volatility?
Industry Dynamics
Alico's volatility can rise when competitive dynamics or demand conditions shift across the Food Products sector.Political and Economic Environment
Changes in fiscal policy, rates, and growth expectations affect market-wide risk premiums and spill into Alico's trading.Alico's Company-Specific Factors
Event risk around earnings, forecasts, and operating performance can create abrupt price dispersion in Alico.Stock Risk Measures
Given a 90-day horizon, the coefficient of variation of Alico is 13935.43. The daily returns are distributed with a variance of 2.11 and standard deviation of 1.45. The mean deviation of Alico Inc is currently at 1.14. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | 0.0026 | |
β | Beta against Dow Jones | 0.32 | |
σ | Overall volatility | 1.45 | |
Ir | Information ratio | -0.0029 |
Stock Return Volatility
Alico return volatility captures the typical daily swing in stock returns relative to the mean over the selected period. The firm has volatility of 1.4527% on return distribution over a 90-day investment horizon. Meanwhile, Dow Jones Industrial reported 0.9279% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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Risk-Adjusted Indicators
Alico Company can look attractive on recent price action while risk efficiency lags the peer group. Reviewing Alico's risk-adjusted indicators gives a clearer view of whether returns are being earned efficiently. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| LMNR | 1.21 | -0.16 | 0.00 | -0.30 | 0.00 | 2.57 | 6.45 | |||
| DDEJF | 2.57 | 0.09 | 0.03 | 0.08 | 3.28 | 5.33 | 20.16 | |||
| RSSFF | 22.89 | 6.72 | 0.12 | 0.96 | 17.56 | 38.10 | 575.00 | |||
| AFRI | 1.14 | 0.02 | 0.01 | 0.04 | 1.20 | 2.54 | 8.28 | |||
| SGLA | 2.49 | -0.58 | 0.00 | 0.29 | 0.00 | 6.12 | 36.07 | |||
| CTUNF | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| UVPOF | 3.24 | 1.63 | 0.00 | 2.73 | 0.00 | 0.00 | 103.85 | |||
| CHYI | 26.12 | 8.87 | 0.16 | 3.46 | 19.06 | 37.61 | 465.00 | |||
| MSRM | 13.99 | 2.20 | 0.11 | 2.25 | 14.33 | 37.61 | 97.72 | |||
| PRCF | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
Risk Metrics, Assumptions & Methodology
Standard deviation for Alico measures how widely returns scatter around their average over a given period. Higher dispersion implies a wider range of plausible outcomes for any given holding period. Alico has a market cap of 316.07 million, P/E of 9.12, ROE of -80.76%.
Alico Inc figures are aggregated from periodic company reporting and market reference feeds and normalized across reporting formats. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Gabriel Shpitalnik, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that Alico Inc is more volatile than Dow Jones Industrial by approximately 1.56x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 13% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Alico Inc exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This directional read frames the latest price swing through a simple momentum and follow-through lens. It gives extra weight to the size of the move, the quote level, and whether the instrument trades in a hype-prone venue. a moderate downward daily trend that may serve as a diversifier. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Alico probability analysis.
Moderate diversification
The correlation between Alico and Dow Jones is 0.36, which Macroaxis classifies as Moderate diversification for the selected horizon. A 0.36 reading means Alico and Dow Jones have partial price overlap, providing moderate risk reduction when paired.
Additional Risk Indicators
Secondary risk indicators for Alico Inc evaluate exposure beyond standard deviation, beta, or one headline volatility measure. This is most informative when assessing whether the current opportunity is being compensated with reasonable risk.
| Risk Adjusted Performance | 0.0138 | |||
| Market Risk Adjusted Performance | 0.028 | |||
| Mean Deviation | 1.13 | |||
| Semi Deviation | 1.6 | |||
| Downside Deviation | 1.67 | |||
| Coefficient Of Variation | 9174.14 | |||
| Standard Deviation | 1.44 |
Alico Suggested Diversification Pairs
A pair-trading setup around Alico shifts the return benchmark from the broad market to a second position, altering the risk profile. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
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While pairing positions reduces portfolio risk, some forms of risk persist no matter which instruments are combined. No matter how well a pair is constructed around Alico, market-wide risk remains. What pair trading can address is Alico's unsystematic risk - the portion driven by company or sector-specific factors rather than broad market forces.