Arvinas Stock Volatility
| ARVN Stock | USD 10.19 -0.07 -0.68% |
Sharpe Ratio = -0.1157
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Arvinas (ARVN) recorded a Market Risk Adjusted Performance of -0.3%, a Risk of 3.47, and a Risk Adjusted Performance of -0.1%. Monthly performance data suggests the stock is falling short of its full potential.
Key indicators related to Arvinas' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Arvinas (3 Months):
Beta 1.18 | Alpha -0.33 | Risk 3.47 | Sharpe Ratio -0.12 | Expected Return -0.40 |
Moving together with Arvinas Stock
| 0.76 | FNMFO | Federal National Mortgage | PairCorr |
| 0.76 | GE | GE Aerospace | PairCorr |
| 0.65 | JNJ | Johnson Johnson | PairCorr |
| 0.78 | MCD | McDonalds Sell-off Trend | PairCorr |
Moving Against Arvinas Stock
Sensitivity To Market
The beta coefficient of 1.18 for Arvinas measures how its returns respond to broader market changes. In regression terms, beta captures the slope between asset returns and index returns. Historical volatility is currently near 3.47%. This analysis separates observed movement from interpretation for Arvinas. Standard deviation (3.51%) and downside deviation (0.0%) describe the range without implying direction. For individual stocks, volatility often rises around earnings, guidance updates, and major company news.
3 Months Beta |Arvinas Demand TrendCurrent 90-day Arvinas correlation with market (Dow Jones Industrial)Downside Risk
Arvinas standard deviation over the selected horizon reflects the magnitude of daily price swings relative to the historical average. A rising standard deviation for Arvinas over successive periods signals increasing price uncertainty.
Standard Deviation | 3.47 |
Upside risk in Arvinas is captured by its standard deviation, which includes both favorable and unfavorable price movements. While standard deviation captures total price dispersion, semi-deviation and downside deviation measure only loss risk in Arvinas' returns. Arvinas (ARVN) recorded a Maximum Drawdown of 16.84.
Stock Volatility Analysis
Arvinas stock volatility is a key input for most investment risk models. When Arvinas' volatility is elevated, prices swing by several percentage points in a single session.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Arvinas'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, Arvinas has a beta of 1.1819. This suggests when the benchmark rises, ARVN tends to outperform it on average. However, when benchmark returns turn negative, Arvinas tends to underperform.The aggregate risk of Arvinas includes stock market sensitivity and asset-level influences. Diversification addresses specific risk but not systemic exposure. Arvinas (ARVN) recorded a Mean Deviation of 2.58 and a Standard Deviation of 3.51.
Predicted Return Distribution |
| Density |
What Drives Arvinas' Price Volatility?
Industry Dynamics
Competitive pressure, margin shifts, or structural changes in the Pharmaceuticals sector can alter Arvinas' day-to-day volatility profile.Political and Economic Environment
Broad market tone, policy uncertainty, and recession or expansion signals shape volatility conditions for Arvinas.Arvinas' Company-Specific Factors
Unexpected business updates, leadership changes, or legal outcomes can drive outsized moves in Arvinas' stock.Stock Risk Measures
Given a 90-day horizon, the coefficient of variation of Arvinas is -864.32. The daily returns are distributed with a variance of 12.07 and standard deviation of 3.47. The mean deviation of Arvinas is currently at 2.54. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | -0.3305 | |
β | Beta against Dow Jones | 1.18 | |
σ | Overall volatility | 3.47 | |
Ir | Information ratio | -0.0936 |
Stock Return Volatility
Volatility for Arvinas quantifies the day-to-day dispersion of stock returns around their historical average. The firm carries 3.4738% return volatility across the 90-day horizon. As a benchmark, Dow Jones Industrial reported 0.9238% 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
Headline performance for Arvinas Stock may not fully reflect how the business compares across its competitive set. Reviewing Arvinas' 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| VALN | 3.15 | -0.67 | 0.00 | 8.60 | 0.00 | 5.04 | 45.59 | |||
| AVBP | 2.57 | 0.55 | 0.20 | 0.38 | 2.41 | 6.40 | 18.15 | |||
| DAWN | 3.84 | 1.63 | 0.65 | 7.45 | 1.07 | 8.87 | 66.26 | |||
| ATXS | 5.13 | 0.60 | 0.00 | 2.95 | 0.00 | 10.87 | 8.41 | |||
| REPL | 7.34 | -0.10 | 0.00 | -0.95 | 0.00 | 19.86 | 78.92 | |||
| MGTX | 2.90 | 0.57 | 0.15 | 0.35 | 3.39 | 6.75 | 32.97 | |||
| IOVA | 4.26 | 1.04 | 0.23 | 0.58 | 4.01 | 13.24 | 46.70 | |||
| GERN | 3.63 | 0.21 | 0.04 | 0.12 | 4.32 | 7.78 | 21.96 | |||
| DNA | 4.96 | 0.54 | 0.07 | 0.16 | 7.40 | 12.80 | 51.88 | |||
| ERAS | 4.65 | 0.25 | 0.03 | 0.18 | 9.32 | 9.44 | 62.51 |
Risk Metrics, Assumptions & Methodology
Beta for Arvinas measures the share of volatility attributable to broad market movements versus company-specific factors. Systematic risk dominates during market stress, often overwhelming any diversification benefit from low average beta. Arvinas has a market cap of 695.5 million, ROE of -16.23%.
Arvinas 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: Ellen Johnson, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that Arvinas is more volatile than Dow Jones Industrial by approximately 3.77x 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 31% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Arvinas exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This move summary looks at how the current session may translate into a basic near-term setup. It works best as a directional cue rather than as a standalone forecast. 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 Arvinas probability analysis.
Good diversification
Arvinas currently posts a 0.16 correlation with Dow Jones, indicating a Good diversification relationship for the active sample. In portfolio terms, the overlap shows how much shared movement remains after combining both positions.
Additional Risk Indicators
Looking at additional risk metrics for Arvinas frames how the position may behave under different market and portfolio conditions. A thorough risk review clarifies whether current exposure warrants maintenance, reduction, or offset elsewhere in the portfolio.
| Risk Adjusted Performance | -0.08 | |||
| Market Risk Adjusted Performance | -0.26 | |||
| Mean Deviation | 2.58 | |||
| Coefficient Of Variation | -1,137 | |||
| Standard Deviation | 3.51 | |||
| Variance | 12.34 | |||
| Information Ratio | -0.09 |
Arvinas Suggested Diversification Pairs
Pair trading with Arvinas hedges company-specific exposure by balancing a long view with an offsetting position. A disciplined pair structure still requires monitoring because correlation weakens when market regimes change.
Risk reduction through pair trading is real but has limits - not every type of exposure can be offset by a second leg. Arvinas' exposure to overall market risk stays intact regardless of pairing. The value of a second leg lies in reducing Arvinas' idiosyncratic risk - the part that comes from company-level events rather than macro conditions.