Al Tawfeek (Egypt) Volatility
| ATLC Stock | 4.35 0.03 0.68% |
Al Tawfeek appears to be slightly risky, given 3 months investment horizon. Al Tawfeek Leasing retains Efficiency (Sharpe Ratio) of 0.0943, which signifies that the company had a 0.0943% return per unit of price deviation over the last 3 months. We have found twenty-nine technical indicators for Al Tawfeek, which you can use to evaluate the volatility of the firm. Please makes use of Al Tawfeek's Standard Deviation of 2.3, coefficient of variation of 1174.93, and Market Risk Adjusted Performance of (5.76) to double-check if our risk estimates are consistent with your expectations.
ATLC |
Al Tawfeek 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 ATLC daily returns, and it is calculated using variance and standard deviation. We also use ATLC's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Al Tawfeek volatility.
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Al Tawfeek can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game as hey may decide to buy additional stocks of Al Tawfeek at lower prices to lower their average cost per share. Similarly, when the prices of Al Tawfeek's stock rise, investors can sell out and invest the proceeds in other equities with better opportunities.
Al Tawfeek Market Sensitivity And Downside Risk
Al Tawfeek's beta coefficient measures the volatility of ATLC 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 ATLC stock's returns against your selected market. In other words, Al Tawfeek's beta of -0.0321 provides an investor with an approximation of how much risk Al Tawfeek stock can potentially add to one of your existing portfolios. Al Tawfeek Leasing currently demonstrates below-average downside deviation. It has Information Ratio of 0.03 and Jensen Alpha of 0.19. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Al Tawfeek'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 Al Tawfeek'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 Al Tawfeek Leasing Demand TrendCheck current 90 days Al Tawfeek correlation with market (Dow Jones Industrial)ATLC Beta |
ATLC 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 | 2.27 |
It is essential to understand the difference between upside risk (as represented by Al Tawfeek's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Al Tawfeek's daily returns or price. Since the actual investment returns on holding a position in atlc 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 Al Tawfeek.
Al Tawfeek Leasing Stock Volatility Analysis
Volatility refers to the frequency at which Al Tawfeek stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Al Tawfeek's price changes. Investors will then calculate the volatility of Al Tawfeek'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 Al Tawfeek's volatility:
Historical Volatility
This type of stock volatility measures Al Tawfeek's fluctuations based on previous trends. It's commonly used to predict Al Tawfeek'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 Al Tawfeek'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 Al Tawfeek'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. Al Tawfeek Leasing 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.
Al Tawfeek Projected Return Density Against Market
Assuming the 90 days trading horizon Al Tawfeek Leasing has a beta of -0.0321 . This suggests as returns on the benchmark increase, returns on holding Al Tawfeek are expected to decrease at a much lower rate. During a bear market, however, Al Tawfeek Leasing 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 Al Tawfeek or Rentals 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 Al Tawfeek'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 ATLC 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.
Al Tawfeek Leasing has an alpha of 0.1892, implying that it can generate a 0.19 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives an Al Tawfeek 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.Al Tawfeek Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Al Tawfeek is 1060.47. The daily returns are distributed with a variance of 5.17 and standard deviation of 2.27. The mean deviation of Al Tawfeek Leasing is currently at 1.78. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | 0.19 | |
β | Beta against Dow Jones | -0.03 | |
σ | Overall volatility | 2.27 | |
Ir | Information ratio | 0.03 |
Al Tawfeek Stock Return Volatility
Al Tawfeek historical daily return volatility represents how much of Al Tawfeek stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company accepts 2.273% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7736% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Al Tawfeek Investment Opportunity
Al Tawfeek Leasing has a volatility of 2.27 and is 2.95 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of Al Tawfeek Leasing is lower than 20 percent of all global equities and portfolios over the last 90 days. You can use Al Tawfeek Leasing to protect your portfolios against small market fluctuations. The stock experiences a moderate downward daily trend and can be a good diversifier. Check odds of Al Tawfeek to be traded at 4.26 in 90 days.Good diversification
The correlation between Al Tawfeek Leasing and DJI is -0.01 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Al Tawfeek Leasing and DJI in the same portfolio, assuming nothing else is changed.
Al Tawfeek Additional Risk Indicators
The analysis of Al Tawfeek'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 Al Tawfeek's investment and either accepting that risk or mitigating it. Along with some common measures of Al Tawfeek 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 | 0.0717 | |||
| Market Risk Adjusted Performance | (5.76) | |||
| Mean Deviation | 1.71 | |||
| Semi Deviation | 1.94 | |||
| Downside Deviation | 2.12 | |||
| Coefficient Of Variation | 1174.93 | |||
| Standard Deviation | 2.3 |
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.
Al Tawfeek 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 Al Tawfeek 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. Al Tawfeek'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, Al Tawfeek'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 Al Tawfeek Leasing.
Complementary Tools for ATLC Stock analysis
When running Al Tawfeek's price analysis, check to measure Al Tawfeek'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 Al Tawfeek is operating at the current time. Most of Al Tawfeek's value examination focuses on studying past and present price action to predict the probability of Al Tawfeek's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Al Tawfeek's price. Additionally, you may evaluate how the addition of Al Tawfeek to your portfolios can decrease your overall portfolio volatility.
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