Banco De Chile Stock Volatility
| BCH Stock | USD 36.51 0.16 0.44% |
Sharpe Ratio = -0.0812
| Leading Returns | Top Quartile | |||
| Strong | ||||
| Moderate | ||||
| Modest | ||||
| Cash | Low | Moderate | Elevated | High |
| Below Benchmark | BCH |
Banco De Chile's financial profile includes a Market Risk Adjusted Performance of -0.1%, a Risk of 2.42, 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 Banco De's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Banco De (3 Months):
Beta 1.71 | Alpha -0.22 | Risk 2.42 | Sharpe Ratio -0.08 | Expected Return -0.20 |
Moving together with Banco De Stock
Moving Against Banco De Stock
Sensitivity To Market
Banco De Chile exhibits a beta of 1.71, representing its market-relative sensitivity. This coefficient separates systematic risk from company-specific volatility. Total return dispersion is approximately 2.42%. Banco De Chile return patterns over the selected horizon reflect a minimal level of variability, based on dispersion and downside-focused statistics. Standard deviation is near 2.42%. Volatility is commonly higher for smaller or less liquid equities due to wider spreads and thinner order books. For Banco De, measured downside deviation describes the intensity of negative return periods.
3 Months Beta |Banco De Chile Demand TrendCurrent 90-day Banco De correlation with market (Dow Jones Industrial)Downside Risk
For Banco De, the standard deviation figure expresses the observed spread of daily returns over the selected period. The magnitude of Banco De standard deviation determines where it falls on the volatility spectrum relative to peers. Pairing standard deviation with beta separates Banco De total risk from its market-driven component. Combining Banco De standard deviation with skewness and kurtosis gives a more complete picture of return distribution shape.
Standard Deviation | 2.42 |
Distinguishing between standard deviation and downside deviation sharpens the risk picture for Banco De. Standard deviation reflects total return dispersion for Banco De, while downside deviation captures only the adverse portion of Banco De's returns. Standard deviation and downside deviation for Banco De measure different things - total dispersion vs. loss-only dispersion. Semi-deviation and downside deviation focus on the loss risk embedded in Banco De's returns. Banco De Chile's financial profile includes a Maximum Drawdown of 10.73.
Stock Volatility Analysis
For Banco De, understanding volatility is essential to assessing portfolio risk contribution. It indicates how dramatically Banco De's price swings over a specific time horizon. For Banco De, volatility is both a risk factor and a driver of return dispersion. Sharp price movements in Banco De'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 Banco De Chile'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
Over a 90-day investment horizon, Banco De has a beta of 1.7102 suggesting when the benchmark rises, BCH tends to outperform it on average. However, when benchmark returns turn negative, Banco De tends to underperform.Holders of Banco De 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. Banco De Chile's financial profile includes a Mean Deviation of 1.90 and a Standard Deviation of 2.42.
Predicted Return Distribution |
| Density |
What Drives Banco De's Price Volatility?
Industry Dynamics
Banco De's volatility can rise when competitive dynamics or demand conditions shift across the Banks sector.Political and Economic Environment
Changes in fiscal policy, rates, and growth expectations affect market-wide risk premiums and spill into Banco De's trading.Banco De's Company-Specific Factors
Event risk around earnings, forecasts, and operating performance can create abrupt price dispersion in Banco De.Stock Risk Measures
Over a 90-day investment horizon, the coefficient of variation of Banco De is -1232.2. The daily returns are distributed with a variance of 5.87 and standard deviation of 2.42. The mean deviation of Banco De Chile is currently at 1.9. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | -0.2189 | |
β | Beta against Dow Jones | 1.71 | |
σ | Overall volatility | 2.42 | |
Ir | Information ratio | -0.0882 |
Stock Return Volatility
Banco De return volatility captures the typical daily swing in stock returns relative to the mean over the selected period. The firm has volatility of 2.4237% on return distribution over a 90-day investment horizon. Meanwhile, Dow Jones Industrial reported 0.9592% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
| 0.0 | 0.0 | 0.0 | 0.0 | 0.75 | 0.0 | BSAC | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | FITB | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | RF | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | KEY | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | WF | ||
| 0.75 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | FHN | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | EWBC | ||
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
| High negative correlations
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Risk-Adjusted Indicators
Banco De Company can look attractive on recent price action while risk efficiency lags the peer group. Reviewing Banco De'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| BSAC | 1.78 | -0.20 | 0.00 | -0.11 | 0.00 | 3.55 | 8.75 | |||
| FITB | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| RF | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| KEY | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| WF | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| FHN | 1.20 | -0.06 | 0.00 | -0.04 | 0.00 | 2.25 | 6.22 | |||
| EWBC | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
Risk Metrics, Assumptions & Methodology
Standard deviation for Banco De 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. Banco De has a market cap of 18.36 billion, P/E of 10.27, ROE of 20.85%.
Banco De Chile 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: Vlad Skutelnik, Macroaxis Contributor
Volatility Profile Summary
Recent data suggests that Banco De Chile is more volatile than Dow Jones Industrial by approximately 2.52x 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 21% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Banco De Chile with characteristics aligned to broad market upside participation. This directional read frames the latest price swing through a simple momentum and follow-through lens. It gains reliability when combined with broader risk controls and volatility-adjusted analysis. a normal upward fluctuation. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Banco De probability analysis.
Poor diversification
The correlation between Banco De and Dow Jones is 0.74, which Macroaxis classifies as Poor diversification for the selected horizon. Lower overlap tends to improve diversification, while higher overlap means both positions carry similar risk.
Additional Risk Indicators
Secondary risk indicators for Banco De Chile evaluate exposure beyond standard deviation, beta, or one headline volatility measure. These measures support both standalone risk assessment and portfolio-level analysis.
| Risk Adjusted Performance | -0.07 | |||
| Market Risk Adjusted Performance | -0.11 | |||
| Mean Deviation | 1.9 | |||
| Coefficient Of Variation | -1,232 | |||
| Standard Deviation | 2.42 | |||
| Variance | 5.87 | |||
| Information Ratio | -0.09 |
Banco De Suggested Diversification Pairs
A pair-trading setup around Banco De shifts the return benchmark from the broad market to a second position, altering the risk profile. This structure emphasizes relative performance differences between paired assets rather than broad market direction.
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| Microsoft vs. Banco De |
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 Banco De, market-wide risk remains. What pair trading can address is Banco De's unsystematic risk - the portion driven by company or sector-specific factors rather than broad market forces.
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