Benefit Systems (Poland) Volatility
| BFT Stock | 2,640 20.00 0.75% |
Currently, Benefit Systems SA is very steady. Benefit Systems SA secures Sharpe Ratio (or Efficiency) of 0.0252, which signifies that the company had a 0.0252% return per unit of risk over the last 3 months. We have found thirty technical indicators for Benefit Systems SA, which you can use to evaluate the volatility of the firm. Please confirm Benefit Systems' Mean Deviation of 1.35, downside deviation of 1.97, and Risk Adjusted Performance of 0.0515 to double-check if the risk estimate we provide is consistent with the expected return of 0.0446%.
Benefit |
Benefit Systems 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 Benefit daily returns, and it is calculated using variance and standard deviation. We also use Benefit's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Benefit Systems volatility.
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Benefit Systems can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Benefit Systems at lower prices. For example, an investor can purchase Benefit stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Benefit Systems' stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.
Benefit Systems Market Sensitivity And Downside Risk
Benefit Systems' beta coefficient measures the volatility of Benefit 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 Benefit stock's returns against your selected market. In other words, Benefit Systems's beta of 0.0271 provides an investor with an approximation of how much risk Benefit Systems stock can potentially add to one of your existing portfolios. Benefit Systems SA has relatively low volatility with skewness of 0.08 and kurtosis of 0.28. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Benefit Systems' stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Benefit Systems' 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 Benefit Systems SA Demand TrendCheck current 90 days Benefit Systems correlation with market (Dow Jones Industrial)Benefit Beta |
Benefit 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 | 1.77 |
It is essential to understand the difference between upside risk (as represented by Benefit Systems's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Benefit Systems' daily returns or price. Since the actual investment returns on holding a position in benefit 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 Benefit Systems.
Benefit Systems SA Stock Volatility Analysis
Volatility refers to the frequency at which Benefit Systems stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Benefit Systems' price changes. Investors will then calculate the volatility of Benefit Systems' 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 Benefit Systems' volatility:
Historical Volatility
This type of stock volatility measures Benefit Systems' fluctuations based on previous trends. It's commonly used to predict Benefit Systems' 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 Benefit Systems' 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 Benefit Systems' 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. Benefit Systems SA 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.
Benefit Systems Projected Return Density Against Market
Assuming the 90 days trading horizon Benefit Systems has a beta of 0.0271 suggesting as returns on the market go up, Benefit Systems average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Benefit Systems SA will be expected to be much smaller as well.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 Benefit Systems or Benefit 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 Benefit Systems' 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 Benefit 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.
Benefit Systems SA has an alpha of 0.0917, implying that it can generate a 0.0917 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Benefit Systems 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.Benefit Systems Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Benefit Systems is 3967.02. The daily returns are distributed with a variance of 3.13 and standard deviation of 1.77. The mean deviation of Benefit Systems SA is currently at 1.36. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | 0.09 | |
β | Beta against Dow Jones | 0.03 | |
σ | Overall volatility | 1.77 | |
Ir | Information ratio | -0.02 |
Benefit Systems Stock Return Volatility
Benefit Systems historical daily return volatility represents how much of Benefit Systems stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The enterprise accepts 1.7681% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7502% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Benefit Systems Investment Opportunity
Benefit Systems SA has a volatility of 1.77 and is 2.36 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of Benefit Systems SA is lower than 15 percent of all global equities and portfolios over the last 90 days. You can use Benefit Systems SA 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 Benefit Systems to be traded at 2587.2 in 90 days.Significant diversification
The correlation between Benefit Systems SA and DJI is 0.01 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Benefit Systems SA and DJI in the same portfolio, assuming nothing else is changed.
Benefit Systems Additional Risk Indicators
The analysis of Benefit Systems' 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 Benefit Systems' investment and either accepting that risk or mitigating it. Along with some common measures of Benefit Systems 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 | 0.0515 | |||
| Market Risk Adjusted Performance | 3.52 | |||
| Mean Deviation | 1.35 | |||
| Semi Deviation | 1.73 | |||
| Downside Deviation | 1.97 | |||
| Coefficient Of Variation | 1667.36 | |||
| Standard Deviation | 1.75 |
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.
Benefit Systems 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.
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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 Benefit Systems 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. Benefit Systems' 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, Benefit Systems' 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 Benefit Systems SA.
Additional Tools for Benefit Stock Analysis
When running Benefit Systems' price analysis, check to measure Benefit Systems' 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 Benefit Systems is operating at the current time. Most of Benefit Systems' value examination focuses on studying past and present price action to predict the probability of Benefit Systems' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Benefit Systems' price. Additionally, you may evaluate how the addition of Benefit Systems to your portfolios can decrease your overall portfolio volatility.