BioXcel Therapeutics Stock Volatility
| BTAI Stock | USD 1.29 -0.01 -0.77% |
Sharpe Ratio = -0.0182
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Latest disclosures for BioXcel Therapeutics show a Market Risk Adjusted Performance of 0.03%, a Risk of 5.43, and a Risk Adjusted Performance of 0.02%. Based on monthly moving averages, the stock is not performing at its full potential.
Key indicators related to BioXcel Therapeutics' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for BioXcel Therapeutics (3 Months):
Beta 2.69 | Alpha 0.03 | Risk 5.43 | Sharpe Ratio -0.02 | Expected Return -0.1 |
Moving together with BioXcel Stock
Moving Against BioXcel Stock
| 0.58 | CSCO | Cisco Systems Earnings Call This Week | PairCorr |
| 0.58 | AA | Alcoa Corp | PairCorr |
| 0.57 | AVAL | Grupo Aval | PairCorr |
| 0.41 | JPM | JPMorgan Chase | PairCorr |
| 0.35 | BAC | Bank of America | PairCorr |
Sensitivity To Market
BioXcel Therapeutics beta coefficient measures the volatility of BioXcel stock relative to the systematic risk of the broad market benchmark. A beta of 2.69 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 5.43%. BioXcel Therapeutics has shown noticeable price swings over the selected period. Downside deviation is about 4.46% and standard deviation is about 5.56%, which summarize how widely returns have moved. Equity volatility compresses in calm markets and expands quickly when uncertainty increases. Stock dispersion changes materially during earnings seasons and macro data releases.
3 Months Beta |BioXcel Therapeutics Demand TrendCurrent 90-day BioXcel Therapeutics correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation measures how far BioXcel returns deviate from the historical mean and remains a primary indicator of total price volatility. A large standard deviation signals wide price swings; a small one signals relative stability.
Standard Deviation | 5.43 |
It is essential to understand the difference between upside risk and downside risk for BioXcel Therapeutics. Total volatility includes favorable moves, while downside deviation isolates the loss risk in BioXcel Therapeutics' daily returns. Latest disclosures for BioXcel Therapeutics show a Downside Deviation of 4.46, a Downside Variance of 19.88, and a Maximum Drawdown of 27.30.
Stock Volatility Analysis
Volatility refers to the frequency at which BioXcel Therapeutics stock price increases or decreases within a specified period. It is generally measured from either the standard deviation or variance between returns from that same stock.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of BioXcel Therapeutics'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, BioXcel Therapeutics has a beta of 2.6894 suggesting when the benchmark rises, BTAI tends to outperform it on average. However, when benchmark returns turn negative, BioXcel Therapeutics tends to underperform.BioXcel Therapeutics is exposed to both systematic and unsystematic risk. Systematic risk reflects broader stock market movements, while company or sector-specific developments represent nonmarket drivers. Diversification may reduce specific risk, but market exposure remains. Beta and standard deviation help quantify volatility. Latest disclosures for BioXcel Therapeutics show a Downside Deviation of 4.46, a Mean Deviation of 4.18, and a Semi Deviation of 4.15.
Predicted Return Distribution |
| Density |
What Drives BioXcel Therapeutics' Price Volatility?
Industry Dynamics
Regulatory updates, demand shifts, and competitive changes in the Biotechnology sector can move BioXcel Therapeutics' volatility even when broad indices are stable.Political and Economic Environment
Rates, inflation expectations, and policy headlines can shift discount rates and risk appetite for BioXcel Therapeutics.BioXcel Therapeutics' Company-Specific Factors
Earnings surprises, guidance changes, management decisions, and litigation risk are common catalysts for sharp re-pricing in BioXcel Therapeutics' shares.Stock Risk Measures
Given a 90-day horizon, the coefficient of variation of BioXcel Therapeutics is -5480.78. The daily returns are distributed with a variance of 29.51 and standard deviation of 5.43. The mean deviation of BioXcel Therapeutics is currently at 4.01. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | 0.03 | |
β | Beta against Dow Jones | 2.69 | |
σ | Overall volatility | 5.43 | |
Ir | Information ratio | 0.01 |
Stock Return Volatility
BioXcel Therapeutics historical daily return volatility represents how much of BioXcel Therapeutics stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm reported 5.4325% volatility on return distribution over a 90-day investment horizon. By contrast, 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
Strong recent returns in BioXcel Stock do not always mean BioXcel Therapeutics Company is outperforming peers on business quality. Risk-adjusted metrics help compare BioXcel Therapeutics' efficiency and downside exposure against peers on a like-for-like basis. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| MURA | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| VERU | 2.03 | 0.00 | 0.00 | 0.01 | 2.63 | 3.76 | 11.52 | |||
| RVPH | 6.49 | -2.14 | 0.00 | -0.56 | 0.00 | 11.25 | 69.07 | |||
| BCAB | 6.80 | -0.82 | 0.00 | -0.97 | 0.00 | 12.50 | 41.61 | |||
| MAIA | 3.98 | -0.40 | 0.00 | -0.30 | 0.00 | 6.87 | 39.09 | |||
| ANVS | 4.28 | 0.15 | 0.02 | 0.09 | 6.35 | 10.95 | 41.87 | |||
| CELU | 3.25 | -0.28 | 0.00 | -0.24 | 0.00 | 7.76 | 26.44 | |||
| PYPD | 1.88 | 0.06 | 0.03 | 0.07 | 2.14 | 4.04 | 10.06 | |||
| GBIO | 2.23 | -1.41 | 0.00 | -5.11 | 0.00 | 0.00 | 6.97 | |||
| EVAX | 3.76 | 0.76 | 0.20 | 0.90 | 3.20 | 8.10 | 26.56 |
Risk Metrics, Assumptions & Methodology
Drawdown depth for BioXcel Therapeutics defines the worst peak-to-trough loss observed, framing downside volatility in practical terms. Historical performance suggests relatively contained downside variability. BioXcel Therapeutics has a market cap of 33.84 million, ROE of -17.67%.
BioXcel Therapeutics values are built from periodic company reporting and market reference feeds, with reporting definitions aligned before display. 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 BioXcel Therapeutics is more volatile than Dow Jones Industrial by approximately 5.84x 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 48% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.BioXcel Therapeutics 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 gains reliability when combined with broader risk controls and volatility-adjusted analysis. 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 BioXcel Therapeutics probability analysis.
Very good diversification
For the present investment horizon, the measured correlation between BioXcel Therapeutics and Dow Jones stands at 0.02, or Very good diversification. In portfolio terms, the overlap shows how much shared movement remains after combining both positions.
Additional Risk Indicators
A broader risk-indicator set for BioXcel Therapeutics extends the analysis beyond standard volatility and risk measures. These measures support both standalone risk assessment and portfolio-level analysis.
| Risk Adjusted Performance | 0.0193 | |||
| Market Risk Adjusted Performance | 0.03 | |||
| Mean Deviation | 4.18 | |||
| Semi Deviation | 4.15 | |||
| Downside Deviation | 4.46 | |||
| Coefficient Of Variation | 8733.53 | |||
| Standard Deviation | 5.56 |
BioXcel Therapeutics Suggested Diversification Pairs
Pair analysis provides a framework for evaluating relative performance between BioXcel Therapeutics and comparable securities. Pair trading is less about prediction in isolation and more about identifying relative mispricing between related positions.
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 BioXcel Therapeutics 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. BioXcel Therapeutics' 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, BioXcel Therapeutics' 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 BioXcel Therapeutics.
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