NELLY GROUP (Germany) Volatility
| CD20 Stock | EUR 5.56 0.09 1.65% |
NELLY GROUP AB has Sharpe Ratio of -0.0777, which conveys that the firm had a -0.0777 % return per unit of volatility over the last 3 months. NELLY GROUP exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify NELLY GROUP's mean deviation of 3.37, and Risk Adjusted Performance of (0.03) to check out the risk estimate we provide.
Sharpe Ratio = -0.0777
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | CD20 |
Estimated Market Risk
| 6.4 actual daily | 57 57% of assets are less volatile |
Expected Return
| -0.5 actual daily | 0 Most of other assets have higher returns |
Risk-Adjusted Return
| -0.08 actual daily | 0 Most of other assets perform better |
Based on monthly moving average NELLY GROUP is not performing at its full potential. However, if added to a well diversified portfolio the total return can be enhanced and market risk can be reduced. You can increase risk-adjusted return of NELLY GROUP by adding NELLY GROUP to a well-diversified portfolio.
Key indicators related to NELLY GROUP's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
NELLY GROUP 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 NELLY daily returns, and it is calculated using variance and standard deviation. We also use NELLY's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of NELLY GROUP volatility.
NELLY |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as NELLY GROUP 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 NELLY GROUP at lower prices to lower their average cost per share. Similarly, when the prices of NELLY GROUP's stock rise, investors can sell out and invest the proceeds in other equities with better opportunities. Main indicators related to NELLY GROUP's market risk premium analysis include:
Beta 0.42 | Alpha (0.35) | Risk 6.4 | Sharpe Ratio (0.08) | Expected Return (0.50) |
Moving against NELLY Stock
| 0.74 | DWNI | Deutsche Wohnen SE | PairCorr |
| 0.69 | LVN | CP ALL Public | PairCorr |
| 0.6 | WNI | WHITE MTNS INS | PairCorr |
| 0.47 | UK8 | CubeSmart | PairCorr |
| 0.46 | D2G | Orsted AS | PairCorr |
| 0.46 | KOM1 | KOMATSU | PairCorr |
| 0.45 | CIE1 | Ciena Earnings Call This Week | PairCorr |
| 0.38 | SHG | Sun Hung Kai | PairCorr |
| 0.37 | SK3 | Smurfit Kappa Group | PairCorr |
| 0.35 | 2X0 | Corteva | PairCorr |
NELLY GROUP Market Sensitivity And Downside Risk
NELLY GROUP's beta coefficient measures the volatility of NELLY 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 NELLY stock's returns against your selected market. In other words, NELLY GROUP's beta of 0.42 provides an investor with an approximation of how much risk NELLY GROUP stock can potentially add to one of your existing portfolios. NELLY GROUP AB is displaying above-average volatility over the selected time horizon. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure NELLY GROUP'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 NELLY GROUP'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 NELLY GROUP AB Demand TrendCheck current 90 days NELLY GROUP correlation with market (Dow Jones Industrial)NELLY GROUP Volatility and Downside Risk
NELLY 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.
NELLY GROUP AB Stock Volatility Analysis
Volatility refers to the frequency at which NELLY GROUP stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with NELLY GROUP's price changes. Investors will then calculate the volatility of NELLY GROUP'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 NELLY GROUP's volatility:
Historical Volatility
This type of stock volatility measures NELLY GROUP's fluctuations based on previous trends. It's commonly used to predict NELLY GROUP'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 NELLY GROUP'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 NELLY GROUP'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. NELLY GROUP AB 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.
NELLY GROUP Projected Return Density Against Market
Assuming the 90 days trading horizon NELLY GROUP has a beta of 0.4155 suggesting as returns on the market go up, NELLY GROUP average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding NELLY GROUP AB 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 NELLY GROUP or Internet & Direct Marketing Retail 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 NELLY GROUP'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 NELLY 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.
Predicted Return Density |
| Returns |
What Drives a NELLY GROUP 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 investor attention to the company. This positive attention may impact the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.NELLY GROUP Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of NELLY GROUP is -1286.28. The daily returns are distributed with a variance of 40.98 and standard deviation of 6.4. The mean deviation of NELLY GROUP AB is currently at 3.49. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | -0.35 | |
β | Beta against Dow Jones | 0.42 | |
σ | Overall volatility | 6.40 | |
Ir | Information ratio | -0.06 |
NELLY GROUP Stock Return Volatility
NELLY GROUP historical daily return volatility represents how much of NELLY GROUP stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company assumes 6.4018% volatility of returns over the 90 days investment horizon. By contrast, Dow Jones Industrial accepts 0.7569% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Related Correlations Analysis
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
There is a big difference between NELLY Stock performing well and NELLY GROUP Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze NELLY GROUP's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| WMTD | 1.72 | 0.29 | 0.12 | 1.01 | 1.71 | 3.92 | 11.36 | |||
| WMT | 1.23 | 0.31 | 0.15 | (0.72) | 1.22 | 3.19 | 8.05 | |||
| WMT | 1.18 | 0.22 | 0.14 | 0.44 | 1.08 | 2.80 | 8.48 | |||
| AMZ | 1.36 | (0.18) | 0.00 | (0.18) | 0.00 | 2.51 | 11.65 | |||
| AMZ | 1.29 | (0.16) | 0.00 | (0.32) | 0.00 | 2.25 | 9.94 | |||
| BY6A | 2.09 | 0.04 | (0.01) | 0.48 | 2.48 | 4.31 | 15.26 | |||
| BY6 | 1.58 | 0.09 | (0.01) | (0.09) | 2.20 | 3.69 | 11.18 |
About NELLY GROUP Volatility
Volatility is a rate at which the price of NELLY GROUP or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of NELLY GROUP may increase or decrease. In other words, similar to NELLY's beta indicator, it measures the risk of NELLY GROUP and helps estimate the fluctuations that may happen in a short period of time. So if prices of NELLY GROUP fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.Nelly Group AB operates as a fashion company in Sweden, rest of Nordics, Germany, and the Netherlands. Nelly Group AB was incorporated in 1936 and is headquartered in Bors, Sweden. NELLY GROUP is traded on Frankfurt Stock Exchange in Germany.
NELLY GROUP's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on NELLY Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much NELLY GROUP's price varies over time.
3 ways to utilize NELLY GROUP's volatility to invest better
Higher NELLY GROUP's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of NELLY GROUP AB stock is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. NELLY GROUP AB stock volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of NELLY GROUP AB investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in NELLY GROUP's stock can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of NELLY GROUP's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
NELLY GROUP Investment Opportunity
NELLY GROUP AB has a volatility of 6.4 and is 8.42 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of NELLY GROUP AB is higher than 57 percent of all global equities and portfolios over the last 90 days. You can use NELLY GROUP AB to enhance the returns of your portfolios. The stock experiences a large bullish trend. Check odds of NELLY GROUP to be traded at €6.12 in 90 days.Significant diversification
The correlation between NELLY GROUP AB and DJI is 0.04 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding NELLY GROUP AB and DJI in the same portfolio, assuming nothing else is changed.
NELLY GROUP Additional Risk Indicators
The analysis of NELLY GROUP'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 NELLY GROUP's investment and either accepting that risk or mitigating it. Along with some common measures of NELLY GROUP 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 | (0.03) | |||
| Market Risk Adjusted Performance | (0.77) | |||
| Mean Deviation | 3.37 | |||
| Coefficient Of Variation | (1,971) | |||
| Standard Deviation | 6.18 | |||
| Variance | 38.25 | |||
| Information Ratio | (0.06) |
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.
NELLY GROUP 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 NELLY GROUP 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. NELLY GROUP'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, NELLY GROUP'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 NELLY GROUP AB.
Complementary Tools for NELLY Stock analysis
When running NELLY GROUP's price analysis, check to measure NELLY GROUP'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 NELLY GROUP is operating at the current time. Most of NELLY GROUP's value examination focuses on studying past and present price action to predict the probability of NELLY GROUP's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move NELLY GROUP's price. Additionally, you may evaluate how the addition of NELLY GROUP to your portfolios can decrease your overall portfolio volatility.
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