Civil Engineering (Thailand) Volatility
| CIVIL Stock | 0.61 0.01 1.67% |
Civil Engineering PCL secures Sharpe Ratio (or Efficiency) of -0.28, which signifies that the company had a -0.28 % return per unit of risk over the last 3 months. Civil Engineering PCL exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Civil Engineering's Risk Adjusted Performance of (0.19), standard deviation of 2.83, and Mean Deviation of 1.99 to double-check the risk estimate we provide.
Civil |
Civil Engineering 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 Civil daily returns, and it is calculated using variance and standard deviation. We also use Civil's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Civil Engineering volatility.
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Civil Engineering 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 Civil Engineering at lower prices to lower their average cost per share. Similarly, when the prices of Civil Engineering's stock rise, investors can sell out and invest the proceeds in other equities with better opportunities. Main indicators related to Civil Engineering's market risk premium analysis include:
Moving against Civil Stock
Civil Engineering Market Sensitivity And Downside Risk
Civil Engineering's beta coefficient measures the volatility of Civil 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 Civil stock's returns against your selected market. In other words, Civil Engineering's beta of 0.89 provides an investor with an approximation of how much risk Civil Engineering stock can potentially add to one of your existing portfolios. Civil Engineering PCL exhibits very low volatility with skewness of -1.63 and kurtosis of 4.92. Civil Engineering PCL is a potential penny stock. Although Civil Engineering may be in fact a good instrument to invest, many penny stocks are speculative in nature and are subject to artificial price hype. Please make sure you totally understand the upside potential and downside risk of investing in Civil Engineering PCL. We encourage investors to look for signals such as email spams, message board hypes, claims of breakthroughs, volume upswings, sudden news releases, promotions that are not reported, or demotions released before SEC filings. Please also check biographies and work history of current and past company officers before investing in high volatility instruments, penny stocks, or equities with microcap classification. You can indeed make money on Civil instrument if you perfectly time your entry and exit. However, remember that penny stocks that have been the subject of artificial hype usually unable to maintain their increased share price for more than just a few days. The price of a promoted high volatility instrument will almost always revert back. The only way to increase shareholder value is through legitimate performance backed up by solid fundamentals.
3 Months Beta |Analyze Civil Engineering PCL Demand TrendCheck current 90 days Civil Engineering correlation with market (Dow Jones Industrial)Civil Engineering Volatility and Downside Risk
Civil 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.
Civil Engineering PCL Stock Volatility Analysis
Volatility refers to the frequency at which Civil Engineering stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Civil Engineering's price changes. Investors will then calculate the volatility of Civil Engineering'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 Civil Engineering's volatility:
Historical Volatility
This type of stock volatility measures Civil Engineering's fluctuations based on previous trends. It's commonly used to predict Civil Engineering'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 Civil Engineering'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 Civil Engineering'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. Civil Engineering PCL 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.
Civil Engineering Projected Return Density Against Market
Assuming the 90 days trading horizon Civil Engineering has a beta of 0.8872 suggesting Civil Engineering PCL market returns are sensitive to returns on the market. As the market goes up or down, Civil Engineering is expected to follow.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 Civil Engineering or Civil 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 Civil Engineering'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 Civil 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.
Civil Engineering PCL has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming the Dow Jones Industrial. Predicted Return Density |
| Returns |
What Drives a Civil Engineering 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.Civil Engineering Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Civil Engineering is -357.26. The daily returns are distributed with a variance of 8.03 and standard deviation of 2.83. The mean deviation of Civil Engineering PCL is currently at 1.99. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.69
α | Alpha over Dow Jones | -0.88 | |
β | Beta against Dow Jones | 0.89 | |
σ | Overall volatility | 2.83 | |
Ir | Information ratio | -0.32 |
Civil Engineering Stock Return Volatility
Civil Engineering historical daily return volatility represents how much of Civil Engineering stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company accepts 2.8337% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.6944% 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
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between Civil Stock performing well and Civil Engineering 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 Civil Engineering'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| TRITN | 14.44 | 2.41 | 0.07 | (9.05) | 14.09 | 50.00 | 83.33 | |||
| EMC | 10.54 | 0.62 | 0.02 | 0.61 | 13.38 | 50.00 | 83.33 | |||
| TRC | 4.24 | 0.32 | 0.04 | (0.48) | 3.89 | 15.56 | 37.82 | |||
| UMI | 1.46 | (0.24) | 0.00 | 0.52 | 0.00 | 3.03 | 10.36 | |||
| CAZ | 1.43 | (0.48) | 0.00 | (0.87) | 0.00 | 3.57 | 11.44 | |||
| MENA | 1.22 | (0.27) | 0.00 | 4.38 | 0.00 | 2.56 | 8.01 | |||
| GTB | 0.71 | (0.05) | 0.00 | (6.60) | 0.00 | 1.49 | 7.63 | |||
| TEKA | 0.81 | (0.03) | 0.00 | 0.74 | 0.00 | 1.83 | 6.95 | |||
| ALLA | 0.44 | 0.00 | (0.10) | 0.16 | 0.54 | 0.87 | 2.58 |
Civil Engineering Investment Opportunity
Civil Engineering PCL has a volatility of 2.83 and is 4.1 times more volatile than Dow Jones Industrial. 25 percent of all equities and portfolios are less risky than Civil Engineering. You can use Civil Engineering PCL to enhance the returns of your portfolios. The stock experiences a large bullish trend. Check odds of Civil Engineering to be traded at 0.671 in 90 days.Modest diversification
The correlation between Civil Engineering PCL and DJI is 0.22 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Civil Engineering PCL and DJI in the same portfolio, assuming nothing else is changed.
Civil Engineering Additional Risk Indicators
The analysis of Civil Engineering'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 Civil Engineering's investment and either accepting that risk or mitigating it. Along with some common measures of Civil Engineering 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 | (0.19) | |||
| Market Risk Adjusted Performance | (0.90) | |||
| Mean Deviation | 1.99 | |||
| Coefficient Of Variation | (357.26) | |||
| Standard Deviation | 2.83 | |||
| Variance | 8.03 | |||
| Information Ratio | (0.32) |
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.
Civil Engineering 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 Civil Engineering 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. Civil Engineering'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, Civil Engineering'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 Civil Engineering PCL.
Complementary Tools for Civil Stock analysis
When running Civil Engineering's price analysis, check to measure Civil Engineering'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 Civil Engineering is operating at the current time. Most of Civil Engineering's value examination focuses on studying past and present price action to predict the probability of Civil Engineering's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Civil Engineering's price. Additionally, you may evaluate how the addition of Civil Engineering to your portfolios can decrease your overall portfolio volatility.
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