CmbTech NV (Norway) Volatility
| CMBTO Stock | 95.70 1.90 1.95% |
As of now, CmbTech Stock is very steady. CmbTech NV secures Sharpe Ratio (or Efficiency) of close to zero, which signifies that the company had a close to zero % return per unit of standard deviation over the last 3 months. We have found twenty-nine technical indicators for CmbTech NV, which you can use to evaluate the volatility of the firm. Please confirm CmbTech NV's mean deviation of 2.23, and Risk Adjusted Performance of 0.0178 to double-check if the risk estimate we provide is consistent with the expected return of 0.0216%.
CmbTech |
CmbTech NV 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 CmbTech daily returns, and it is calculated using variance and standard deviation. We also use CmbTech's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of CmbTech NV volatility.
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as CmbTech NV 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 CmbTech NV at lower prices. For example, an investor can purchase CmbTech 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 CmbTech NV's 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.
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CmbTech NV Market Sensitivity And Downside Risk
CmbTech NV's beta coefficient measures the volatility of CmbTech 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 CmbTech stock's returns against your selected market. In other words, CmbTech NV's beta of -0.86 provides an investor with an approximation of how much risk CmbTech NV stock can potentially add to one of your existing portfolios. CmbTech NV currently demonstrates below-average downside deviation. It has Information Ratio of -0.02 and Jensen Alpha of 0.09. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure CmbTech NV'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 CmbTech NV'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 CmbTech NV Demand TrendCheck current 90 days CmbTech NV correlation with market (Dow Jones Industrial)CmbTech Beta |
CmbTech 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 | 2.53 |
It is essential to understand the difference between upside risk (as represented by CmbTech NV's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of CmbTech NV's daily returns or price. Since the actual investment returns on holding a position in cmbtech 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 CmbTech NV.
CmbTech NV Stock Volatility Analysis
Volatility refers to the frequency at which CmbTech NV stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with CmbTech NV's price changes. Investors will then calculate the volatility of CmbTech NV'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 CmbTech NV's volatility:
Historical Volatility
This type of stock volatility measures CmbTech NV's fluctuations based on previous trends. It's commonly used to predict CmbTech NV'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 CmbTech NV'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 CmbTech NV'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. The Median Price line plots median indexes of CmbTech NV price series.
CmbTech NV Projected Return Density Against Market
Assuming the 90 days trading horizon CmbTech NV has a beta of -0.8581 suggestingMost 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 CmbTech NV or IT 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 CmbTech NV'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 CmbTech 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.
CmbTech NV has an alpha of 0.09, implying that it can generate a 0.09 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a CmbTech NV 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.CmbTech NV Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of CmbTech NV is 11689.52. The daily returns are distributed with a variance of 6.39 and standard deviation of 2.53. The mean deviation of CmbTech NV is currently at 2.06. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.7
α | Alpha over Dow Jones | 0.09 | |
β | Beta against Dow Jones | -0.86 | |
σ | Overall volatility | 2.53 | |
Ir | Information ratio | -0.01 |
CmbTech NV Stock Return Volatility
CmbTech NV historical daily return volatility represents how much of CmbTech NV stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm accepts 2.5277% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7122% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
CmbTech NV Investment Opportunity
CmbTech NV has a volatility of 2.53 and is 3.56 times more volatile than Dow Jones Industrial. 22 percent of all equities and portfolios are less risky than CmbTech NV. You can use CmbTech NV to protect your portfolios against small market fluctuations. The stock experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of CmbTech NV to be traded at 92.83 in 90 days.Very good diversification
The correlation between CmbTech NV and DJI is -0.22 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding CmbTech NV and DJI in the same portfolio, assuming nothing else is changed.
CmbTech NV Additional Risk Indicators
The analysis of CmbTech NV'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 CmbTech NV's investment and either accepting that risk or mitigating it. Along with some common measures of CmbTech NV 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 | 0.0178 | |||
| Market Risk Adjusted Performance | (0.02) | |||
| Mean Deviation | 2.23 | |||
| Semi Deviation | 2.47 | |||
| Downside Deviation | 2.52 | |||
| Coefficient Of Variation | 6775.14 | |||
| Standard Deviation | 2.69 |
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.
CmbTech NV 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 CmbTech NV 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. CmbTech NV'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, CmbTech NV'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 CmbTech NV.