Capitania Securities (Brazil) Volatility
| CPTS11B Etf | BRL 7.08 0.00 0.00% |
Capitania Securities secures Sharpe Ratio (or Efficiency) of -0.21, which signifies that the etf had a -0.21% return per unit of risk over the last 3 months. Capitania Securities II exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Capitania Securities' Standard Deviation of 2.57, mean deviation of 0.9862, and Risk Adjusted Performance of (0.15) to double-check the risk estimate we provide.
Capitania |
Capitania Securities Etf 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 Capitania daily returns, and it is calculated using variance and standard deviation. We also use Capitania's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Capitania Securities volatility.
Downward market volatility can be a perfect environment for investors who play the long game with Capitania Securities. They may decide to buy additional shares of Capitania Securities at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Capitania Securities Market Sensitivity And Downside Risk
Capitania Securities' beta coefficient measures the volatility of Capitania etf 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 Capitania etf's returns against your selected market. In other words, Capitania Securities's beta of 0.63 provides an investor with an approximation of how much risk Capitania Securities etf can potentially add to one of your existing portfolios. Capitania Securities II exhibits very low volatility with skewness of -6.76 and kurtosis of 50.86. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Capitania Securities' etf risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Capitania Securities' etf 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 Capitania Securities Demand TrendCheck current 90 days Capitania Securities correlation with market (Dow Jones Industrial)Capitania Beta |
Capitania 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 | 2.65 |
It is essential to understand the difference between upside risk (as represented by Capitania Securities's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Capitania Securities' daily returns or price. Since the actual investment returns on holding a position in capitania etf 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 Capitania Securities.
Capitania Securities Etf Volatility Analysis
Volatility refers to the frequency at which Capitania Securities etf price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Capitania Securities' price changes. Investors will then calculate the volatility of Capitania Securities' etf to predict their future moves. A etf that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A etf with relatively stable price changes has low volatility. A highly volatile etf 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 Capitania Securities' volatility:
Historical Volatility
This type of etf volatility measures Capitania Securities' fluctuations based on previous trends. It's commonly used to predict Capitania Securities' future behavior based on its past. However, it cannot conclusively determine the future direction of the etf.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Capitania Securities' current market price. This means that the etf will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Capitania Securities' 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. Capitania Securities 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.
Capitania Securities Projected Return Density Against Market
Assuming the 90 days trading horizon Capitania Securities has a beta of 0.6338 suggesting as returns on the market go up, Capitania Securities average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Capitania Securities II 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 Capitania Securities or Capitania 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 Capitania Securities' price will be affected by overall etf 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 Capitania etf'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.
Capitania Securities II 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 Capitania Securities Price Volatility?
Several factors can influence a etf'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.Capitania Securities Etf Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Capitania Securities is -472.64. The daily returns are distributed with a variance of 7.02 and standard deviation of 2.65. The mean deviation of Capitania Securities II is currently at 1.03. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | -0.6 | |
β | Beta against Dow Jones | 0.63 | |
σ | Overall volatility | 2.65 | |
Ir | Information ratio | -0.25 |
Capitania Securities Etf Return Volatility
Capitania Securities historical daily return volatility represents how much of Capitania Securities etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The ETF accepts 2.6487% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7685% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Capitania Securities Volatility
Volatility is a rate at which the price of Capitania Securities 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 Capitania Securities may increase or decrease. In other words, similar to Capitania's beta indicator, it measures the risk of Capitania Securities and helps estimate the fluctuations that may happen in a short period of time. So if prices of Capitania Securities 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.3 ways to utilize Capitania Securities' volatility to invest better
Higher Capitania Securities' etf volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Capitania Securities etf 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. Capitania Securities etf 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 Capitania Securities investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Capitania Securities' etf 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 Capitania Securities' etf relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Capitania Securities Investment Opportunity
Capitania Securities II has a volatility of 2.65 and is 3.44 times more volatile than Dow Jones Industrial. 23 percent of all equities and portfolios are less risky than Capitania Securities. You can use Capitania Securities II to protect your portfolios against small market fluctuations. The etf experiences a normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Capitania Securities to be traded at R$7.01 in 90 days.Average diversification
The correlation between Capitania Securities II and DJI is 0.19 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Capitania Securities II and DJI in the same portfolio, assuming nothing else is changed.
Capitania Securities Additional Risk Indicators
The analysis of Capitania Securities' 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 Capitania Securities' investment and either accepting that risk or mitigating it. Along with some common measures of Capitania Securities etf'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 | (0.15) | |||
| Market Risk Adjusted Performance | (0.84) | |||
| Mean Deviation | 0.9862 | |||
| Coefficient Of Variation | (488.07) | |||
| Standard Deviation | 2.57 | |||
| Variance | 6.6 | |||
| Information Ratio | (0.25) |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential etfs, we recommend comparing similar etfs with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Capitania Securities 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 Capitania Securities 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. Capitania Securities' 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, Capitania Securities' 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 Capitania Securities II.
Other Information on Investing in Capitania Etf
Capitania Securities financial ratios help investors to determine whether Capitania Etf is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Capitania with respect to the benefits of owning Capitania Securities security.