Dataproces Group (Germany) Volatility
| D9D Stock | EUR 0.71 0.01 1.43% |
Dataproces Group secures Sharpe Ratio (or Efficiency) of -0.0147, which denotes the company had a -0.0147 % return per unit of risk over the last 3 months. Dataproces Group AS exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Dataproces Group's Variance of 8.33, standard deviation of 2.89, and Mean Deviation of 2.11 to check the risk estimate we provide.
Sharpe Ratio = -0.0147
| High Returns | Best Equity | |||
| Good Returns | ||||
| Average Returns | ||||
| Small Returns | ||||
| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | D9D |
Estimated Market Risk
| 2.57 actual daily | 23 77% of assets are more volatile |
Expected Return
| -0.04 actual daily | 0 Most of other assets have higher returns |
Risk-Adjusted Return
| -0.01 actual daily | 0 Most of other assets perform better |
Based on monthly moving average Dataproces 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 Dataproces Group by adding Dataproces Group to a well-diversified portfolio.
Key indicators related to Dataproces Group's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Dataproces 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 Dataproces daily returns, and it is calculated using variance and standard deviation. We also use Dataproces's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Dataproces Group volatility.
Dataproces |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Dataproces 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 Dataproces Group at lower prices to lower their average cost per share. Similarly, when the prices of Dataproces Group's stock rise, investors can sell out and invest the proceeds in other equities with better opportunities. Main indicators related to Dataproces Group's market risk premium analysis include:
Beta 0.37 | Alpha (0.27) | Risk 2.57 | Sharpe Ratio (0.01) | Expected Return (0.04) |
Moving against Dataproces Stock
| 0.59 | MMG | Mitsui Mining Smelting | PairCorr |
| 0.5 | CLH | CARDINAL HEALTH Earnings Call This Week | PairCorr |
| 0.36 | SSUN | Samsung Electronics Earnings Call Today | PairCorr |
| 0.35 | SSU | Samsung Electronics | PairCorr |
| 0.34 | KBIA | KB Financial Group | PairCorr |
| 0.33 | AI3A | Amadeus IT Group | PairCorr |
| 0.33 | VBO | CGN Mining | PairCorr |
| 0.32 | AI3B | AMADEUS IT GRP | PairCorr |
| 0.32 | FUJA | FUJITSU LTD ADR Earnings Call Today | PairCorr |
Dataproces Group Market Sensitivity And Downside Risk
Dataproces Group's beta coefficient measures the volatility of Dataproces 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 Dataproces stock's returns against your selected market. In other words, Dataproces Group's beta of 0.37 provides an investor with an approximation of how much risk Dataproces Group stock can potentially add to one of your existing portfolios. Dataproces Group AS exhibits very low volatility with skewness of -0.21 and kurtosis of 1.85. Dataproces Group AS is a potential penny stock. Although Dataproces Group 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 Dataproces Group AS. 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 Dataproces 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 Dataproces Group Demand TrendCheck current 90 days Dataproces Group correlation with market (Dow Jones Industrial)Dataproces Group Volatility and Downside Risk
Dataproces 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.
Dataproces Group Stock Volatility Analysis
Volatility refers to the frequency at which Dataproces Group stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Dataproces Group's price changes. Investors will then calculate the volatility of Dataproces 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 Dataproces Group's volatility:
Historical Volatility
This type of stock volatility measures Dataproces Group's fluctuations based on previous trends. It's commonly used to predict Dataproces 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 Dataproces 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 Dataproces 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. Dataproces Group 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.
Dataproces Group Projected Return Density Against Market
Assuming the 90 days horizon Dataproces Group has a beta of 0.3725 suggesting as returns on the market go up, Dataproces Group average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Dataproces Group AS 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 Dataproces Group or Technology 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 Dataproces 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 Dataproces 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.
Dataproces Group AS 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 Dataproces 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 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.Dataproces Group Stock Risk Measures
Assuming the 90 days horizon the coefficient of variation of Dataproces Group is -6803.54. The daily returns are distributed with a variance of 6.6 and standard deviation of 2.57. The mean deviation of Dataproces Group AS is currently at 1.89. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.74
α | Alpha over Dow Jones | -0.27 | |
β | Beta against Dow Jones | 0.37 | |
σ | Overall volatility | 2.57 | |
Ir | Information ratio | -0.11 |
Dataproces Group Stock Return Volatility
Dataproces Group historical daily return volatility represents how much of Dataproces Group stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company shows 2.5699% volatility of returns over 90 . By contrast, Dow Jones Industrial accepts 0.7548% 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
|
Risk-Adjusted Indicators
There is a big difference between Dataproces Stock performing well and Dataproces 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 Dataproces 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| CSA | 1.23 | 0.07 | 0.03 | 0.20 | 1.36 | 3.35 | 8.39 | |||
| IBM | 1.24 | (0.17) | 0.00 | (0.22) | 0.00 | 2.20 | 7.18 | |||
| IBM | 1.44 | (0.18) | 0.00 | (0.19) | 0.00 | 2.24 | 7.76 | |||
| IOY | 1.78 | 0.14 | 0.02 | (0.39) | 1.96 | 3.87 | 16.48 | |||
| CGM | 1.39 | (0.02) | (0.04) | (0.05) | 1.78 | 2.82 | 11.07 | |||
| COZ | 1.47 | 0.29 | 0.14 | (2.65) | 1.23 | 3.54 | 11.30 | |||
| AI3B | 1.21 | (0.23) | 0.00 | 1.90 | 0.00 | 2.44 | 6.52 | |||
| AI3A | 1.07 | (0.26) | 0.00 | (0.73) | 0.00 | 2.30 | 9.14 | |||
| FUJA | 1.53 | (0.08) | 0.00 | (0.18) | 0.00 | 3.54 | 12.01 | |||
| CDW | 1.52 | (0.43) | 0.00 | (1.40) | 0.00 | 2.35 | 10.95 |
About Dataproces Group Volatility
Volatility is a rate at which the price of Dataproces 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 Dataproces Group may increase or decrease. In other words, similar to Dataproces's beta indicator, it measures the risk of Dataproces Group and helps estimate the fluctuations that may happen in a short period of time. So if prices of Dataproces 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.Dataproces Group AS provides IT and consulting services for municipalities and their digital administration. The company was incorporated in 2012 and is based in Nibe, Denmark. DATAPROCES GROUP is traded on Frankfurt Stock Exchange in Germany.
Dataproces 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 Dataproces Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Dataproces Group's price varies over time.
3 ways to utilize Dataproces Group's volatility to invest better
Higher Dataproces 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 Dataproces Group 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. Dataproces Group 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 Dataproces Group investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Dataproces 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 Dataproces Group's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Dataproces Group Investment Opportunity
Dataproces Group AS has a volatility of 2.57 and is 3.43 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of Dataproces Group AS is lower than 23 percent of all global equities and portfolios over the last 90 days. You can use Dataproces Group AS to enhance the returns of your portfolios. The stock experiences a large bullish trend. Check odds of Dataproces Group to be traded at €0.781 in 90 days.Good diversification
The correlation between Dataproces Group AS and DJI is -0.04 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Dataproces Group AS and DJI in the same portfolio, assuming nothing else is changed.
Dataproces Group Additional Risk Indicators
The analysis of Dataproces 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 Dataproces Group's investment and either accepting that risk or mitigating it. Along with some common measures of Dataproces 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 | (0.05) | |||
| Market Risk Adjusted Performance | (0.64) | |||
| Mean Deviation | 2.11 | |||
| Coefficient Of Variation | (1,249) | |||
| Standard Deviation | 2.89 | |||
| Variance | 8.33 | |||
| Information Ratio | (0.11) |
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.
Dataproces 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 Dataproces 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. Dataproces 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, Dataproces 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 Dataproces Group AS.
Complementary Tools for Dataproces Stock analysis
When running Dataproces Group's price analysis, check to measure Dataproces 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 Dataproces Group is operating at the current time. Most of Dataproces Group's value examination focuses on studying past and present price action to predict the probability of Dataproces 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 Dataproces Group's price. Additionally, you may evaluate how the addition of Dataproces Group to your portfolios can decrease your overall portfolio volatility.
| Odds Of Bankruptcy Get analysis of equity chance of financial distress in the next 2 years | |
| Financial Widgets Easily integrated Macroaxis content with over 30 different plug-and-play financial widgets | |
| Competition Analyzer Analyze and compare many basic indicators for a group of related or unrelated entities | |
| Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets | |
| Share Portfolio Track or share privately all of your investments from the convenience of any device | |
| Portfolio Anywhere Track or share privately all of your investments from the convenience of any device | |
| Alpha Finder Use alpha and beta coefficients to find investment opportunities after accounting for the risk | |
| Options Analysis Analyze and evaluate options and option chains as a potential hedge for your portfolios | |
| Headlines Timeline Stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity |