Digi International Stock Volatility
| DGII Stock | USD 42.86 0.52 1.23% |
Digi International is very steady at the moment. Digi International secures Sharpe Ratio (or Efficiency) of 0.089, which denotes the company had a 0.089 % return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Digi International, which you can use to evaluate the volatility of the firm. Please confirm Digi International's Mean Deviation of 1.67, downside deviation of 2.18, and Coefficient Of Variation of 1123.77 to check if the risk estimate we provide is consistent with the expected return of 0.19%.
Sharpe Ratio = 0.089
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Based on monthly moving average Digi International is performing at about 7% of its full potential. 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 Digi International by adding it to a well-diversified portfolio.
Key indicators related to Digi International's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Digi International 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 Digi daily returns, and it is calculated using variance and standard deviation. We also use Digi's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Digi International volatility.
Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Digi International at lower prices. For example, an investor can purchase Digi stock that has halved in price over a short period. This will lower their average cost per share, thereby improving the overall portfolio performance when market normalizes. Main indicators related to Digi International's market risk premium analysis include:
Beta 0.89 | Alpha 0.12 | Risk 2.15 | Sharpe Ratio 0.089 | Expected Return 0.19 |
Moving together with Digi Stock
| 0.79 | PPERF | Bank Mandiri Persero | PairCorr |
| 0.68 | JNJ | Johnson Johnson | PairCorr |
| 0.7 | MCD | McDonalds | PairCorr |
| 0.63 | MRK | Merck Company Earnings Call Next Week | PairCorr |
Moving against Digi Stock
| 0.72 | BKRKY | Bank Rakyat | PairCorr |
| 0.62 | PBCRY | Bank Central Asia | PairCorr |
| 0.46 | PG | Procter Gamble | PairCorr |
| 0.37 | BKRKF | PT Bank Rakyat | PairCorr |
Digi International Market Sensitivity And Downside Risk
Digi International's beta coefficient measures the volatility of Digi 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 Digi stock's returns against your selected market. In other words, Digi International's beta of 0.89 provides an investor with an approximation of how much risk Digi International stock can potentially add to one of your existing portfolios. Digi International currently demonstrates below-average downside deviation. It has Information Ratio of 0.05 and Jensen Alpha of 0.12. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Digi International'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 Digi International'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 Digi International Demand TrendCheck current 90 days Digi International correlation with market (Dow Jones Industrial)Digi International Volatility and Downside Risk
Digi 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.
Digi International Stock Volatility Analysis
Volatility refers to the frequency at which Digi International stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Digi International's price changes. Investors will then calculate the volatility of Digi International'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 Digi International's volatility:
Historical Volatility
This type of stock volatility measures Digi International's fluctuations based on previous trends. It's commonly used to predict Digi International'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 Digi International'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 Digi International'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. Digi International 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.
Digi International Projected Return Density Against Market
Given the investment horizon of 90 days Digi International has a beta of 0.8879 suggesting Digi International market returns are responsive to returns on the market. As the market goes up or down, Digi International 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 Digi International or Communications Equipment 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 Digi International'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 Digi 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.
Digi International has an alpha of 0.1179, implying that it can generate a 0.12 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Digi International 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.Digi International Stock Risk Measures
Given the investment horizon of 90 days the coefficient of variation of Digi International is 1123.77. The daily returns are distributed with a variance of 4.6 and standard deviation of 2.15. The mean deviation of Digi International is currently at 1.67. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.73
α | Alpha over Dow Jones | 0.12 | |
β | Beta against Dow Jones | 0.89 | |
σ | Overall volatility | 2.15 | |
Ir | Information ratio | 0.05 |
Digi International Stock Return Volatility
Digi International historical daily return volatility represents how much of Digi International stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm inherits 2.1453% risk (volatility on return distribution) over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7412% 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 Digi Stock performing well and Digi International 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 Digi International'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| HLIT | 1.64 | (0.12) | 0.00 | (0.02) | 0.00 | 3.24 | 11.35 | |||
| KARO | 1.65 | 0.09 | 0.05 | 0.17 | 1.61 | 5.56 | 10.32 | |||
| ATEN | 1.16 | (0.07) | 0.00 | (0.04) | 0.00 | 2.02 | 6.88 | |||
| CTS | 1.43 | 0.25 | 0.14 | 0.23 | 1.60 | 3.37 | 8.33 | |||
| TUYA | 2.01 | (0.20) | 0.00 | (0.06) | 0.00 | 4.87 | 16.88 | |||
| VRNT | 0.15 | 0.05 | (0.10) | (6.30) | 0.00 | 0.20 | 1.33 | |||
| MXL | 2.72 | 0.17 | 0.07 | 0.16 | 3.20 | 6.20 | 15.00 | |||
| PLTK | 1.77 | 0.03 | 0.00 | 0.12 | 2.19 | 3.69 | 17.80 | |||
| GILT | 2.63 | 0.24 | 0.11 | 0.17 | 2.81 | 5.49 | 15.73 | |||
| AMPL | 2.19 | 0.03 | 0.01 | 0.09 | 2.52 | 4.19 | 14.37 |
About Digi International Volatility
Volatility is a rate at which the price of Digi International 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 Digi International may increase or decrease. In other words, similar to Digi's beta indicator, it measures the risk of Digi International and helps estimate the fluctuations that may happen in a short period of time. So if prices of Digi International 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.Digi International Inc. provides business and mission-critical Internet of Things products, services, and solutions in the United States and internationally. Digi International Inc. was incorporated in 1985 and is headquartered in Hopkins, Minnesota. Digi Intl operates under Communication Equipment classification in the United States and is traded on NASDAQ Exchange. It employs 659 people.
Digi International'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 Digi Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Digi International's price varies over time.
3 ways to utilize Digi International's volatility to invest better
Higher Digi International's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Digi International 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. Digi International 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 Digi International investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Digi International'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 Digi International's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Digi International Investment Opportunity
Digi International has a volatility of 2.15 and is 2.91 times more volatile than Dow Jones Industrial. 19 percent of all equities and portfolios are less risky than Digi International. You can use Digi International to enhance the returns of your portfolios. The stock experiences a large bullish trend. Check odds of Digi International to be traded at $47.15 in 90 days.Very weak diversification
The correlation between Digi International and DJI is 0.48 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Digi International and DJI in the same portfolio, assuming nothing else is changed.
Digi International Additional Risk Indicators
The analysis of Digi International'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 Digi International's investment and either accepting that risk or mitigating it. Along with some common measures of Digi International 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 | 0.0719 | |||
| Market Risk Adjusted Performance | 0.2137 | |||
| Mean Deviation | 1.67 | |||
| Semi Deviation | 2.01 | |||
| Downside Deviation | 2.18 | |||
| Coefficient Of Variation | 1123.77 | |||
| Standard Deviation | 2.15 |
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.
Digi International 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 Digi International 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. Digi International'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, Digi International'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 Digi International.
Complementary Tools for Digi Stock analysis
When running Digi International's price analysis, check to measure Digi International'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 Digi International is operating at the current time. Most of Digi International's value examination focuses on studying past and present price action to predict the probability of Digi International's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Digi International's price. Additionally, you may evaluate how the addition of Digi International to your portfolios can decrease your overall portfolio volatility.
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