Elme Communities Stock Volatility
| ELME Stock | USD 2.13 0.01 0.47% |
Sharpe Ratio = -0.058
| Leading Returns | Top Quartile | |||
| Strong | ||||
| Moderate | ||||
| Modest | ||||
| Cash | Low | Moderate | Elevated | High |
| Below Benchmark | ELME |
Elme Communities (ELME) recorded a Market Risk Adjusted Performance of -1.4%, a Risk of 1.14, and a Risk Adjusted Performance of -0.1%. Monthly moving average data shows the stock is underperforming relative to its full potential.
Key indicators related to Elme Communities' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Elme Communities (3 Months):
Beta 0.35 | Alpha -0.51 | Risk 1.14 | Sharpe Ratio -0.06 | Expected Return -0.07 |
Moving together with Elme Stock
Moving Against Elme Stock
| 0.62 | AMPY | Amplify Energy Corp | PairCorr |
| 0.54 | WTSHF | Westshore Terminals Earnings Call This Week | PairCorr |
| 0.54 | MYCB | My City Builders | PairCorr |
| 0.54 | AKRBF | Aker BP ASA | PairCorr |
| 0.51 | BRETF | Brazilian Rare Earths | PairCorr |
| 0.43 | IMIAF | IMI plc | PairCorr |
| 0.41 | 05348EBB4 | AVALONBAY CMNTYS INC | PairCorr |
| 0.37 | WEYS | Weyco Group | PairCorr |
| 0.31 | UNP | Union Pacific | PairCorr |
Sensitivity To Market
Elme Communities beta of 0.35 quantifies how much of its total volatility (1.14%) is attributable to market-wide factors versus idiosyncratic drivers. Elme Communities return dispersion over the lookback window shows standard deviation near 3.3% and semi-deviation near 0.0%, providing a baseline for comparison across peer instruments. Options markets imply a forward-looking volatility estimate near 141.0%. This suggests the market is pricing in the possibility of wider future price swings compared to recent historical dispersion. Equity volatility compresses in calm markets and expands quickly when uncertainty increases. Stock dispersion changes materially during earnings seasons and macro data releases.
3 Months Beta |Elme Communities Demand TrendCurrent 90-day Elme Communities correlation with market (Dow Jones Industrial)Downside Risk
Elme daily return dispersion, captured by standard deviation, sets the baseline volatility reading for this instrument. High standard deviation indicates a volatile instrument; low standard deviation indicates a more stable one.
Standard Deviation | 1.14 |
The difference between upside risk and downside risk is meaningful for Elme Communities analysis. Semi-deviation and downside deviation isolate negative return dispersion, providing additional context on loss-specific risk relative to total volatility for Elme Communities. Elme Communities (ELME) recorded a Maximum Drawdown of 27.91.
Elme Put Option Risk Profile Based on 2026-07-17 Contracts
Elme Communities (ELME) recorded an Option Implied Volatility of 1.41 and an Option Max Pain Price of -1. Put options on Elme Communities offset potential price declines in Elme Stock. The put buyer has a limited loss equal to the premium paid for the right to sell Elme Stock at the strike.
Elme Communities' PUT expiring on 2026-07-17
Profit |
| Elme Communities Price At Expiration |
Current Elme Communities Insurance Chain
| Delta | Gamma | Open Int | Expiration | Current Spread | Last Price | |||
| Put | ELME260717P00017500 | 0.0 | 0.0 | 110 | 2026-07-17 | 0.0 - 0.0 | 0.0 | View |
| Put | ELME260717P00002500 | 0.0 | 0.0 | 20 | 2026-07-17 | 0.0 - 2.15 | 0.0 | View |
Stock Volatility Analysis
When measuring the risk of Elme Communities stock, volatility is a critical metric. These fluctuations usually indicate the level of risk associated with Elme Communities' price changes.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Elme Communities's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.
Projected Return Density Against Market
Given a 90-day horizon, Elme Communities has a beta of 0.3542 suggesting as returns on the market go up, Elme Communities's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding Elme Communities tends to be smaller as well.Risk assessment for Elme Communities separates macro-driven volatility from company or sector-specific developments. Market risk cannot be diversified away, though asset-specific exposure can be moderated. Elme Communities (ELME) recorded a Mean Deviation of 1.43, an Option Implied Volatility of 1.41, and a Standard Deviation of 3.30.
Predicted Return Distribution |
| Density |
What Drives Elme Communities' Price Volatility?
Industry Dynamics
Sector-level catalysts in the Residential REITs sector often set the baseline volatility regime for Elme Communities.Political and Economic Environment
Interest-rate path changes, geopolitical developments, and macro surprises influence investor risk tolerance.Elme Communities' Company-Specific Factors
Execution updates, margin trends, and corporate actions can shift near-term return dispersion for Elme Communities'.Stock Risk Measures
Given a 90-day horizon, the coefficient of variation of Elme Communities is -1724.47. The daily returns are distributed with a variance of 1.31 and standard deviation of 1.14. The mean deviation of Elme Communities is currently at 0.9. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.94
α | Alpha over Dow Jones | -0.5113 | |
β | Beta against Dow Jones | 0.35 | |
σ | Overall volatility | 1.14 | |
Ir | Information ratio | -0.1547 |
Stock Return Volatility
Elme Communities daily volatility tracks how widely stock returns have moved around the mean across the selected time frame. The firm reflects 1.1439% volatility on return distribution over a 90-day horizon. On the other hand, Dow Jones Industrial reported 0.9502% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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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
Return momentum in Elme Stock is more useful when tested against peer-relative fundamentals and risk. Without risk-adjusted context, short-term returns may appear stronger than the volatility required to achieve them would suggest. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| PGRE | 0.15 | 0.01 | 0.03 | 0.18 | 0.08 | 0.31 | 0.92 | |||
| ARR | 1.32 | 0.00 | 0.00 | 0.00 | 2.09 | 2.71 | 9.64 | |||
| JBGS | 1.34 | -0.18 | 0.00 | -0.58 | 0.00 | 2.82 | 6.80 | |||
| EPR | 1.32 | 0.05 | 0.03 | 0.10 | 1.79 | 2.75 | 9.86 | |||
| TRTX | 1.08 | -0.08 | 0.00 | 0.33 | 0.00 | 2.08 | 5.59 | |||
| IIPR | 1.61 | 0.17 | 0.09 | -0.68 | 1.78 | 3.46 | 14.45 | |||
| UNIT | 2.46 | 0.73 | 0.25 | -8.92 | 2.32 | 6.72 | 17.56 | |||
| PDM | 1.80 | -0.04 | 0.00 | -0.04 | 0.00 | 4.11 | 11.90 | |||
| GTY | 1.04 | 0.21 | 0.11 | 1.11 | 1.65 | 2.06 | 13.42 | |||
| EFC | 1.02 | -0.05 | 0.00 | 0.22 | 0.00 | 2.13 | 6.18 |
Risk Metrics, Assumptions & Methodology
Drawdown depth for Elme Communities defines the worst peak-to-trough loss observed, framing downside volatility in practical terms. Drawdown frequency and clustering help distinguish episodic stress from persistent volatility regimes. Elme Communities has a market cap of 188.38 M, ROE of -13.42%.
Elme Communities metrics draw on periodic company reporting and market reference feeds, standardized for cross-period comparison. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Rifka Kats, Member of Macroaxis Editorial Board
Elme Communities Volatility Profile Summary
Recent data suggests that Elme Communities is more volatile than Dow Jones Industrial by approximately 1.2x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 10% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Elme Communities with characteristics aligned to broad market upside participation. This price-change note interprets the latest move in the context of short-horizon trading behavior. It gives extra weight to the size of the move, the quote level, and whether the instrument trades in a hype-prone venue. a normal upward fluctuation. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Elme Communities probability analysis.
Weak diversification
The correlation between Elme Communities and Dow Jones is 0.41, which Macroaxis classifies as Weak diversification for the selected horizon. This chart measures the degree of risk overlap between Elme Communities and Dow Jones.
Elme Communities Additional Risk Indicators
Secondary risk indicators for Elme Communities evaluate exposure beyond standard deviation, beta, or one headline volatility measure. These measures support both standalone risk assessment and portfolio-level analysis.
| Risk Adjusted Performance | -0.14 | |||
| Market Risk Adjusted Performance | -1.43 | |||
| Mean Deviation | 1.43 | |||
| Coefficient Of Variation | -657.98 | |||
| Standard Deviation | 3.3 | |||
| Variance | 10.89 | |||
| Information Ratio | -0.15 |
Elme Communities Suggested Diversification Pairs
A pair-trading setup around Elme Communities shifts the return benchmark from the broad market to a second position, altering the risk profile. The advantage is that adverse movement in one leg may be partly offset by the other when correlation and thesis alignment hold.
Pair strategies reduce risk, but not all risk is diversifiable through pairing. Market-level risk for Elme Communities persists even in a well-constructed pair. The benefit is in offsetting Elme Communities' company-specific risk, which can be meaningfully reduced by selecting a second position that moves independently of Elme Communities.