Foot Locker Stock Volatility
| FL Stock | USD 23.13 0.68 3.03% |
Foot Locker secures Sharpe Ratio (or Efficiency) of -0.17, which denotes the company had a -0.17% return per unit of risk over the last 3 months. Foot Locker exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Foot Locker's Variance of 8.64, standard deviation of 2.94, and Mean Deviation of 2.18 to check the risk estimate we provide. Key indicators related to Foot Locker's volatility include:
30 Days Market Risk | Chance Of Distress | 30 Days Economic Sensitivity |
Foot Locker 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 Foot daily returns, and it is calculated using variance and standard deviation. We also use Foot's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Foot Locker volatility.
Foot |
ESG Sustainability
While most ESG disclosures are voluntary, Foot Locker's sustainability indicators can be used to identify proper investment strategies using environmental, social, and governance scores that are crucial to Foot Locker's managers and investors.Environmental | Governance | Social |
Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Foot Locker at lower prices. For example, an investor can purchase Foot 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.
Moving together with Foot Stock
Moving against Foot Stock
| 0.71 | HD | Home Depot | PairCorr |
| 0.51 | PLCE | Childrens Place | PairCorr |
| 0.5 | RMBL | RumbleON | PairCorr |
| 0.47 | LAD | Lithia Motors | PairCorr |
| 0.46 | TTSH | Tile Shop Holdings | PairCorr |
| 0.38 | PDD | PDD Holdings Earnings Call Tomorrow | PairCorr |
| 0.36 | DORM | Dorman Products | PairCorr |
Foot Locker Market Sensitivity And Downside Risk
Foot Locker's beta coefficient measures the volatility of Foot 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 Foot stock's returns against your selected market. In other words, Foot Locker's beta of 1.3 provides an investor with an approximation of how much risk Foot Locker stock can potentially add to one of your existing portfolios. Foot Locker exhibits very low volatility with skewness of -0.34 and kurtosis of 1.28. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Foot Locker'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 Foot Locker'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 Foot Locker Demand TrendCheck current 90 days Foot Locker correlation with market (Dow Jones Industrial)Foot Beta |
Foot 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 | 2.98 |
It is essential to understand the difference between upside risk (as represented by Foot Locker's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Foot Locker's daily returns or price. Since the actual investment returns on holding a position in foot 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 Foot Locker.
Foot Locker Stock Volatility Analysis
Volatility refers to the frequency at which Foot Locker stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Foot Locker's price changes. Investors will then calculate the volatility of Foot Locker'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 Foot Locker's volatility:
Historical Volatility
This type of stock volatility measures Foot Locker's fluctuations based on previous trends. It's commonly used to predict Foot Locker'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 Foot Locker'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 Foot Locker'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. Foot Locker 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.
Foot Locker Projected Return Density Against Market
Allowing for the 90-day total investment horizon the stock has the beta coefficient of 1.2988 . This usually indicates as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Foot Locker will likely underperform.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 Foot Locker or Specialty Retail 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 Foot Locker'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 Foot 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.
Foot Locker 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 Foot Locker 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.Foot Locker Stock Risk Measures
Allowing for the 90-day total investment horizon the coefficient of variation of Foot Locker is -596.39. The daily returns are distributed with a variance of 8.91 and standard deviation of 2.98. The mean deviation of Foot Locker is currently at 2.24. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.77
α | Alpha over Dow Jones | -0.66 | |
β | Beta against Dow Jones | 1.30 | |
σ | Overall volatility | 2.98 | |
Ir | Information ratio | -0.21 |
Foot Locker Stock Return Volatility
Foot Locker historical daily return volatility represents how much of Foot Locker stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company accepts 2.9841% 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 Foot Locker Volatility
Volatility is a rate at which the price of Foot Locker 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 Foot Locker may increase or decrease. In other words, similar to Foot's beta indicator, it measures the risk of Foot Locker and helps estimate the fluctuations that may happen in a short period of time. So if prices of Foot Locker 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.| Last Reported | Projected for Next Year | ||
| Selling And Marketing Expenses | 83 M | 103.4 M | |
| Market Cap | 3.5 B | 3.1 B |
Foot Locker'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 Foot Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Foot Locker's price varies over time.
3 ways to utilize Foot Locker's volatility to invest better
Higher Foot Locker's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Foot Locker 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. Foot Locker 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 Foot Locker investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Foot Locker'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 Foot Locker's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Foot Locker Investment Opportunity
Foot Locker has a volatility of 2.98 and is 3.87 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of Foot Locker is lower than 26 percent of all global equities and portfolios over the last 90 days. You can use Foot Locker to enhance the returns of your portfolios. The stock experiences an unexpected upward trend. Watch out for market signals. Check odds of Foot Locker to be traded at $27.76 in 90 days.Weak diversification
The correlation between Foot Locker and DJI is 0.34 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Foot Locker and DJI in the same portfolio, assuming nothing else is changed.
Foot Locker Additional Risk Indicators
The analysis of Foot Locker'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 Foot Locker's investment and either accepting that risk or mitigating it. Along with some common measures of Foot Locker 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 | (0.12) | |||
| Market Risk Adjusted Performance | (0.38) | |||
| Mean Deviation | 2.18 | |||
| Coefficient Of Variation | (597.41) | |||
| Standard Deviation | 2.94 | |||
| Variance | 8.64 | |||
| Information Ratio | (0.21) |
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.
Foot Locker 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 Foot Locker 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. Foot Locker'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, Foot Locker'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 Foot Locker.
Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Foot Locker. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in bureau of economic analysis. For more information on how to buy Foot Stock please use our How to buy in Foot Stock guide.You can also try the Premium Stories module to follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.
Is Specialty Retail space expected to grow? Or is there an opportunity to expand the business' product line in the future? Factors like these will boost the valuation of Foot Locker. If investors know Foot will grow in the future, the company's valuation will be higher. The financial industry is built on trying to define current growth potential and future valuation accurately. All the valuation information about Foot Locker listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.
Quarterly Earnings Growth (0.78) | Earnings Share (3.88) | Revenue Per Share 86.173 | Quarterly Revenue Growth 0.019 | Return On Assets 0.0118 |
The market value of Foot Locker is measured differently than its book value, which is the value of Foot that is recorded on the company's balance sheet. Investors also form their own opinion of Foot Locker's value that differs from its market value or its book value, called intrinsic value, which is Foot Locker's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Foot Locker's market value can be influenced by many factors that don't directly affect Foot Locker's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Foot Locker's value and its price as these two are different measures arrived at by different means. Investors typically determine if Foot Locker is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Foot Locker's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.