Gap (Germany) Volatility
| GAP Stock | EUR 19.44 -0.08 -0.41% |
The Gap remains associated with a minimal volatility profile over the chosen period. It exhibits a Sharpe Ratio (Efficiency) of -0.0568, demonstrating unfavorable reward-to-risk behavior over the last 3 months. Current volatility conditions are reflected in 21 technical indicators.
Sharpe Ratio = -0.0568
| High Returns | Best Equity | |||
| Good Returns | ||||
| Average Returns | ||||
| Small Returns | ||||
| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | GAP |
Estimated Market Risk
| 3.1 actual daily | 27 73% of assets are more volatile |
Expected Return
| -0.18 actual daily | 0 Most of other assets have higher returns |
Risk-Adjusted Return
| -0.06 actual daily | 0 Most of other assets perform better |
The Gap posted a Market Risk Adjusted Performance of -0.8%, a Risk of 3.10, and a Risk Adjusted Performance of -0.1% for the reported period. Monthly moving average data shows Gap is underperforming relative to its full potential. A well-diversified portfolio allocation can mitigate market risk and improve expected return.
Key indicators related to Gap's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
For options traders, Gap's implied volatility surface provides a forward-looking estimate of future price dispersion. When implied volatility for Gap is significantly above realized volatility, options premiums may be elevated relative to historical norms.
Gap |
Gap Volatility Strategy
The Gap return movement contributes differently across allocation frameworks. Current statistical measures show total volatility near 3.1% with a beta coefficient of 0.31, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.0568, evaluates return per unit of total risk. An alpha value of -0.23 reflects performance relative to systematic market exposure. Expected return estimates near -0.18% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Industry trends may alter price sensitivity.
Main indicators related to Gap's market risk premium analysis include:
Beta 0.31 | Alpha -0.23 | Risk 3.1 | Sharpe Ratio -0.06 | Expected Return -0.18 |
Gap Sensitivity To Market
Gap'sThe Gap market-relative volatility is reflected in its beta of 0.31. This value results from regression analysis against benchmark returns. Total dispersion currently approximates 3.1%.The Gap has shown return movement that ranges from typical to sharp depending on market conditions. Current dispersion statistics include standard deviation near 3.0%. This stock section uses plain language to describe measured variability and downside movement.
3 Months Beta |Analyze Gap Demand TrendCheck current 90 days Gap correlation with market (Dow Jones Industrial)Gap Downside Risk
The standard deviation of Gap prices measures volatility as the average daily spread from the mean over your selected horizon. High standard deviation implies high volatility; low standard deviation implies price stability.
Standard Deviation | 3.1 |
For a complete risk picture of Gap, investors should examine both standard deviation (upside risk proxy) and downside deviation or semi-deviation of Gap's returns (downside risk proxy). The Gap posted a Maximum Drawdown of 18.31 for the reported period.
Gap Stock Volatility Analysis
Understanding Gap volatility allows investors to better quantify the risk of holding Gap's stock. Volatility metrics help portfolio managers set stop-losses and size positions appropriately for Gap.
Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Gap 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.
Gap Projected Return Density Against Market
Assuming a 90-day horizon Gap has a beta of 0.3116 . This usually indicates as returns on the market go up, Gap's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding The Gap is expected to be smaller as well.Both systematic and unsystematic risks influence Gap. Market-wide movements drive the former, while company or sector-specific developments drive the latter. Beta estimates market responsiveness. The Gap posted a Mean Deviation of 2.12 and a Standard Deviation of 3.00 for the reported period.
Predicted Return Density |
| Returns |
What Drives a Gap 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 investor attention to the company. This positive attention may impact the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Gap Stock Risk Measures
Assuming a 90-day horizon the coefficient of variation of Gap is -1760.32. The daily returns are distributed with a variance of 9.63 and standard deviation of 3.1. The mean deviation of The Gap is currently at 2.2. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.77
α | Alpha over Dow Jones | -0.2341 | |
β | Beta against Dow Jones | 0.31 | |
σ | Overall volatility | 3.10 | |
Ir | Information ratio | -0.0752 |
Gap Stock Return Volatility
Gap historical daily return volatility represents how much of Gap stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company shows 3.1024% volatility of returns over 90 trading days. By contrast, Dow Jones Industrial accepts 0.7724% volatility on return distribution over a 90-day 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 Gap Stock performing well and Gap 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 Gap'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| 1WT | 1.91 | 0.62 | 0.25 | 0.81 | 1.86 | 4.55 | 13.99 | |||
| 14D | 2.88 | 0.06 | 0.00 | 0.00 | 4.30 | 5.88 | 56.92 | |||
| WS11 | 2.55 | 0.02 | 0.01 | 0.01 | 3.04 | 6.27 | 17.20 | |||
| TGE1 | 1.23 | 0.42 | 0.21 | 2.93 | 1.50 | 3.06 | 9.56 | |||
| RCI | 1.26 | 0.06 | 0.04 | -0.52 | 1.42 | 2.94 | 9.53 | |||
| E3B | 3.41 | 0.13 | 0.03 | 0.19 | 3.71 | 11.42 | 23.38 | |||
| 1G3 | 1.15 | -0.04 | 0.00 | 0.37 | 0.00 | 2.52 | 9.38 | |||
| NU42 | 2.56 | -0.34 | 0.00 | 0.24 | 0.00 | 5.50 | 35.15 |
About Gap Volatility Analysis
Volatility for Gap measures return dispersion and uncertainty over time. Volatility contraction can precede expansion under certain regimes. Gap has market cap of 7.23 B, P/E of 5.87, ROE of 23.1%.
Unless otherwise specified, financial data for The Gap is derived from periodic company reporting (annual and quarterly where available). Asset-level metrics are computed daily by Macroaxis LLC and refreshed regularly based on asset type. Updates may occur throughout the day.
Gap Investment Opportunity
Measured over the selected horizon, The Gap carries roughly 4.03 times the return volatility of Dow Jones Industrial. That added volatility may be acceptable only if the position is expected to deliver stronger return efficiency or diversification value.You can use The Gap to protect your portfolios against small market fluctuations. This short-horizon strategy note focuses on what the latest move may imply for immediate trading context. It is most useful when combined with broader risk controls and position-sizing discipline. a normal downward trend and little activity. Check odds of Gap to be traded at €19.25 in 90 days.Very weak diversification
Across the chosen horizon, GAP and DJI show a correlation of 0.49 and fall into the Very weak diversification bucket. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.
Gap Additional Risk Indicators
Risk analysis around The Gap becomes more useful when investors review secondary indicators that can confirm, refine, or challenge the basic volatility picture. Used correctly, these measures can support both standalone risk assessment and portfolio-level hedging decisions.
| Risk Adjusted Performance | -0.05 | |||
| Market Risk Adjusted Performance | -0.75 | |||
| Mean Deviation | 2.12 | |||
| Coefficient Of Variation | -1,314 | |||
| Standard Deviation | 3.0 | |||
| Variance | 8.99 | |||
| Information Ratio | -0.08 |
Gap Suggested Diversification Pairs
Pair trading with Gap can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
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 Gap 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. Gap'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, Gap'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 The Gap.
Popular Tools for Gap Stock analysis
| Cryptocurrency Center Build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency | |
| Financial Widgets Easily integrated Macroaxis content with over 30 different plug-and-play financial widgets | |
| Portfolio Center All portfolio management and optimization tools to improve performance of your portfolios | |
| Portfolio Optimization Compute new portfolio that will generate highest expected return given your specified tolerance for risk | |
| Portfolio Analyzer Portfolio analysis module that provides access to portfolio diagnostics and optimization engine | |
| Volatility Analysis Get historical volatility and risk analysis based on latest market data | |
| Price Transformation Use Price Transformation models to analyze the depth of different equity instruments across global markets |