IMC SA (Poland) Volatility
| IMC Stock | 13.20 0.05 0.38% |
Currently, IMC SA is somewhat reliable. IMC SA retains Efficiency (Sharpe Ratio) of 0.0187, which attests that the entity had a 0.0187% return per unit of return volatility over the last 3 months. We have found twenty-eight technical indicators for IMC SA, which you can use to evaluate the volatility of the firm. Please check out IMC SA's Downside Deviation of 2.77, market risk adjusted performance of 2.4, and Semi Deviation of 2.4 to validate if the risk estimate we provide is consistent with the expected return of 0.0571%.
IMC |
IMC SA 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 IMC daily returns, and it is calculated using variance and standard deviation. We also use IMC's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of IMC SA volatility.
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as IMC SA can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of IMC SA at lower prices. For example, an investor can purchase IMC stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of IMC SA's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.
Moving against IMC Stock
| 0.81 | KGH | KGHM Polska Miedz | PairCorr |
| 0.57 | PCO | Pepco Group BV | PairCorr |
| 0.44 | UCG | UniCredit SpA | PairCorr |
| 0.42 | SAN | Banco Santander SA | PairCorr |
| 0.38 | ALE | Allegroeu SA | PairCorr |
IMC SA Market Sensitivity And Downside Risk
IMC SA's beta coefficient measures the volatility of IMC 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 IMC stock's returns against your selected market. In other words, IMC SA's beta of 0.095 provides an investor with an approximation of how much risk IMC SA stock can potentially add to one of your existing portfolios. IMC SA currently demonstrates below-average downside deviation. It has Information Ratio of 0.03 and Jensen Alpha of 0.21. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure IMC SA'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 IMC SA'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 IMC SA Demand TrendCheck current 90 days IMC SA correlation with market (Dow Jones Industrial)IMC Beta |
IMC 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 | 3.06 |
It is essential to understand the difference between upside risk (as represented by IMC SA's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of IMC SA's daily returns or price. Since the actual investment returns on holding a position in imc 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 IMC SA.
IMC SA Stock Volatility Analysis
Volatility refers to the frequency at which IMC SA stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with IMC SA's price changes. Investors will then calculate the volatility of IMC SA'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 IMC SA's volatility:
Historical Volatility
This type of stock volatility measures IMC SA's fluctuations based on previous trends. It's commonly used to predict IMC SA'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 IMC SA'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 IMC SA'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. IMC SA 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.
IMC SA Projected Return Density Against Market
Assuming the 90 days trading horizon IMC SA has a beta of 0.095 . This usually indicates as returns on the market go up, IMC SA average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding IMC SA 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 IMC SA or IMC 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 IMC SA'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 IMC 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.
IMC SA has an alpha of 0.2147, implying that it can generate a 0.21 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives an IMC SA 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.IMC SA Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of IMC SA is 5359.4. The daily returns are distributed with a variance of 9.37 and standard deviation of 3.06. The mean deviation of IMC SA is currently at 2.19. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | 0.21 | |
β | Beta against Dow Jones | 0.1 | |
σ | Overall volatility | 3.06 | |
Ir | Information ratio | 0.03 |
IMC SA Stock Return Volatility
IMC SA historical daily return volatility represents how much of IMC SA stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The enterprise accepts 3.0606% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7444% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
IMC SA Investment Opportunity
IMC SA has a volatility of 3.06 and is 4.14 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of IMC SA is lower than 27 percent of all global equities and portfolios over the last 90 days. You can use IMC SA to protect your portfolios against small market fluctuations. The stock experiences a normal downward trend and little activity. Check odds of IMC SA to be traded at 13.07 in 90 days.Significant diversification
The correlation between IMC SA and DJI is 0.02 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding IMC SA and DJI in the same portfolio, assuming nothing else is changed.
IMC SA Additional Risk Indicators
The analysis of IMC SA'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 IMC SA's investment and either accepting that risk or mitigating it. Along with some common measures of IMC SA 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 | 0.0654 | |||
| Market Risk Adjusted Performance | 2.4 | |||
| Mean Deviation | 2.32 | |||
| Semi Deviation | 2.4 | |||
| Downside Deviation | 2.77 | |||
| Coefficient Of Variation | 1321.73 | |||
| Standard Deviation | 3.13 |
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.
IMC SA 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.
| Ford vs. IMC SA | ||
| GM vs. IMC SA | ||
| Dupont De vs. IMC SA | ||
| Bank of America vs. IMC SA | ||
| Citigroup vs. IMC SA | ||
| Visa vs. IMC SA | ||
| Alphabet vs. IMC SA | ||
| Microsoft vs. IMC SA | ||
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 IMC SA 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. IMC SA'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, IMC SA'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 IMC SA.
Additional Tools for IMC Stock Analysis
When running IMC SA's price analysis, check to measure IMC SA'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 IMC SA is operating at the current time. Most of IMC SA's value examination focuses on studying past and present price action to predict the probability of IMC SA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move IMC SA's price. Additionally, you may evaluate how the addition of IMC SA to your portfolios can decrease your overall portfolio volatility.