Impac Mortgage Holdings Stock Volatility
| IMPM Stock | 0.05 0.01 25.00% |
Impac Mortgage is out of control given 3 months investment horizon. Impac Mortgage Holdings holds Efficiency (Sharpe) Ratio of 0.13, which attests that the entity had a 0.13% return per unit of risk over the last 3 months. We were able to interpolate data for thirty different technical indicators, which can help you to evaluate if expected returns of 2.54% are justified by taking the suggested risk. Use Impac Mortgage Holdings Downside Deviation of 23.6, market risk adjusted performance of (0.40), and Risk Adjusted Performance of 0.0793 to evaluate company specific risk that cannot be diversified away.
Impac |
Impac Mortgage Pink Sheet 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 Impac daily returns, and it is calculated using variance and standard deviation. We also use Impac's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Impac Mortgage volatility.
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Impac Mortgage 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 Impac Mortgage at lower prices. For example, an investor can purchase Impac 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 Impac Mortgage'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 Impac Pink Sheet
| 0.38 | MCD | McDonalds Fiscal Year End 3rd of February 2025 | PairCorr |
Impac Mortgage Market Sensitivity And Downside Risk
Impac Mortgage's beta coefficient measures the volatility of Impac pink sheet 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 Impac pink sheet's returns against your selected market. In other words, Impac Mortgage's beta of -4.38 provides an investor with an approximation of how much risk Impac Mortgage pink sheet can potentially add to one of your existing portfolios. Impac Mortgage Holdings is showing large volatility of returns over the selected time horizon. Impac Mortgage Holdings is a penny stock. Although Impac Mortgage may be in fact a good investment, many penny pink sheets are subject to artificial price hype. Make sure you completely understand the upside potential and downside risk of investing in Impac Mortgage Holdings. We encourage investors to look for signals such as message board hypes, claims of breakthroughs, email spams, sudden volume upswings, and other similar hype indicators. We also encourage traders to check biographies and work history of company officers before investing in instruments with high volatility. You can indeed make money on Impac instrument if you perfectly time your entry and exit. However, remember that penny pink sheets that have been the subject of artificial hype usually unable to maintain their increased share price for more than just a few days. The price of a promoted high volatility instrument will almost always revert back. The only way to increase shareholder value is through legitimate performance backed up by solid fundamentals.
3 Months Beta |Analyze Impac Mortgage Holdings Demand TrendCheck current 90 days Impac Mortgage correlation with market (Dow Jones Industrial)Impac Beta |
Impac 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 | 19.71 |
It is essential to understand the difference between upside risk (as represented by Impac Mortgage's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Impac Mortgage's daily returns or price. Since the actual investment returns on holding a position in impac pink sheet 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 Impac Mortgage.
Impac Mortgage Holdings Pink Sheet Volatility Analysis
Volatility refers to the frequency at which Impac Mortgage pink sheet price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Impac Mortgage's price changes. Investors will then calculate the volatility of Impac Mortgage's pink sheet to predict their future moves. A pink sheet that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A pink sheet with relatively stable price changes has low volatility. A highly volatile pink sheet 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 Impac Mortgage's volatility:
Historical Volatility
This type of pink sheet volatility measures Impac Mortgage's fluctuations based on previous trends. It's commonly used to predict Impac Mortgage's future behavior based on its past. However, it cannot conclusively determine the future direction of the pink sheet.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Impac Mortgage's current market price. This means that the pink sheet will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Impac Mortgage'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. Impac Mortgage Holdings 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.
Impac Mortgage Projected Return Density Against Market
Given the investment horizon of 90 days Impac Mortgage Holdings has a beta of -4.3785 . This usually indicates as returns on its benchmark rise, returns on holding Impac Mortgage Holdings are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Impac Mortgage is expected to outperform its benchmark.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 Impac Mortgage or Impac 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 Impac Mortgage's price will be affected by overall pink sheet 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 Impac pink sheet'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.
Impac Mortgage Holdings has an alpha of 2.3683, implying that it can generate a 2.37 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives an Impac Mortgage Price Volatility?
Several factors can influence a pink sheet'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.Impac Mortgage Pink Sheet Risk Measures
Given the investment horizon of 90 days the coefficient of variation of Impac Mortgage is 775.75. The daily returns are distributed with a variance of 388.59 and standard deviation of 19.71. The mean deviation of Impac Mortgage Holdings is currently at 13.16. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | 2.37 | |
β | Beta against Dow Jones | -4.38 | |
σ | Overall volatility | 19.71 | |
Ir | Information ratio | 0.08 |
Impac Mortgage Pink Sheet Return Volatility
Impac Mortgage historical daily return volatility represents how much of Impac Mortgage pink sheet's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm inherits 19.7128% risk (volatility on return distribution) over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7502% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Impac Mortgage Investment Opportunity
Impac Mortgage Holdings has a volatility of 19.71 and is 26.28 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of Impac Mortgage Holdings is higher than 96 percent of all global equities and portfolios over the last 90 days. You can use Impac Mortgage Holdings to enhance the returns of your portfolios. The pink sheet experiences a very speculative upward sentiment. The trend is possibly hyped up. Check odds of Impac Mortgage to be traded at 0.0625 in 90 days.Good diversification
The correlation between Impac Mortgage Holdings and DJI is -0.17 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Impac Mortgage Holdings and DJI in the same portfolio, assuming nothing else is changed.
Impac Mortgage Additional Risk Indicators
The analysis of Impac Mortgage'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 Impac Mortgage's investment and either accepting that risk or mitigating it. Along with some common measures of Impac Mortgage pink sheet'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 | 0.0793 | |||
| Market Risk Adjusted Performance | (0.40) | |||
| Mean Deviation | 12.91 | |||
| Semi Deviation | 12.99 | |||
| Downside Deviation | 23.6 | |||
| Coefficient Of Variation | 1096.65 | |||
| Standard Deviation | 19.95 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential pink sheets, we recommend comparing similar pink sheets with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Impac Mortgage 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.
| Visa vs. Impac Mortgage | ||
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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 Impac Mortgage 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. Impac Mortgage'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, Impac Mortgage'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 Impac Mortgage Holdings.