ITSA3F (Brazil) Volatility
| ITSA3F Stock | BRL 12.21 0.03 0.25% |
At this point, ITSA3F is not too volatile. ITSA3F holds Efficiency (Sharpe) Ratio of 0.0847, which attests that the entity had a 0.0847 % return per unit of volatility over the last 3 months. We have found twenty-eight technical indicators for ITSA3F, which you can use to evaluate the volatility of the firm. Please check out ITSA3F's market risk adjusted performance of (0.47), and Risk Adjusted Performance of 0.0795 to validate if the risk estimate we provide is consistent with the expected return of 0.14%.
ITSA3F |
ITSA3F 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 ITSA3F daily returns, and it is calculated using variance and standard deviation. We also use ITSA3F's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of ITSA3F volatility.
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as ITSA3F can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game as hey may decide to buy additional stocks of ITSA3F at lower prices to lower their average cost per share. Similarly, when the prices of ITSA3F's stock rise, investors can sell out and invest the proceeds in other equities with better opportunities. Main indicators related to ITSA3F's market risk premium analysis include:
Beta (0.31) | Alpha 0.17 | Risk 1.64 | Sharpe Ratio 0.0847 | Expected Return 0.14 |
Moving together with ITSA3F Stock
| 0.62 | UPSS34 | United Parcel Service Earnings Call This Week | PairCorr |
| 0.65 | N2LY34 | Annaly Capital Management Earnings Call This Week | PairCorr |
| 0.68 | JSLG3 | JSL SA | PairCorr |
Moving against ITSA3F Stock
| 0.68 | JDCO34 | JD Inc | PairCorr |
| 0.63 | HOME34 | Home Depot | PairCorr |
| 0.61 | K1RC34 | The Kroger | PairCorr |
| 0.37 | BABA34 | Alibaba Group Holding | PairCorr |
ITSA3F Market Sensitivity And Downside Risk
ITSA3F's beta coefficient measures the volatility of ITSA3F 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 ITSA3F stock's returns against your selected market. In other words, ITSA3F's beta of -0.31 provides an investor with an approximation of how much risk ITSA3F stock can potentially add to one of your existing portfolios. ITSA3F has relatively low volatility with skewness of -1.96 and kurtosis of 8.61. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure ITSA3F'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 ITSA3F'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 ITSA3F Demand TrendCheck current 90 days ITSA3F correlation with market (Dow Jones Industrial)ITSA3F Volatility and Downside Risk
ITSA3F 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.
ITSA3F Stock Volatility Analysis
Volatility refers to the frequency at which ITSA3F stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with ITSA3F's price changes. Investors will then calculate the volatility of ITSA3F'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 ITSA3F's volatility:
Historical Volatility
This type of stock volatility measures ITSA3F's fluctuations based on previous trends. It's commonly used to predict ITSA3F'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 ITSA3F'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 ITSA3F'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. Developed by Larry Williams, the Weighted Close is the average of ITSA3F high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only ITSA3F closing price as input.
ITSA3F Projected Return Density Against Market
Assuming the 90 days trading horizon ITSA3F has a beta of -0.3114 . This usually indicates as returns on the benchmark increase, returns on holding ITSA3F are expected to decrease at a much lower rate. During a bear market, however, ITSA3F is likely to outperform the market.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 ITSA3F or ITSA3F 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 ITSA3F'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 ITSA3F 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.
ITSA3F has an alpha of 0.1696, implying that it can generate a 0.17 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives an ITSA3F 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.ITSA3F Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of ITSA3F is 1180.21. The daily returns are distributed with a variance of 2.68 and standard deviation of 1.64. The mean deviation of ITSA3F is currently at 1.06. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.73
α | Alpha over Dow Jones | 0.17 | |
β | Beta against Dow Jones | -0.31 | |
σ | Overall volatility | 1.64 | |
Ir | Information ratio | 0.05 |
ITSA3F Stock Return Volatility
ITSA3F historical daily return volatility represents how much of ITSA3F stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company accepts 1.6384% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7362% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Related Correlations Analysis
| 0.91 | -0.27 | 0.87 | 0.78 | -0.69 | TOPP11 | ||
| 0.91 | -0.22 | 0.87 | 0.83 | -0.73 | CTSH34 | ||
| -0.27 | -0.22 | -0.14 | -0.55 | 0.01 | HOME34 | ||
| 0.87 | 0.87 | -0.14 | 0.72 | -0.82 | MUTC34 | ||
| 0.78 | 0.83 | -0.55 | 0.72 | -0.71 | G2ME34 | ||
| -0.69 | -0.73 | 0.01 | -0.82 | -0.71 | FMSC34 | ||
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
There is a big difference between ITSA3F Stock performing well and ITSA3F 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 ITSA3F'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| TOPP11 | 0.71 | 0.17 | 0.11 | 4.33 | 0.74 | 1.49 | 6.65 | |||
| CTSH34 | 0.81 | 0.36 | 0.00 | 0.69 | 0.00 | 3.03 | 13.81 | |||
| HOME34 | 1.49 | (0.09) | 0.00 | (0.16) | 0.00 | 3.41 | 10.58 | |||
| MUTC34 | 3.16 | 1.04 | 0.30 | 4.03 | 2.73 | 7.94 | 15.57 | |||
| G2ME34 | 1.76 | 0.81 | 0.27 | (0.78) | 0.26 | 5.38 | 34.47 | |||
| FMSC34 | 0.34 | (0.17) | 0.00 | 2.59 | 0.00 | 0.00 | 5.85 |
About ITSA3F Volatility
Volatility is a rate at which the price of ITSA3F 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 ITSA3F may increase or decrease. In other words, similar to ITSA3F's beta indicator, it measures the risk of ITSA3F and helps estimate the fluctuations that may happen in a short period of time. So if prices of ITSA3F 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.3 ways to utilize ITSA3F's volatility to invest better
Higher ITSA3F's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of ITSA3F 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. ITSA3F 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 ITSA3F investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in ITSA3F'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 ITSA3F's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
ITSA3F Investment Opportunity
ITSA3F has a volatility of 1.64 and is 2.22 times more volatile than Dow Jones Industrial. 14 percent of all equities and portfolios are less risky than ITSA3F. You can use ITSA3F to enhance the returns of your portfolios. The stock experiences a normal upward fluctuation. Check odds of ITSA3F to be traded at R$12.82 in 90 days.Good diversification
The correlation between ITSA3F and DJI is -0.14 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding ITSA3F and DJI in the same portfolio, assuming nothing else is changed.
ITSA3F Additional Risk Indicators
The analysis of ITSA3F'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 ITSA3F's investment and either accepting that risk or mitigating it. Along with some common measures of ITSA3F 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 | 0.0795 | |||
| Market Risk Adjusted Performance | (0.47) | |||
| Mean Deviation | 1.02 | |||
| Semi Deviation | 1.67 | |||
| Downside Deviation | 1.88 | |||
| Coefficient Of Variation | 984.8 | |||
| Standard Deviation | 1.57 |
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.
ITSA3F 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. ITSA3F | ||
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| Visa vs. ITSA3F | ||
| Alphabet vs. ITSA3F | ||
| Dupont De vs. ITSA3F | ||
| Microsoft vs. ITSA3F | ||
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 ITSA3F 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. ITSA3F'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, ITSA3F'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 ITSA3F.
Complementary Tools for ITSA3F Stock analysis
When running ITSA3F's price analysis, check to measure ITSA3F'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 ITSA3F is operating at the current time. Most of ITSA3F's value examination focuses on studying past and present price action to predict the probability of ITSA3F's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move ITSA3F's price. Additionally, you may evaluate how the addition of ITSA3F to your portfolios can decrease your overall portfolio volatility.
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