JOHN HOLT (Nigeria) Volatility
| JOHNHOLT | 11.00 0.25 2.33% |
JOHN HOLT is slightly risky given 3 months investment horizon. JOHN HOLT PLC holds Efficiency (Sharpe) Ratio of 0.47, which attests that the entity had a 0.47% return per unit of risk over the last 3 months. We were able to break down and interpolate twenty-two different technical indicators, which can help you to evaluate if expected returns of 2.18% are justified by taking the suggested risk. Use JOHN HOLT PLC Coefficient Of Variation of 214.75, risk adjusted performance of 0.3655, and Market Risk Adjusted Performance of (6.76) to evaluate company specific risk that cannot be diversified away.
JOHN |
JOHN HOLT 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 JOHN daily returns, and it is calculated using variance and standard deviation. We also use JOHN's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of JOHN HOLT volatility.
Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of JOHN HOLT at lower prices. For example, an investor can purchase JOHN 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.
JOHN HOLT Market Sensitivity And Downside Risk
JOHN HOLT's beta coefficient measures the volatility of JOHN 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 JOHN stock's returns against your selected market. In other words, JOHN HOLT's beta of -0.32 provides an investor with an approximation of how much risk JOHN HOLT stock can potentially add to one of your existing portfolios. JOHN HOLT PLC exhibits very low volatility with skewness of 0.42 and kurtosis of 0.28. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure JOHN HOLT'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 JOHN HOLT'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 JOHN HOLT PLC Demand TrendCheck current 90 days JOHN HOLT correlation with market (Dow Jones Industrial)JOHN Beta |
JOHN 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 | 4.68 |
It is essential to understand the difference between upside risk (as represented by JOHN HOLT's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of JOHN HOLT's daily returns or price. Since the actual investment returns on holding a position in john 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 JOHN HOLT.
JOHN HOLT PLC Stock Volatility Analysis
Volatility refers to the frequency at which JOHN HOLT stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with JOHN HOLT's price changes. Investors will then calculate the volatility of JOHN HOLT'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 JOHN HOLT's volatility:
Historical Volatility
This type of stock volatility measures JOHN HOLT's fluctuations based on previous trends. It's commonly used to predict JOHN HOLT'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 JOHN HOLT'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 JOHN HOLT'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. JOHN HOLT PLC 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.
JOHN HOLT Projected Return Density Against Market
Assuming the 90 days trading horizon JOHN HOLT PLC has a beta of -0.3202 . This indicates as returns on the benchmark increase, returns on holding JOHN HOLT are expected to decrease at a much lower rate. During a bear market, however, JOHN HOLT PLC 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 JOHN HOLT or JOHN 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 JOHN HOLT'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 JOHN 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.
JOHN HOLT PLC has an alpha of 2.2074, implying that it can generate a 2.21 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a JOHN HOLT 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.JOHN HOLT Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of JOHN HOLT is 214.75. The daily returns are distributed with a variance of 21.89 and standard deviation of 4.68. The mean deviation of JOHN HOLT PLC is currently at 3.72. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.77
α | Alpha over Dow Jones | 2.21 | |
β | Beta against Dow Jones | -0.32 | |
σ | Overall volatility | 4.68 | |
Ir | Information ratio | 0.44 |
JOHN HOLT Stock Return Volatility
JOHN HOLT historical daily return volatility represents how much of JOHN HOLT stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company accepts 4.6789% 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 |
JOHN HOLT Investment Opportunity
JOHN HOLT PLC has a volatility of 4.68 and is 6.08 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of JOHN HOLT PLC is lower than 41 percent of all global equities and portfolios over the last 90 days. You can use JOHN HOLT PLC to enhance the returns of your portfolios. The stock experiences an unexpected upward trend. Watch out for market signals. Check odds of JOHN HOLT to be traded at 13.2 in 90 days.Good diversification
The correlation between JOHN HOLT PLC and DJI is -0.05 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding JOHN HOLT PLC and DJI in the same portfolio, assuming nothing else is changed.
JOHN HOLT Additional Risk Indicators
The analysis of JOHN HOLT'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 JOHN HOLT's investment and either accepting that risk or mitigating it. Along with some common measures of JOHN HOLT 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 | 0.3655 | |||
| Market Risk Adjusted Performance | (6.76) | |||
| Mean Deviation | 3.72 | |||
| Coefficient Of Variation | 214.75 | |||
| Standard Deviation | 4.68 | |||
| Variance | 21.89 | |||
| Information Ratio | 0.4377 |
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.
JOHN HOLT 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 JOHN HOLT 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. JOHN HOLT'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, JOHN HOLT'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 JOHN HOLT PLC.