Innovator Small Cap Etf Volatility
| KNOV Etf | 29.28 0.17 0.58% |
At this stage we consider Innovator Etf to be very steady. Innovator Small Cap 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 have found twenty-eight technical indicators for Innovator Small Cap, which you can use to evaluate the volatility of the entity. Please check out Innovator Small's Downside Deviation of 0.6252, market risk adjusted performance of 0.1027, and Risk Adjusted Performance of 0.0786 to validate if the risk estimate we provide is consistent with the expected return of 0.0787%.
Sharpe Ratio = 0.1289
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Based on monthly moving average Innovator Small is performing at about 10% of its full potential. If added to a well diversified portfolio the total return can be enhanced and market risk can be reduced. You can increase risk-adjusted return of Innovator Small by adding it to a well-diversified portfolio.
Key indicators related to Innovator Small's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Innovator Small Etf 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 Innovator daily returns, and it is calculated using variance and standard deviation. We also use Innovator's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Innovator Small volatility.
Innovator | Build AI portfolio with Innovator Etf |
Downward market volatility can be a perfect environment for investors who play the long game with Innovator Small. They may decide to buy additional shares of Innovator Small at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving together with Innovator Etf
| 0.92 | INOV | Innovator ETFs Trust | PairCorr |
| 0.95 | BUFR | First Trust Cboe | PairCorr |
| 0.94 | BUFD | FT Cboe Vest | PairCorr |
| 0.95 | PSEP | Innovator SP 500 | PairCorr |
| 0.92 | PJAN | Innovator SP 500 | PairCorr |
| 0.95 | PJUL | Innovator SP 500 | PairCorr |
| 0.91 | PAUG | Innovator Equity Power | PairCorr |
| 0.89 | DNOV | FT Cboe Vest | PairCorr |
| 0.94 | PMAY | Innovator SP 500 | PairCorr |
| 0.9 | ACII | Innovator ETFs Trust | PairCorr |
| 0.83 | MUU | Direxion Daily MU | PairCorr |
| 0.82 | MULL | GraniteShares 2x Long | PairCorr |
| 0.81 | AGQ | ProShares Ultra Silver | PairCorr |
| 0.89 | JNUG | Direxion Daily Junior | PairCorr |
| 0.86 | GDXU | MicroSectors Gold Miners | PairCorr |
| 0.79 | KORU | Direxion Daily South | PairCorr |
| 0.89 | NUGT | Direxion Daily Gold | PairCorr |
| 0.79 | SHNY | Microsectors Gold | PairCorr |
| 0.91 | SIL | Global X Silver | PairCorr |
| 0.88 | SIVR | abrdn Physical Silver | PairCorr |
| 0.91 | AA | Alcoa Corp Downward Rally | PairCorr |
| 0.75 | XOM | Exxon Mobil Corp Aggressive Push | PairCorr |
| 0.7 | CVX | Chevron Corp | PairCorr |
Innovator Small Market Sensitivity And Downside Risk
Innovator Small's beta coefficient measures the volatility of Innovator etf 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 Innovator etf's returns against your selected market. In other words, Innovator Small's beta of 0.62 provides an investor with an approximation of how much risk Innovator Small etf can potentially add to one of your existing portfolios. Innovator Small Cap exhibits relatively low volatility with skewness of -0.18 and kurtosis of 0.21. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Innovator Small's etf risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Innovator Small's etf 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 Innovator Small Cap Demand TrendCheck current 90 days Innovator Small correlation with market (Dow Jones Industrial)Innovator Small Volatility and Downside Risk
Innovator 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.
Innovator Small Cap Etf Volatility Analysis
Volatility refers to the frequency at which Innovator Small etf price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Innovator Small's price changes. Investors will then calculate the volatility of Innovator Small's etf to predict their future moves. A etf that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A etf with relatively stable price changes has low volatility. A highly volatile etf 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 Innovator Small's volatility:
Historical Volatility
This type of etf volatility measures Innovator Small's fluctuations based on previous trends. It's commonly used to predict Innovator Small's future behavior based on its past. However, it cannot conclusively determine the future direction of the etf.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Innovator Small's current market price. This means that the etf will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Innovator Small'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. Innovator Small Cap 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.
Innovator Small Projected Return Density Against Market
Given the investment horizon of 90 days Innovator Small has a beta of 0.6197 . This indicates as returns on the market go up, Innovator Small average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Innovator Small Cap 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 Innovator Small or Defined Outcome 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 Innovator Small's price will be affected by overall etf 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 Innovator etf'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.
Predicted Return Density |
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What Drives an Innovator Small Price Volatility?
Several factors can influence a etf'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.Innovator Small Etf Risk Measures
Given the investment horizon of 90 days the coefficient of variation of Innovator Small is 775.59. The daily returns are distributed with a variance of 0.37 and standard deviation of 0.61. The mean deviation of Innovator Small Cap is currently at 0.47. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.74
α | Alpha over Dow Jones | 0.02 | |
β | Beta against Dow Jones | 0.62 | |
σ | Overall volatility | 0.61 | |
Ir | Information ratio | 0 |
Innovator Small Etf Return Volatility
Innovator Small historical daily return volatility represents how much of Innovator Small etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund inherits 0.6107% risk (volatility on return distribution) over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7533% volatility on return distribution over the 90 days 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
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Innovator Small Competition Risk-Adjusted Indicators
There is a big difference between Innovator Etf performing well and Innovator Small ETF 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 Innovator Small'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| META | 1.55 | (0.03) | (0.02) | 0.02 | 1.62 | 3.43 | 13.36 | |||
| MSFT | 1.23 | (0.36) | 0.00 | (1.95) | 0.00 | 1.78 | 13.28 | |||
| UBER | 1.57 | (0.43) | 0.00 | (0.52) | 0.00 | 2.46 | 10.23 | |||
| F | 1.22 | 0.04 | 0.04 | 0.10 | 1.20 | 3.38 | 7.16 | |||
| T | 0.95 | 0.11 | 0.06 | 0.72 | 0.94 | 2.02 | 4.31 | |||
| A | 1.22 | (0.18) | 0.00 | (0.08) | 0.00 | 2.90 | 7.85 | |||
| CRM | 1.64 | (0.42) | 0.00 | (0.32) | 0.00 | 2.94 | 12.37 | |||
| JPM | 1.12 | (0.03) | 0.00 | 0.03 | 1.63 | 2.18 | 7.38 | |||
| MRK | 1.32 | 0.46 | 0.31 | 0.65 | 1.07 | 3.59 | 8.09 | |||
| XOM | 1.15 | 0.00 | 0.27 | 0.00 | 0.92 | 2.69 | 5.85 |
About Innovator Small Volatility
Volatility is a rate at which the price of Innovator Small 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 Innovator Small may increase or decrease. In other words, similar to Innovator's beta indicator, it measures the risk of Innovator Small and helps estimate the fluctuations that may happen in a short period of time. So if prices of Innovator Small 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 Innovator Small's volatility to invest better
Higher Innovator Small's etf volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Innovator Small Cap etf 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. Innovator Small Cap etf 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 Innovator Small Cap investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Innovator Small's etf 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 Innovator Small's etf relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Innovator Small Investment Opportunity
Dow Jones Industrial has a standard deviation of returns of 0.75 and is 1.23 times more volatile than Innovator Small Cap. Compared to the overall equity markets, volatility of historical daily returns of Innovator Small Cap is lower than 5 percent of all global equities and portfolios over the last 90 days. You can use Innovator Small Cap to protect your portfolios against small market fluctuations. The etf experiences a moderate downward daily trend and can be a good diversifier. Check odds of Innovator Small to be traded at 28.69 in 90 days.Almost no diversification
The correlation between Innovator Small Cap and DJI is 0.94 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Innovator Small Cap and DJI in the same portfolio, assuming nothing else is changed.
Innovator Small Additional Risk Indicators
The analysis of Innovator Small'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 Innovator Small's investment and either accepting that risk or mitigating it. Along with some common measures of Innovator Small etf'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 | 0.0786 | |||
| Market Risk Adjusted Performance | 0.1027 | |||
| Mean Deviation | 0.4846 | |||
| Semi Deviation | 0.5221 | |||
| Downside Deviation | 0.6252 | |||
| Coefficient Of Variation | 913.07 | |||
| Standard Deviation | 0.6159 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential etfs, we recommend comparing similar etfs with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Innovator Small 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 Innovator Small 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. Innovator Small'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, Innovator Small'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 Innovator Small Cap.
When determining whether Innovator Small Cap is a strong investment it is important to analyze Innovator Small's competitive position within its industry, examining market share, product or service uniqueness, and competitive advantages. Beyond financials and market position, potential investors should also consider broader economic conditions, industry trends, and any regulatory or geopolitical factors that may impact Innovator Small's future performance. For an informed investment choice regarding Innovator Etf, refer to the following important reports: Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Innovator Small Cap. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in board of governors. You can also try the Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
Investors evaluate Innovator Small Cap using market value (trading price) and book value (balance sheet equity), each telling a different story. Calculating Innovator Small's intrinsic value - the estimated true worth - helps identify when the stock trades at a discount or premium to fair value. Investment professionals apply varied valuation frameworks to compute inherent worth and acquire positions when market prices trade at discounts to calculated value. External factors like market trends, sector rotation, and investor psychology can cause Innovator Small's market price to deviate significantly from intrinsic value.
Understanding that Innovator Small's value differs from its trading price is crucial, as each reflects different aspects of the company. Evaluating whether Innovator Small represents a sound investment requires analyzing earnings trends, revenue growth, technical signals, industry dynamics, and expert forecasts. Conversely, Innovator Small's market price signifies the transaction level at which participants voluntarily complete trades.