MSA Safety (Germany) Volatility
| M07 Stock | EUR 153.00 2.00 1.29% |
MSA Safety retains Efficiency (Sharpe Ratio) of -0.0364, which conveys that the firm had a -0.0364% return per unit of return volatility over the last 3 months. MSA Safety exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify MSA Safety's Mean Deviation of 1.08, market risk adjusted performance of 0.2919, and Standard Deviation of 1.53 to check out the risk estimate we provide. Key indicators related to MSA Safety's volatility include:
30 Days Market Risk | Chance Of Distress | 30 Days Economic Sensitivity |
MSA Safety 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 MSA daily returns, and it is calculated using variance and standard deviation. We also use MSA's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of MSA Safety volatility.
MSA |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as MSA Safety 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 MSA Safety at lower prices to lower their average cost per share. Similarly, when the prices of MSA Safety's stock rise, investors can sell out and invest the proceeds in other equities with better opportunities.
Moving together with MSA Stock
Moving against MSA Stock
| 0.56 | BZG2 | BANK CENTRAL ASIA | PairCorr |
| 0.36 | PTY | Brinks | PairCorr |
| 0.35 | PQ9 | BANK MANDIRI | PairCorr |
| 0.35 | BYRA | PT Bank Rakyat | PairCorr |
MSA Safety Market Sensitivity And Downside Risk
MSA Safety's beta coefficient measures the volatility of MSA 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 MSA stock's returns against your selected market. In other words, MSA Safety's beta of -0.0825 provides an investor with an approximation of how much risk MSA Safety stock can potentially add to one of your existing portfolios. MSA Safety Incorporated exhibits very low volatility with skewness of 0.99 and kurtosis of 4.6. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure MSA Safety'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 MSA Safety'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 MSA Safety Demand TrendCheck current 90 days MSA Safety correlation with market (Dow Jones Industrial)MSA Beta |
MSA 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 | 1.57 |
It is essential to understand the difference between upside risk (as represented by MSA Safety's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of MSA Safety's daily returns or price. Since the actual investment returns on holding a position in msa 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 MSA Safety.
MSA Safety Stock Volatility Analysis
Volatility refers to the frequency at which MSA Safety stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with MSA Safety's price changes. Investors will then calculate the volatility of MSA Safety'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 MSA Safety's volatility:
Historical Volatility
This type of stock volatility measures MSA Safety's fluctuations based on previous trends. It's commonly used to predict MSA Safety'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 MSA Safety'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 MSA Safety'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. MSA Safety 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.
MSA Safety Projected Return Density Against Market
Assuming the 90 days horizon MSA Safety Incorporated has a beta of -0.0825 . This indicates as returns on the benchmark increase, returns on holding MSA Safety are expected to decrease at a much lower rate. During a bear market, however, MSA Safety Incorporated 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 MSA Safety or Industrials 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 MSA Safety'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 MSA 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.
MSA Safety Incorporated has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming the Dow Jones Industrial. Predicted Return Density |
| Returns |
What Drives a MSA Safety 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.MSA Safety Stock Risk Measures
Assuming the 90 days horizon the coefficient of variation of MSA Safety is -2746.31. The daily returns are distributed with a variance of 2.48 and standard deviation of 1.57. The mean deviation of MSA Safety Incorporated is currently at 1.09. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.82
α | Alpha over Dow Jones | -0.02 | |
β | Beta against Dow Jones | -0.08 | |
σ | Overall volatility | 1.57 | |
Ir | Information ratio | -0.0058 |
MSA Safety Stock Return Volatility
MSA Safety historical daily return volatility represents how much of MSA Safety stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company shows 1.5749% volatility of returns over 90 . By contrast, Dow Jones Industrial accepts 0.8283% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About MSA Safety Volatility
Volatility is a rate at which the price of MSA Safety 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 MSA Safety may increase or decrease. In other words, similar to MSA's beta indicator, it measures the risk of MSA Safety and helps estimate the fluctuations that may happen in a short period of time. So if prices of MSA Safety 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.MSA Safety Incorporated develops, manufactures, and supplies safety products that protect people and facility infrastructures in the oil, gas, petrochemical, fire service, construction, industrial manufacturing applications, utilities, military, and mining industries in North America, Latin America, and internationally. MSA Safety Incorporated was founded in 1914 and is based in Cranberry Township, Pennsylvania. MSA SAFETY operates under Security Protection Services classification in Germany and is traded on Frankfurt Stock Exchange. It employs 5200 people.
MSA Safety's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on MSA Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much MSA Safety's price varies over time.
3 ways to utilize MSA Safety's volatility to invest better
Higher MSA Safety's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of MSA Safety 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. MSA Safety 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 MSA Safety investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in MSA Safety'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 MSA Safety's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
MSA Safety Investment Opportunity
MSA Safety Incorporated has a volatility of 1.57 and is 1.89 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of MSA Safety Incorporated is lower than 14 percent of all global equities and portfolios over the last 90 days. You can use MSA Safety Incorporated to protect your portfolios against small market fluctuations. The stock experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of MSA Safety to be traded at €148.41 in 90 days.Good diversification
The correlation between MSA Safety Incorporated and DJI is -0.04 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding MSA Safety Incorporated and DJI in the same portfolio, assuming nothing else is changed.
MSA Safety Additional Risk Indicators
The analysis of MSA Safety'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 MSA Safety's investment and either accepting that risk or mitigating it. Along with some common measures of MSA Safety 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) | |||
| Market Risk Adjusted Performance | 0.2919 | |||
| Mean Deviation | 1.08 | |||
| Coefficient Of Variation | (11,572) | |||
| Standard Deviation | 1.53 | |||
| Variance | 2.35 | |||
| Information Ratio | (0.01) |
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.
MSA Safety 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 MSA Safety 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. MSA Safety'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, MSA Safety'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 MSA Safety Incorporated.
Complementary Tools for MSA Stock analysis
When running MSA Safety's price analysis, check to measure MSA Safety'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 MSA Safety is operating at the current time. Most of MSA Safety's value examination focuses on studying past and present price action to predict the probability of MSA Safety's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move MSA Safety's price. Additionally, you may evaluate how the addition of MSA Safety to your portfolios can decrease your overall portfolio volatility.
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