Bank Multiarta (Indonesia) Volatility
| MASB Stock | 3,180 30.00 0.95% |
As of now, Bank Stock is very steady. Bank Multiarta Sentosa secures Sharpe Ratio (or Efficiency) of 0.0287, which signifies that the company had a 0.0287 % return per unit of risk over the last 3 months. We have found thirty technical indicators for Bank Multiarta Sentosa, which you can use to evaluate the volatility of the firm. Please confirm Bank Multiarta's Mean Deviation of 1.69, risk adjusted performance of 0.0212, and Downside Deviation of 3.15 to double-check if the risk estimate we provide is consistent with the expected return of 0.0794%.
Sharpe Ratio = 0.0287
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| Cash | Small Risk | MASB | High Risk | Huge Risk |
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Estimated Market Risk
| 2.77 actual daily | 24 76% of assets are more volatile |
Expected Return
| 0.08 actual daily | 1 99% of assets have higher returns |
Risk-Adjusted Return
| 0.03 actual daily | 2 98% of assets perform better |
Based on monthly moving average Bank Multiarta is performing at about 2% 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 Bank Multiarta by adding it to a well-diversified portfolio.
Key indicators related to Bank Multiarta's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Bank Multiarta 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 Bank daily returns, and it is calculated using variance and standard deviation. We also use Bank's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Bank Multiarta volatility.
Bank |
Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Bank Multiarta at lower prices. For example, an investor can purchase Bank 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. Main indicators related to Bank Multiarta's market risk premium analysis include:
Beta (0.26) | Alpha 0.0682 | Risk 2.77 | Sharpe Ratio 0.0287 | Expected Return 0.0794 |
Moving against Bank Stock
Bank Multiarta Market Sensitivity And Downside Risk
Bank Multiarta's beta coefficient measures the volatility of Bank 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 Bank stock's returns against your selected market. In other words, Bank Multiarta's beta of -0.26 provides an investor with an approximation of how much risk Bank Multiarta stock can potentially add to one of your existing portfolios. Bank Multiarta Sentosa shows above-average downside volatility for the selected time horizon. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Bank Multiarta'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 Bank Multiarta'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 Bank Multiarta Sentosa Demand TrendCheck current 90 days Bank Multiarta correlation with market (Dow Jones Industrial)Bank Multiarta Volatility and Downside Risk
Bank 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.
Bank Multiarta Sentosa Stock Volatility Analysis
Volatility refers to the frequency at which Bank Multiarta stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Bank Multiarta's price changes. Investors will then calculate the volatility of Bank Multiarta'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 Bank Multiarta's volatility:
Historical Volatility
This type of stock volatility measures Bank Multiarta's fluctuations based on previous trends. It's commonly used to predict Bank Multiarta'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 Bank Multiarta'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 Bank Multiarta'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. Bank Multiarta Sentosa 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.
Bank Multiarta Projected Return Density Against Market
Assuming the 90 days trading horizon Bank Multiarta Sentosa has a beta of -0.257 . This indicates as returns on the benchmark increase, returns on holding Bank Multiarta are expected to decrease at a much lower rate. During a bear market, however, Bank Multiarta Sentosa 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 Bank Multiarta or Financial Services 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 Bank Multiarta'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 Bank 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.
Predicted Return Density |
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What Drives a Bank Multiarta 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 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.Bank Multiarta Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Bank Multiarta is 3487.65. The daily returns are distributed with a variance of 7.66 and standard deviation of 2.77. The mean deviation of Bank Multiarta Sentosa is currently at 1.78. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | 0.07 | |
β | Beta against Dow Jones | -0.26 | |
σ | Overall volatility | 2.77 | |
Ir | Information ratio | -0.03 |
Bank Multiarta Stock Return Volatility
Bank Multiarta historical daily return volatility represents how much of Bank Multiarta stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company accepts 2.7679% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7587% volatility on return distribution over the 90 days horizon. Performance |
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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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Risk-Adjusted Indicators
There is a big difference between Bank Stock performing well and Bank Multiarta 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 Bank Multiarta'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| AMAR | 1.57 | (0.12) | 0.00 | (0.60) | 0.00 | 4.95 | 11.80 | |||
| SDRA | 1.02 | (0.05) | 0.00 | (0.15) | 0.00 | 2.16 | 10.83 | |||
| BBYB | 3.29 | 0.03 | (0.01) | 0.30 | 3.65 | 6.48 | 36.89 | |||
| NOBU | 2.52 | 0.19 | 0.03 | 0.49 | 3.34 | 4.81 | 26.59 | |||
| INPC | 4.01 | 0.44 | 0.07 | 1.55 | 4.13 | 10.43 | 48.15 | |||
| BSWD | 1.70 | 0.67 | 0.00 | (6.74) | 0.00 | 9.96 | 19.87 | |||
| BGTG | 2.57 | 0.17 | 0.03 | 0.53 | 2.64 | 5.88 | 22.92 | |||
| AGRO | 1.67 | (0.11) | 0.00 | (0.26) | 0.00 | 3.51 | 15.65 | |||
| BACA | 3.20 | 0.29 | 0.04 | (6.00) | 3.32 | 6.80 | 45.40 | |||
| MCOR | 1.55 | 0.09 | (0.02) | (0.23) | 1.77 | 4.00 | 17.69 |
About Bank Multiarta Volatility
Volatility is a rate at which the price of Bank Multiarta 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 Bank Multiarta may increase or decrease. In other words, similar to Bank's beta indicator, it measures the risk of Bank Multiarta and helps estimate the fluctuations that may happen in a short period of time. So if prices of Bank Multiarta 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 Bank Multiarta's volatility to invest better
Higher Bank Multiarta's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Bank Multiarta Sentosa 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. Bank Multiarta Sentosa 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 Bank Multiarta Sentosa investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Bank Multiarta'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 Bank Multiarta's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Bank Multiarta Investment Opportunity
Bank Multiarta Sentosa has a volatility of 2.77 and is 3.64 times more volatile than Dow Jones Industrial. 24 percent of all equities and portfolios are less risky than Bank Multiarta. You can use Bank Multiarta Sentosa to enhance the returns of your portfolios. The stock experiences a moderate upward volatility. Check odds of Bank Multiarta to be traded at 3498.0 in 90 days.Average diversification
The correlation between Bank Multiarta Sentosa and DJI is 0.17 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Bank Multiarta Sentosa and DJI in the same portfolio, assuming nothing else is changed.
Bank Multiarta Additional Risk Indicators
The analysis of Bank Multiarta'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 Bank Multiarta's investment and either accepting that risk or mitigating it. Along with some common measures of Bank Multiarta 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 | 0.0212 | |||
| Market Risk Adjusted Performance | (0.14) | |||
| Mean Deviation | 1.69 | |||
| Semi Deviation | 2.29 | |||
| Downside Deviation | 3.15 | |||
| Coefficient Of Variation | 5408.54 | |||
| Standard Deviation | 2.67 |
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.
Bank Multiarta 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 Bank Multiarta 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. Bank Multiarta'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, Bank Multiarta'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 Bank Multiarta Sentosa.
Other Information on Investing in Bank Stock
Bank Multiarta financial ratios help investors to determine whether Bank Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Bank with respect to the benefits of owning Bank Multiarta security.