MBIA (Germany) Volatility
| MBJ Stock | EUR 5.50 0.10 1.85% |
MBIA has Sharpe Ratio of -0.0948, which conveys that the company had a -0.0948 % return per unit of volatility over the last 3 months. MBIA exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify MBIA's Mean Deviation of 1.74, standard deviation of 2.21, and Market Risk Adjusted Performance of 0.735 to check out the risk estimate we provide.
Sharpe Ratio = -0.0948
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Estimated Market Risk
| 2.21 actual daily | 19 81% of assets are more volatile |
Expected Return
| -0.21 actual daily | 0 Most of other assets have higher returns |
Risk-Adjusted Return
| -0.09 actual daily | 0 Most of other assets perform better |
Based on monthly moving average MBIA is not performing at its full potential. However, 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 MBIA by adding MBIA to a well-diversified portfolio.
Key indicators related to MBIA's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
MBIA 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 MBIA daily returns, and it is calculated using variance and standard deviation. We also use MBIA's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of MBIA volatility.
MBIA |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as MBIA can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of MBIA at lower prices. For example, an investor can purchase MBIA stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of MBIA's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns. Main indicators related to MBIA's market risk premium analysis include:
Beta (0.30) | Alpha (0.20) | Risk 2.21 | Sharpe Ratio (0.09) | Expected Return (0.21) |
Moving together with MBIA Stock
Moving against MBIA Stock
| 0.84 | 4OQ1 | AGNC Investment Corp | PairCorr |
| 0.81 | FPMB | FREEPORT MCMORAN | PairCorr |
| 0.81 | SCL | Schlumberger Limited | PairCorr |
| 0.73 | 4I1 | Philip Morris Intern Earnings Call This Week | PairCorr |
| 0.7 | DP4B | AP Mller Earnings Call Tomorrow | PairCorr |
| 0.65 | XMF | STOMO MITSUI FINL | PairCorr |
| 0.63 | DBPE | Xtrackers LevDAX | PairCorr |
| 0.6 | E908 | Lyxor 1 | PairCorr |
| 0.58 | EUX | EUWAX Aktiengesellschaft | PairCorr |
| 0.54 | 8SF | SLIGRO FOOD GROUP Earnings Call Tomorrow | PairCorr |
MBIA Market Sensitivity And Downside Risk
MBIA's beta coefficient measures the volatility of MBIA 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 MBIA stock's returns against your selected market. In other words, MBIA's beta of -0.3 provides an investor with an approximation of how much risk MBIA stock can potentially add to one of your existing portfolios. MBIA exhibits very low volatility with skewness of 0.16 and kurtosis of 0.14. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure MBIA'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 MBIA'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 MBIA Demand TrendCheck current 90 days MBIA correlation with market (Dow Jones Industrial)MBIA Volatility and Downside Risk
MBIA 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.
MBIA Stock Volatility Analysis
Volatility refers to the frequency at which MBIA stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with MBIA's price changes. Investors will then calculate the volatility of MBIA'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 MBIA's volatility:
Historical Volatility
This type of stock volatility measures MBIA's fluctuations based on previous trends. It's commonly used to predict MBIA'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 MBIA'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 MBIA'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. MBIA 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.
MBIA Projected Return Density Against Market
Assuming the 90 days trading horizon MBIA has a beta of -0.3032 . This indicates as returns on the benchmark increase, returns on holding MBIA are expected to decrease at a much lower rate. During a bear market, however, MBIA 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 MBIA or Metals & Mining 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 MBIA'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 MBIA 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 |
| Returns |
What Drives a MBIA 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.MBIA Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of MBIA is -1054.42. The daily returns are distributed with a variance of 4.89 and standard deviation of 2.21. The mean deviation of MBIA is currently at 1.74. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.74
α | Alpha over Dow Jones | -0.2 | |
β | Beta against Dow Jones | -0.3 | |
σ | Overall volatility | 2.21 | |
Ir | Information ratio | -0.12 |
MBIA Stock Return Volatility
MBIA historical daily return volatility represents how much of MBIA stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm assumes 2.2123% volatility of returns over the 90 days investment horizon. By contrast, Dow Jones Industrial accepts 0.747% 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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Risk-Adjusted Indicators
There is a big difference between MBIA Stock performing well and MBIA 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 MBIA'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| PN1 | 1.36 | (0.15) | 0.00 | 0.35 | 0.00 | 3.09 | 14.15 | |||
| GIFN | 1.50 | (0.06) | 0.00 | (0.54) | 0.00 | 3.31 | 12.98 | |||
| GS2C | 2.00 | 0.06 | 0.01 | 0.24 | 2.38 | 4.17 | 9.16 | |||
| TJW | 2.11 | 0.76 | 0.28 | 2.17 | 1.65 | 4.22 | 20.82 | |||
| PD0 | 1.68 | 0.06 | 0.04 | 0.11 | 1.55 | 3.79 | 14.07 | |||
| G7W | 1.56 | 0.20 | 0.09 | 0.76 | 1.49 | 3.42 | 17.72 | |||
| CI7 | 2.66 | (0.28) | 0.00 | 0.52 | 0.00 | 6.35 | 24.78 | |||
| MRL | 0.32 | 0.04 | (0.02) | (0.33) | 0.30 | 0.93 | 2.74 |
About MBIA Volatility
Volatility is a rate at which the price of MBIA 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 MBIA may increase or decrease. In other words, similar to MBIA's beta indicator, it measures the risk of MBIA and helps estimate the fluctuations that may happen in a short period of time. So if prices of MBIA 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 MBIA's volatility to invest better
Higher MBIA's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of MBIA 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. MBIA 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 MBIA investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in MBIA'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 MBIA's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
MBIA Investment Opportunity
MBIA has a volatility of 2.21 and is 2.95 times more volatile than Dow Jones Industrial. 19 percent of all equities and portfolios are less risky than MBIA. You can use MBIA to enhance the returns of your portfolios. The stock experiences a large bullish trend. Check odds of MBIA to be traded at €6.05 in 90 days.Very good diversification
The correlation between MBIA and DJI is -0.44 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding MBIA and DJI in the same portfolio, assuming nothing else is changed.
MBIA Additional Risk Indicators
The analysis of MBIA'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 MBIA's investment and either accepting that risk or mitigating it. Along with some common measures of MBIA 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 | (0.06) | |||
| Market Risk Adjusted Performance | 0.735 | |||
| Mean Deviation | 1.74 | |||
| Coefficient Of Variation | (1,054) | |||
| Standard Deviation | 2.21 | |||
| Variance | 4.89 | |||
| Information Ratio | (0.12) |
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.
MBIA 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 MBIA 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. MBIA'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, MBIA'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 MBIA.
Additional Tools for MBIA Stock Analysis
When running MBIA's price analysis, check to measure MBIA'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 MBIA is operating at the current time. Most of MBIA's value examination focuses on studying past and present price action to predict the probability of MBIA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move MBIA's price. Additionally, you may evaluate how the addition of MBIA to your portfolios can decrease your overall portfolio volatility.