Romcab SA (Romania) Volatility
| MCAB Stock | 0.02 0 5.26% |
Romcab SA maintains Sharpe Ratio (i.e., Efficiency) of -0.11, which implies the firm had a -0.11% return per unit of risk over the last 3 months. Romcab SA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check Romcab SA's Coefficient Of Variation of (821.94), variance of 21.51, and Risk Adjusted Performance of (0.08) to confirm the risk estimate we provide.
Romcab |
Romcab SA 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 Romcab daily returns, and it is calculated using variance and standard deviation. We also use Romcab's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Romcab SA volatility.
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Romcab SA 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 Romcab SA at lower prices. For example, an investor can purchase Romcab 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 Romcab SA'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.
Moving together with Romcab Stock
| 0.69 | TRP | Teraplast Bist | PairCorr |
| 0.65 | ELGS | Electroarges S | PairCorr |
| 0.69 | IARV | IAR SA | PairCorr |
| 0.66 | CMP | Compa Sibiu | PairCorr |
Moving against Romcab Stock
Romcab SA Market Sensitivity And Downside Risk
Romcab SA's beta coefficient measures the volatility of Romcab 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 Romcab stock's returns against your selected market. In other words, Romcab SA's beta of 0.74 provides an investor with an approximation of how much risk Romcab SA stock can potentially add to one of your existing portfolios. Romcab SA exhibits very low volatility with skewness of -0.11 and kurtosis of 0.91. Romcab SA is a penny stock. Although Romcab SA may be in fact a good investment, many penny stocks are subject to artificial price hype. Make sure you completely understand the upside potential and downside risk of investing in Romcab SA. We encourage investors to look for signals such as message board hypes, claims of breakthroughs, email spams, sudden volume upswings, and other similar hype indicators. We also encourage traders to check biographies and work history of company officers before investing in instruments with high volatility. You can indeed make money on Romcab instrument if you perfectly time your entry and exit. However, remember that penny stocks that have been the subject of artificial hype usually unable to maintain their increased share price for more than just a few days. The price of a promoted high volatility instrument will almost always revert back. The only way to increase shareholder value is through legitimate performance backed up by solid fundamentals.
3 Months Beta |Analyze Romcab SA Demand TrendCheck current 90 days Romcab SA correlation with market (Dow Jones Industrial)Romcab Beta |
Romcab 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 | 4.59 |
It is essential to understand the difference between upside risk (as represented by Romcab SA's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Romcab SA's daily returns or price. Since the actual investment returns on holding a position in romcab 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 Romcab SA.
Romcab SA Stock Volatility Analysis
Volatility refers to the frequency at which Romcab SA stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Romcab SA's price changes. Investors will then calculate the volatility of Romcab SA'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 Romcab SA's volatility:
Historical Volatility
This type of stock volatility measures Romcab SA's fluctuations based on previous trends. It's commonly used to predict Romcab SA'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 Romcab SA'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 Romcab SA'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. Romcab SA 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.
Romcab SA Projected Return Density Against Market
Assuming the 90 days trading horizon Romcab SA has a beta of 0.7414 . This indicates as returns on the market go up, Romcab SA average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Romcab SA 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 Romcab SA or Romcab 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 Romcab SA'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 Romcab 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.
Romcab SA 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 Romcab SA 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.Romcab SA Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Romcab SA is -922.11. The daily returns are distributed with a variance of 21.04 and standard deviation of 4.59. The mean deviation of Romcab SA is currently at 3.19. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.77
α | Alpha over Dow Jones | -0.66 | |
β | Beta against Dow Jones | 0.74 | |
σ | Overall volatility | 4.59 | |
Ir | Information ratio | -0.15 |
Romcab SA Stock Return Volatility
Romcab SA historical daily return volatility represents how much of Romcab SA stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm accepts 4.5869% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7626% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Romcab SA Volatility
Volatility is a rate at which the price of Romcab SA 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 Romcab SA may increase or decrease. In other words, similar to Romcab's beta indicator, it measures the risk of Romcab SA and helps estimate the fluctuations that may happen in a short period of time. So if prices of Romcab SA 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 Romcab SA's volatility to invest better
Higher Romcab SA's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Romcab SA 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. Romcab SA 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 Romcab SA investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Romcab SA'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 Romcab SA's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Romcab SA Investment Opportunity
Romcab SA has a volatility of 4.59 and is 6.04 times more volatile than Dow Jones Industrial. 40 percent of all equities and portfolios are less risky than Romcab SA. You can use Romcab SA to enhance the returns of your portfolios. The stock experiences a very speculative upward sentiment. Check odds of Romcab SA to be traded at 0.025 in 90 days.Average diversification
The correlation between Romcab SA and DJI is 0.12 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Romcab SA and DJI in the same portfolio, assuming nothing else is changed.
Romcab SA Additional Risk Indicators
The analysis of Romcab SA'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 Romcab SA's investment and either accepting that risk or mitigating it. Along with some common measures of Romcab SA 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 | (0.08) | |||
| Market Risk Adjusted Performance | (0.76) | |||
| Mean Deviation | 3.3 | |||
| Coefficient Of Variation | (821.94) | |||
| Standard Deviation | 4.64 | |||
| Variance | 21.51 | |||
| Information Ratio | (0.15) |
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.
Romcab SA 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 Romcab SA 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. Romcab SA'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, Romcab SA'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 Romcab SA.
Other Information on Investing in Romcab Stock
Romcab SA financial ratios help investors to determine whether Romcab 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 Romcab with respect to the benefits of owning Romcab SA security.