NL Industries Stock Volatility
| NL Stock | USD 5.81 -0.16 -2.68% |
Sharpe Ratio = -0.0536
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NL Industries (NL) recorded a Market Risk Adjusted Performance of 0.03%, a Risk of 2.38, and a Risk Adjusted Performance of 0.02%. Based on monthly moving averages, the stock is not performing at its full potential.
Key indicators related to NL Industries' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for NL Industries (3 Months):
Beta 1.09 | Alpha 0.02 | Risk 2.38 | Sharpe Ratio -0.05 | Expected Return -0.13 |
Assets With Similar Volatility
| 0.66 | BRC | Brady | PairCorr |
| 0.66 | MSA | MSA Safety | PairCorr |
| 0.74 | 1ID | ID Logistics SAS | PairCorr |
| 0.75 | TILE | Interface | PairCorr |
| 0.66 | CPRT | Copart Inc | PairCorr |
Lower Correlation Assets
| 0.49 | GEA | GEA Grenobl Elect | PairCorr |
| 0.44 | DCM | Data Communications Management Earnings Call Tomorrow | PairCorr |
| 0.31 | GEO | Geo Group Earnings Call Tomorrow | PairCorr |
Sensitivity To Market
The beta coefficient of 1.09 for NL Industries measures how its returns respond to broader market changes. In regression terms, beta captures the slope between asset returns and index returns. Historical volatility is currently near 2.38%. This analysis separates observed movement from interpretation for NL Industries. Standard deviation (2.38%) and downside deviation (2.52%) describe the range without implying direction. Equity volatility compresses in calm markets and expands quickly when uncertainty increases. Stock dispersion changes materially during earnings seasons and macro data releases.
3 Months Beta |NL Industries Demand TrendCurrent 90-day NL Industries correlation with market (Dow Jones Industrial)Downside Risk
NL Industries standard deviation over the selected horizon reflects the magnitude of daily price swings relative to the historical average. A rising standard deviation for NL Industries over successive periods signals increasing price uncertainty. NL Industries standard deviation compared across rolling windows highlights periods of elevated or subdued price risk. The daily dispersion captured by standard deviation is one of the most widely used risk metrics for NL Industries.
Standard Deviation | 2.38 |
Upside risk in NL Industries is captured by its standard deviation, which includes both favorable and unfavorable price movements. While standard deviation captures total price dispersion, semi-deviation and downside deviation measure only loss risk in NL Industries' returns. Total return dispersion for NL Industries encompasses both favorable and adverse price movements within the measured period. The distinction matters because favorable volatility in NL Industries is not the same as damaging volatility. NL Industries (NL) recorded a Downside Deviation of 2.52, a Downside Variance of 6.37, and a Maximum Drawdown of 12.86.
Stock Volatility Analysis
NL Industries stock volatility is a key input for most investment risk models. When NL Industries' volatility is elevated, prices swing by several percentage points in a single session. Understanding NL Industries volatility quantifies the risk of holding NL Industries' stock. These price changes indicate the level of risk and return variability associated with NL Industries'.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Median Price transformation calculates the midpoint between NL Industries's high and low for each trading period. This provides a simple measure of the period's central tendency based on range extremes, ignoring the opening and closing levels. Compared to the typical or weighted close price, the median price gives equal weight to buyers and sellers at the extremes and is often used as a smoothed input for trend and momentum indicators.
Projected Return Density Against Market
For a 90-day investment horizon, NL Industries has a beta of 1.0913. This indicates NL Industries market returns are very sensitive to returns on the market. As the market goes up or down, NL Industries tends to follow.NL Industries combines broad market sensitivity with company or sector-specific developments. Diversification may lower asset-specific risk, but systematic volatility remains inherent. NL Industries (NL) recorded a Downside Deviation of 2.52, a Mean Deviation of 1.73, and a Semi Deviation of 2.29.
Predicted Return Distribution |
| Density |
What Drives NL Industries' Price Volatility?
Industry Dynamics
Competitive pressure, margin shifts, or structural changes in the Commercial Services & Supplies sector can alter NL Industries' day-to-day volatility profile.Political and Economic Environment
Broad market tone, policy uncertainty, and recession or expansion signals shape volatility conditions for NL Industries.NL Industries' Company-Specific Factors
Unexpected business updates, leadership changes, or legal outcomes can drive outsized moves in NL Industries' stock.Stock Risk Measures
For a 90-day investment horizon, the coefficient of variation of NL Industries is -1865.0. The daily returns are distributed with a variance of 5.68 and standard deviation of 2.38. The mean deviation of NL Industries is currently at 1.74. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | 0.02 | |
β | Beta against Dow Jones | 1.09 | |
σ | Overall volatility | 2.38 | |
Ir | Information ratio | 0.01 |
Stock Return Volatility
Volatility for NL Industries quantifies the day-to-day dispersion of stock returns around their historical average. The company carries 2.3839% return volatility across the 90-day horizon. As a benchmark, Dow Jones Industrial reported 0.9166% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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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
Headline performance for NL Industries Stock may not fully reflect how the business compares across its competitive set. Risk-adjusted metrics help compare NL Industries' efficiency and downside exposure against peers on a like-for-like basis. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| CIX | 1.38 | 0.02 | 0.01 | 0.06 | 1.60 | 3.68 | 10.15 | |||
| MG | 1.70 | 0.33 | 0.12 | 0.24 | 2.15 | 3.84 | 9.86 | |||
| FSTR | 1.83 | 0.52 | 0.29 | 1.06 | 1.27 | 6.80 | 21.07 | |||
| PKOH | 2.04 | 0.37 | 0.13 | 0.34 | 2.28 | 5.46 | 14.60 | |||
| BNC | 3.90 | -0.55 | 0.00 | -0.19 | 0.00 | 9.41 | 27.13 | |||
| RLGT | 2.07 | 0.26 | 0.09 | 0.16 | 2.59 | 3.65 | 24.84 | |||
| QUAD | 2.16 | 0.36 | 0.10 | 0.42 | 3.07 | 4.61 | 21.10 | |||
| CVEO | 1.36 | 0.27 | 0.16 | 0.35 | 1.43 | 3.22 | 11.52 | |||
| GASS | 1.95 | 0.37 | 0.15 | 0.61 | 2.14 | 3.73 | 15.63 | |||
| OFLX | 1.87 | -0.25 | 0.00 | -0.18 | 0.00 | 3.47 | 20.68 |
Risk Metrics, Assumptions & Methodology
Beta for NL Industries measures the share of volatility attributable to broad market movements versus company-specific factors. Beta instability across periods suggests the relationship between market risk and asset volatility is shifting. NL Industries has a market cap of 291.71 million, P/E of 22.67, ROE of -7.96%.
NL Industries values are built from periodic company reporting and market reference feeds, with reporting definitions aligned before display. Sell-side coverage, where present, supplements the data shown. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Raphi Shpitalnik, Junior Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that NL Industries is more volatile than Dow Jones Industrial by approximately 2.59x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 21% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.NL Industries exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This short-horizon analysis focuses on what the latest move may imply for immediate market context. It works best as a directional cue rather than as a standalone forecast. an unexpected downward movement. The market is reacting to new fundamentals. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View NL Industries probability analysis.
Poor diversification
Across the chosen horizon, NL Industries and Dow Jones show a correlation of 0.66 and fall into the Poor diversification bucket. Lower overlap tends to improve diversification, while higher overlap means both positions carry similar risk.
Additional Risk Indicators
Risk analysis around NL Industries gains depth when secondary indicators confirm, refine, or challenge the basic volatility picture. A thorough risk review clarifies whether current exposure warrants maintenance, reduction, or offset elsewhere in the portfolio.
| Risk Adjusted Performance | 0.0173 | |||
| Market Risk Adjusted Performance | 0.0265 | |||
| Mean Deviation | 1.73 | |||
| Semi Deviation | 2.29 | |||
| Downside Deviation | 2.52 | |||
| Coefficient Of Variation | 8511.67 | |||
| Standard Deviation | 2.38 |
NL Industries Suggested Diversification Pairs
A paired position built around NL Industries reduces directional market exposure while expressing a relative-value view. The advantage is that adverse movement in one leg may be partly offset by the other when correlation and thesis alignment hold.
Risk reduction through pair trading is real but has limits - not every type of exposure can be offset by a second leg. NL Industries' exposure to overall market risk stays intact regardless of pairing. The value of a second leg lies in reducing NL Industries' idiosyncratic risk - the part that comes from company-level events rather than macro conditions.