Nasdaq 100 Commodity Volatility
| NQUSD Commodity | 20,992 111.25 0.53% |
At this point, Nasdaq 100 is very steady. Nasdaq 100 has Sharpe Ratio of 0.12, which conveys that the entity had a 0.12% return per unit of risk over the last 3 months. We have found thirty technical indicators for Nasdaq 100, which you can use to evaluate the volatility of the commodity. Please verify Nasdaq 100's Mean Deviation of 0.7676, risk adjusted performance of 0.076, and Downside Deviation of 1.31 to check out if the risk estimate we provide is consistent with the expected return of 0.13%.
Nasdaq |
Nasdaq 100 Commodity 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 Nasdaq daily returns, and it is calculated using variance and standard deviation. We also use Nasdaq's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Nasdaq 100 volatility.
Downward market volatility can be a perfect environment for commodity traders who play the long game. For example, an investor can purchase Nasdaq 100 that has halved in price over a short period. This will lower the average cost, improving your portfolio's performance when the markets normalize. Similarly, when the prices of nasdaq 100's commodities rise, investors can sell out and invest the proceeds in other commodities with better opportunities.
Moving together with Nasdaq Commodity
| 0.91 | NVDA | NVIDIA | PairCorr |
| 0.83 | AMZN | Amazon Inc Aggressive Push | PairCorr |
| 0.84 | GOOG | Alphabet Class C | PairCorr |
| 0.83 | META | Meta Platforms Aggressive Push | PairCorr |
| 0.75 | MCS | Marcus | PairCorr |
Moving against Nasdaq Commodity
| 0.57 | NUZE | Nuzee Inc Symbol Change | PairCorr |
Nasdaq 100 Market Sensitivity And Downside Risk
Nasdaq 100's beta coefficient measures the volatility of Nasdaq commodity 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 Nasdaq commodity's returns against your selected market. In other words, Nasdaq 100's beta of 0.96 provides an investor with an approximation of how much risk Nasdaq 100 commodity can potentially add to one of your existing portfolios. Nasdaq 100 has relatively low volatility with skewness of -0.61 and kurtosis of 1.55. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Nasdaq 100's commodity risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Nasdaq 100's commodity 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 Nasdaq 100 Demand TrendCheck current 90 days Nasdaq 100 correlation with market (Dow Jones Industrial)Nasdaq Beta |
Nasdaq 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 | 1.11 |
It is essential to understand the difference between upside risk (as represented by Nasdaq 100's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Nasdaq 100's daily returns or price. Since the actual investment returns on holding a position in nasdaq commodity 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 Nasdaq 100.
Nasdaq 100 Commodity Volatility Analysis
Volatility refers to the frequency at which Nasdaq 100 commodity price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Nasdaq 100's price changes. Investors will then calculate the volatility of Nasdaq 100's commodity to predict their future moves. A commodity that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A commodity with relatively stable price changes has low volatility. A highly volatile commodity 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 Nasdaq 100's volatility:
Historical Volatility
This type of commodity volatility measures Nasdaq 100's fluctuations based on previous trends. It's commonly used to predict Nasdaq 100's future behavior based on its past. However, it cannot conclusively determine the future direction of the commodity.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Nasdaq 100's current market price. This means that the commodity will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Nasdaq 100'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. Nasdaq 100 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.
Nasdaq 100 Projected Return Density Against Market
Assuming the 90 days horizon Nasdaq 100 has a beta of 0.9608 . This indicates Nasdaq 100 market returns are highly-sensitive to returns on the market. As the market goes up or down, Nasdaq 100 is expected to follow.Most traded commodities, like Nasdaq 100, are exposed to two types of risk: systematic (i.e., market-wide) and unsystematic (i.e., specific to the commodities market). Unsystematic risk pertains to events directly impacting Nasdaq 100 prices. This risk can be mitigated by diversifying investments across various commodities from different sectors that have low correlation with each other. Conversely, systematic risk involves price fluctuations due to broader commodity market trends and cannot be eliminated through diversification. Regardless of the number of commodities in your portfolio, market-wide risks persist. However, you can assess Nasdaq 100's historical responsiveness to market shifts to gauge your comfort with its price volatility. Beta and standard deviation are key metrics to guide this analysis.
Nasdaq 100 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 Nasdaq 100 Price Volatility?
Several factors can influence a commodity'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 price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence prices due to increased presure on compliance that may impact the commodity'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 commodity prices. Everything from speeches to elections may influence investors, who can directly influence the prices in any particular industry.The Commodity's Performance
Sometimes volatility will only affect an individual commodity. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the commodity. This positive attention will raise the commodity's price.Nasdaq 100 Commodity Risk Measures
Assuming the 90 days horizon the coefficient of variation of Nasdaq 100 is 865.28. The daily returns are distributed with a variance of 1.23 and standard deviation of 1.11. The mean deviation of Nasdaq 100 is currently at 0.76. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | -0.02 | |
β | Beta against Dow Jones | 0.96 | |
σ | Overall volatility | 1.11 | |
Ir | Information ratio | -0.02 |
Nasdaq 100 Commodity Return Volatility
Nasdaq 100 historical daily return volatility represents how much of Nasdaq 100 commodity's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. Nasdaq 100 shows 1.1073% volatility of returns over 90 . By contrast, Dow Jones Industrial accepts 0.7716% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Nasdaq 100 Investment Opportunity
Nasdaq 100 has a volatility of 1.11 and is 1.44 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of Nasdaq 100 is lower than 9 percent of all global equities and portfolios over the last 90 days. You can use Nasdaq 100 to enhance the returns of your portfolios. The commodity experiences a moderate upward volatility. Check odds of Nasdaq 100 to be traded at 23090.65 in 90 days.Poor diversification
The correlation between Nasdaq 100 and DJI is 0.66 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Nasdaq 100 and DJI in the same portfolio, assuming nothing else is changed.
Nasdaq 100 Additional Risk Indicators
The analysis of Nasdaq 100'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 Nasdaq 100's investment and either accepting that risk or mitigating it. Along with some common measures of Nasdaq 100 commodity'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 | 0.076 | |||
| Market Risk Adjusted Performance | 0.1098 | |||
| Mean Deviation | 0.7676 | |||
| Semi Deviation | 1.09 | |||
| Downside Deviation | 1.31 | |||
| Coefficient Of Variation | 1049.15 | |||
| Standard Deviation | 1.11 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential commoditys, we recommend comparing similar commoditys with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Nasdaq 100 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 Nasdaq 100 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. Nasdaq 100'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, Nasdaq 100'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 Nasdaq 100.