Orchid Island Capital Stock Volatility
| ORC Stock | USD 7.81 0.12 1.56% |
At this point, Orchid Island is not too volatile. Orchid Island Capital maintains Sharpe Ratio (i.e., Efficiency) of 0.13, which implies the firm had a 0.13 % return per unit of risk over the last 3 months. We have found thirty technical indicators for Orchid Island Capital, which you can use to evaluate the volatility of the company. Please check Orchid Island's Coefficient Of Variation of 788.76, semi deviation of 1.09, and Risk Adjusted Performance of 0.0974 to confirm if the risk estimate we provide is consistent with the expected return of 0.16%.
Sharpe Ratio = 0.1268
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Based on monthly moving average Orchid Island is performing at about 10% 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 Orchid Island by adding it to a well-diversified portfolio.
Key indicators related to Orchid Island's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Orchid Island 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 Orchid daily returns, and it is calculated using variance and standard deviation. We also use Orchid's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Orchid Island volatility.
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Orchid Island can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game as hey may decide to buy additional stocks of Orchid Island at lower prices to lower their average cost per share. Similarly, when the prices of Orchid Island's stock rise, investors can sell out and invest the proceeds in other equities with better opportunities. Main indicators related to Orchid Island's market risk premium analysis include:
Beta 0.37 | Alpha 0.13 | Risk 1.27 | Sharpe Ratio 0.13 | Expected Return 0.16 |
Moving together with Orchid Stock
| 0.73 | IVR | Invesco Mortgage Capital | PairCorr |
| 0.68 | CHMI | Cherry Hill Mortgage | PairCorr |
| 0.68 | BNKHF | BOC Hong Kong | PairCorr |
| 0.82 | OBYCF | Obayashi Earnings Call This Week | PairCorr |
| 0.72 | FIBK | First Interstate Ban | PairCorr |
| 0.81 | SECVY | Seche Environnement | PairCorr |
| 0.91 | RILYL | B Riley Financial | PairCorr |
Moving against Orchid Stock
Orchid Island Market Sensitivity And Downside Risk
Orchid Island's beta coefficient measures the volatility of Orchid 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 Orchid stock's returns against your selected market. In other words, Orchid Island's beta of 0.37 provides an investor with an approximation of how much risk Orchid Island stock can potentially add to one of your existing portfolios. Orchid Island Capital has relatively low volatility with skewness of -0.44 and kurtosis of 1.42. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Orchid Island'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 Orchid Island'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 Orchid Island Capital Demand TrendCheck current 90 days Orchid Island correlation with market (Dow Jones Industrial)Orchid Island Volatility and Downside Risk
Orchid 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.
Orchid Island Capital Stock Volatility Analysis
Volatility refers to the frequency at which Orchid Island stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Orchid Island's price changes. Investors will then calculate the volatility of Orchid Island'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 Orchid Island's volatility:
Historical Volatility
This type of stock volatility measures Orchid Island's fluctuations based on previous trends. It's commonly used to predict Orchid Island'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 Orchid Island'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 Orchid Island'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. Orchid Island Capital 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.
Orchid Island Projected Return Density Against Market
Considering the 90-day investment horizon Orchid Island has a beta of 0.3675 . This indicates as returns on the market go up, Orchid Island average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Orchid Island Capital 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 Orchid Island or Mortgage Real Estate Investment Trusts (REITs) 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 Orchid Island'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 Orchid 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 an Orchid Island 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.Orchid Island Stock Risk Measures
Considering the 90-day investment horizon the coefficient of variation of Orchid Island is 788.76. The daily returns are distributed with a variance of 1.6 and standard deviation of 1.27. The mean deviation of Orchid Island Capital is currently at 0.98. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.74
α | Alpha over Dow Jones | 0.13 | |
β | Beta against Dow Jones | 0.37 | |
σ | Overall volatility | 1.27 | |
Ir | Information ratio | 0.08 |
Orchid Island Stock Return Volatility
Orchid Island historical daily return volatility represents how much of Orchid Island stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm has volatility of 1.2652% on return distribution over 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
| 0.52 | 0.9 | 0.93 | 0.76 | 0.39 | 0.9 | ARR | ||
| 0.52 | 0.38 | 0.38 | 0.24 | 0.63 | 0.39 | EFC | ||
| 0.9 | 0.38 | 0.91 | 0.84 | 0.25 | 0.79 | TWO | ||
| 0.93 | 0.38 | 0.91 | 0.81 | 0.29 | 0.82 | DX | ||
| 0.76 | 0.24 | 0.84 | 0.81 | 0.41 | 0.7 | EARN | ||
| 0.39 | 0.63 | 0.25 | 0.29 | 0.41 | 0.34 | OXLC | ||
| 0.9 | 0.39 | 0.79 | 0.82 | 0.7 | 0.34 | CLM | ||
Risk-Adjusted Indicators
There is a big difference between Orchid Stock performing well and Orchid Island 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 Orchid Island'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| ARR | 1.06 | 0.18 | 0.10 | 0.33 | 1.41 | 2.13 | 8.30 | |||
| EFC | 0.85 | (0.03) | (0.04) | (0.02) | 1.29 | 1.43 | 8.85 | |||
| TWO | 1.85 | 0.39 | 0.13 | 0.43 | 2.59 | 5.62 | 25.79 | |||
| DX | 0.73 | 0.14 | 0.10 | 0.45 | 0.90 | 1.89 | 7.50 | |||
| EARN | 1.05 | 0.11 | 0.05 | 0.58 | 1.27 | 2.25 | 6.47 | |||
| OXLC | 1.60 | (0.34) | 0.00 | (0.33) | 0.00 | 2.53 | 20.96 | |||
| CLM | 0.45 | 0.01 | (0.04) | 0.07 | 0.57 | 1.01 | 2.97 |
About Orchid Island Volatility
Volatility is a rate at which the price of Orchid Island 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 Orchid Island may increase or decrease. In other words, similar to Orchid's beta indicator, it measures the risk of Orchid Island and helps estimate the fluctuations that may happen in a short period of time. So if prices of Orchid Island 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.Orchid Island Capital, Inc., a specialty finance company, invests in residential mortgage-backed securities in the United States. Orchid Island Capital, Inc. was incorporated in 2010 and is based in Vero Beach, Florida. Orchid Island is traded on New York Stock Exchange in the United States.
Orchid Island's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Orchid Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Orchid Island's price varies over time.
3 ways to utilize Orchid Island's volatility to invest better
Higher Orchid Island's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Orchid Island Capital 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. Orchid Island Capital 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 Orchid Island Capital investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Orchid Island'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 Orchid Island's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Orchid Island Investment Opportunity
Orchid Island Capital has a volatility of 1.27 and is 1.69 times more volatile than Dow Jones Industrial. 11 percent of all equities and portfolios are less risky than Orchid Island. You can use Orchid Island Capital to enhance the returns of your portfolios. The stock experiences a large bullish trend. Check odds of Orchid Island to be traded at $8.59 in 90 days.Poor diversification
The correlation between Orchid Island Capital 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 Orchid Island Capital and DJI in the same portfolio, assuming nothing else is changed.
Orchid Island Additional Risk Indicators
The analysis of Orchid Island'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 Orchid Island's investment and either accepting that risk or mitigating it. Along with some common measures of Orchid Island 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 | 0.0974 | |||
| Market Risk Adjusted Performance | 0.4193 | |||
| Mean Deviation | 0.9816 | |||
| Semi Deviation | 1.09 | |||
| Downside Deviation | 1.33 | |||
| Coefficient Of Variation | 788.76 | |||
| Standard Deviation | 1.27 |
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.
Orchid Island 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 Orchid Island 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. Orchid Island'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, Orchid Island'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 Orchid Island Capital.
Complementary Tools for Orchid Stock analysis
When running Orchid Island's price analysis, check to measure Orchid Island'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 Orchid Island is operating at the current time. Most of Orchid Island's value examination focuses on studying past and present price action to predict the probability of Orchid Island's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Orchid Island's price. Additionally, you may evaluate how the addition of Orchid Island to your portfolios can decrease your overall portfolio volatility.
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