ORVR3F (Brazil) Volatility

ORVR3F Stock

68.08 0.06 0.09%

ORVR3F appears to be very steady, given 3 months investment horizon. ORVR3F maintains Sharpe Ratio (i.e., Efficiency) of 0.17, which implies the firm had a 0.17 % return per unit of standard deviation over the last 3 months. We have found twenty-nine technical indicators for ORVR3F, which you can use to evaluate the volatility of the company. Please evaluate ORVR3F's Market Risk Adjusted Performance of 2.3, risk adjusted performance of 0.123, and Semi Deviation of 1.6 to confirm if our risk estimates are consistent with your expectations.

ORVR3F 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 ORVR3F daily returns, and it is calculated using variance and standard deviation. We also use ORVR3F's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of ORVR3F volatility.

Since volatility provides investors with entry points to take advantage of stock prices, companies, such as ORVR3F 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 ORVR3F at lower prices to lower their average cost per share. Similarly, when the prices of ORVR3F's stock rise, investors can sell out and invest the proceeds in other equities with better opportunities. Main indicators related to ORVR3F's market risk premium analysis include:

Moving together with ORVR3F Stock

0.92	B1SA34	Banco Santander Chile	Pair Corr
0.87	GOGL35	Alphabet	Pair Corr
0.9	GOGL34	Alphabet	Pair Corr
0.89	H1SB34	HSBC Holdings plc	Pair Corr
0.88	AXIA6	Centrais Eltricas Split	Pair Corr
0.73	RENT3	Localiza Rent a	Pair Corr
0.81	C1TV34	Corteva	Pair Corr
0.69	C1MI34	Cummins	Pair Corr
0.83	M1DB34	MongoDB	Pair Corr
0.85	I1QV34	IQVIA Holdings	Pair Corr
0.81	B1TI34	British American Tobacco	Pair Corr
0.9	JSLG3	JSL SA	Pair Corr
0.74	FLRY3	Fleury SA	Pair Corr
0.89	BONY34	The Bank	Pair Corr
0.94	ALPA4	Alpargatas SA	Pair Corr
0.81	RCSL4	Recrusul SA	Pair Corr
0.62	HBRE3	HBR Realty Empreendi	Pair Corr

Moving against ORVR3F Stock

0.73	MSFT34	Microsoft Earnings Call This Week	Pair Corr
0.66	BABA34	Alibaba Group Holding	Pair Corr

ORVR3F Market Sensitivity And Downside Risk

ORVR3F's beta coefficient measures the volatility of ORVR3F 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 ORVR3F stock's returns against your selected market. In other words, ORVR3F's beta of 0.16 provides an investor with an approximation of how much risk ORVR3F stock can potentially add to one of your existing portfolios. ORVR3F has relatively low volatility with skewness of 0.35 and kurtosis of 3.96. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure ORVR3F'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 ORVR3F'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.

Check current 90 days ORVR3F correlation with market (Dow Jones Industrial)

0.35

0.16

Competition

3 Months Beta |Analyze ORVR3F Demand Trend

Check current 90 days ORVR3F correlation with market (Dow Jones Industrial)

ORVR3F Volatility and Downside Risk

ORVR3F 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.

ORVR3F Stock Volatility Analysis

Volatility refers to the frequency at which ORVR3F stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with ORVR3F's price changes. Investors will then calculate the volatility of ORVR3F'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 ORVR3F's volatility:

Historical Volatility

This type of stock volatility measures ORVR3F's fluctuations based on previous trends. It's commonly used to predict ORVR3F'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 ORVR3F'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 ORVR3F'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. Developed by Larry Williams, the Weighted Close is the average of ORVR3F high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only ORVR3F closing price as input.

ORVR3F Projected Return Density Against Market

Assuming the 90 days trading horizon ORVR3F has a beta of 0.1578 . This indicates as returns on the market go up, ORVR3F average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding ORVR3F 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 ORVR3F or ORVR3F 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 ORVR3F'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 ORVR3F 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.

ORVR3F has an alpha of 0.3472, implying that it can generate a 0.35 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta).

Predicted Return Density

Returns

ORVR3F's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how orvr3f stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives an ORVR3F 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.

ORVR3F Stock Risk Measures

Assuming the 90 days trading horizon the coefficient of variation of ORVR3F is 594.49. The daily returns are distributed with a variance of 5.29 and standard deviation of 2.3. The mean deviation of ORVR3F is currently at 1.56. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.69

α	Alpha over Dow Jones	0.35	Details
β	Beta against Dow Jones	0.16	Details
σ	Overall volatility	2.30	Details
Ir	Information ratio	0.12	Details

ORVR3F Stock Return Volatility

ORVR3F historical daily return volatility represents how much of ORVR3F stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company accepts 2.3002% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.6908% volatility on return distribution over the 90 days horizon.

Performance

Timeline

Related Correlations Analysis

	TSMC34	AAPL34	BABA34	MSFT34	B1SA34	GOGL35	GOGL34	AMZO34	H1SB34	BERK34
TSMC34		-0.35	0.13	-0.33	0.6	0.45	0.46	0.38	0.68	-0.09	TSMC34
AAPL34	-0.35		-0.45	-0.15	0.22	0.47	0.46	0.12	0.14	0.45	AAPL34
BABA34	0.13	-0.45		0.52	-0.5	-0.52	-0.55	-0.12	-0.45	-0.7	BABA34
MSFT34	-0.33	-0.15	0.52		-0.72	-0.8	-0.78	-0.25	-0.61	-0.34	MSFT34
B1SA34	0.6	0.22	-0.5	-0.72		0.88	0.89	0.55	0.93	0.42	B1SA34
GOGL35	0.45	0.47	-0.52	-0.8	0.88		0.97	0.46	0.79	0.45	GOGL35
GOGL34	0.46	0.46	-0.55	-0.78	0.89	0.97		0.5	0.81	0.45	GOGL34
AMZO34	0.38	0.12	-0.12	-0.25	0.55	0.46	0.5		0.55	-0.13	AMZO34
H1SB34	0.68	0.14	-0.45	-0.61	0.93	0.79	0.81	0.55		0.4	H1SB34
BERK34	-0.09	0.45	-0.7	-0.34	0.42	0.45	0.45	-0.13	0.4		BERK34
	TSMC34	AAPL34	BABA34	MSFT34	B1SA34	GOGL35	GOGL34	AMZO34	H1SB34	BERK34

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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

GOGL34	+ 0.97	GOGL35
H1SB34	+ 0.93	B1SA34
GOGL34	+ 0.89	B1SA34
GOGL35	+ 0.88	B1SA34
H1SB34	+ 0.81	GOGL34
H1SB34	+ 0.79	GOGL35

High negative correlations

GOGL35	- 0.8	MSFT34
GOGL34	- 0.78	MSFT34
B1SA34	- 0.72	MSFT34
BERK34	- 0.7	BABA34
H1SB34	- 0.61	MSFT34
GOGL34	- 0.55	BABA34

Risk-Adjusted Indicators

There is a big difference between ORVR3F Stock performing well and ORVR3F 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 ORVR3F'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
TSMC34	1.52	0.17	0.05	3.01	1.66	(1.61)	3.27	(2.62)	8.48
AAPL34	1.00	(0.05)	(0.07)	0.01	1.22	(0.99)	2.56	(1.93)	6.29
BABA34	2.01	0.00	0.00	0.10	0.00	0.00	4.89	(3.29)	14.12
MSFT34	0.99	(0.21)	0.00	(0.77)	0.00	0.00	1.65	(2.24)	7.30
B1SA34	1.06	0.24	0.11	0.46	1.33	(1.36)	2.59	(1.72)	10.62
GOGL35	1.55	0.41	0.23	1.18	1.22	(1.88)	3.81	(2.22)	9.86
GOGL34	1.58	0.42	0.21	1.08	1.36	(1.77)	4.00	(2.53)	11.31
AMZO34	1.44	0.02	0.00	0.12	1.65	(1.54)	3.34	(3.37)	9.20
H1SB34	1.06	0.28	0.17	0.85	0.96	(1.26)	2.88	(1.70)	7.84
BERK34	0.84	(0.02)	0.00	0.52	0.00	0.00	1.96	(1.53)	6.51

ORVR3F Investment Opportunity

ORVR3F has a volatility of 2.3 and is 3.33 times more volatile than Dow Jones Industrial. 20 percent of all equities and portfolios are less risky than ORVR3F. You can use ORVR3F to enhance the returns of your portfolios. The stock experiences a normal upward fluctuation. Check odds of ORVR3F to be traded at 71.48 in 90 days.

Significant diversification

The correlation between ORVR3F and DJI is 0.05 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding ORVR3F and DJI in the same portfolio, assuming nothing else is changed.

View Details

ORVR3F Additional Risk Indicators

The analysis of ORVR3F'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 ORVR3F's investment and either accepting that risk or mitigating it. Along with some common measures of ORVR3F 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	0.123
	Market Risk Adjusted Performance	2.3
	Mean Deviation	1.51
	Semi Deviation	1.6
	Downside Deviation	1.87
	Coefficient Of Variation	596.56
	Standard Deviation	2.22

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.

ORVR3F 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.

	Dupont De vs. ORVR3F
	Alphabet vs. ORVR3F
	Microsoft vs. ORVR3F
	Citigroup vs. ORVR3F
	Ford vs. ORVR3F
	Walker Dunlop vs. ORVR3F
	GM vs. ORVR3F

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 ORVR3F 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. ORVR3F'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, ORVR3F'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 ORVR3F.

Complementary Tools for ORVR3F Stock analysis

When running ORVR3F's price analysis, check to measure ORVR3F'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 ORVR3F is operating at the current time. Most of ORVR3F's value examination focuses on studying past and present price action to predict the probability of ORVR3F's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move ORVR3F's price. Additionally, you may evaluate how the addition of ORVR3F to your portfolios can decrease your overall portfolio volatility.

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