PCF Group (Poland) Volatility
| PCF Stock | 3.65 0.27 7.99% |
PCF Group SA maintains Sharpe Ratio (i.e., Efficiency) of -0.0205, which implies the company had a -0.0205 % return per unit of volatility over the last 3 months. PCF Group SA exposes twenty-eight different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check PCF Group's market risk adjusted performance of 0.2582, and Coefficient Of Variation of 3205.78 to confirm the risk estimate we provide.
PCF |
PCF Group 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 PCF daily returns, and it is calculated using variance and standard deviation. We also use PCF's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of PCF Group volatility.
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as PCF Group 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 PCF Group at lower prices. For example, an investor can purchase PCF 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 PCF Group'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. Main indicators related to PCF Group's market risk premium analysis include:
Moving together with PCF Stock
Moving against PCF Stock
| 0.54 | SAN | Banco Santander SA | PairCorr |
| 0.46 | UCG | UniCredit SpA | PairCorr |
| 0.4 | KGH | KGHM Polska Miedz | PairCorr |
| 0.39 | PEO | Bank Polska Kasa | PairCorr |
PCF Group Market Sensitivity And Downside Risk
PCF Group's beta coefficient measures the volatility of PCF 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 PCF stock's returns against your selected market. In other words, PCF Group's beta of 0.41 provides an investor with an approximation of how much risk PCF Group stock can potentially add to one of your existing portfolios. PCF Group SA currently demonstrates below-average downside deviation. It has Information Ratio of 0.0 and Jensen Alpha of 0.07. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure PCF Group'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 PCF Group'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 PCF Group SA Demand TrendCheck current 90 days PCF Group correlation with market (Dow Jones Industrial)PCF Group Volatility and Downside Risk
PCF 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.
PCF Group SA Stock Volatility Analysis
Volatility refers to the frequency at which PCF Group stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with PCF Group's price changes. Investors will then calculate the volatility of PCF Group'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 PCF Group's volatility:
Historical Volatility
This type of stock volatility measures PCF Group's fluctuations based on previous trends. It's commonly used to predict PCF Group'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 PCF Group'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 PCF Group'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. PCF Group 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.
PCF Group Projected Return Density Against Market
Assuming the 90 days trading horizon PCF Group has a beta of 0.4075 indicating as returns on the market go up, PCF Group average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding PCF Group 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 PCF Group or PCF 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 PCF Group'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 PCF 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.
PCF Group SA has an alpha of 0.0668, implying that it can generate a 0.0668 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a PCF Group 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.PCF Group Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of PCF Group is -4886.49. The daily returns are distributed with a variance of 12.42 and standard deviation of 3.52. The mean deviation of PCF Group SA is currently at 2.44. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.74
α | Alpha over Dow Jones | 0.07 | |
β | Beta against Dow Jones | 0.41 | |
σ | Overall volatility | 3.52 | |
Ir | Information ratio | 0 |
PCF Group Stock Return Volatility
PCF Group historical daily return volatility represents how much of PCF Group stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The enterprise accepts 3.5245% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7029% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Related Correlations Analysis
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
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between PCF Stock performing well and PCF Group 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 PCF Group'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| LTM | 3.13 | (0.50) | 0.00 | (0.85) | 0.00 | 6.67 | 15.00 | |||
| QNT | 2.19 | 0.82 | 0.17 | 0.63 | 1.88 | 6.00 | 35.98 | |||
| BKD | 2.63 | 0.12 | 0.03 | 0.29 | 2.79 | 5.36 | 27.67 | |||
| CIG | 1.53 | (0.26) | 0.00 | 0.65 | 0.00 | 3.57 | 9.67 | |||
| CFG | 2.15 | (0.30) | 0.00 | 3.37 | 0.00 | 5.05 | 18.37 | |||
| IPO | 1.95 | (0.19) | 0.00 | (0.33) | 0.00 | 5.77 | 16.41 | |||
| TEN | 1.16 | 0.19 | 0.08 | (1.20) | 1.03 | 3.28 | 6.41 |
PCF Group Investment Opportunity
PCF Group SA has a volatility of 3.52 and is 5.03 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of PCF Group SA is lower than 31 percent of all global equities and portfolios over the last 90 days. You can use PCF Group SA to enhance the returns of your portfolios. The stock experiences a very speculative upward sentiment. Check odds of PCF Group to be traded at 4.56 in 90 days.Significant diversification
The correlation between PCF Group SA and DJI is 0.09 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding PCF Group SA and DJI in the same portfolio, assuming nothing else is changed.
PCF Group Additional Risk Indicators
The analysis of PCF Group'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 PCF Group's investment and either accepting that risk or mitigating it. Along with some common measures of PCF Group 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 | 0.0311 | |||
| Market Risk Adjusted Performance | 0.2582 | |||
| Mean Deviation | 2.48 | |||
| Semi Deviation | 2.74 | |||
| Downside Deviation | 2.92 | |||
| Coefficient Of Variation | 3205.78 | |||
| Standard Deviation | 3.56 |
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.
PCF Group 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.
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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 PCF Group 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. PCF Group'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, PCF Group'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 PCF Group SA.
Additional Tools for PCF Stock Analysis
When running PCF Group's price analysis, check to measure PCF Group'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 PCF Group is operating at the current time. Most of PCF Group's value examination focuses on studying past and present price action to predict the probability of PCF Group's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move PCF Group's price. Additionally, you may evaluate how the addition of PCF Group to your portfolios can decrease your overall portfolio volatility.