Bodegas Riojanas (Spain) Volatility
| RIO Stock | EUR 2.25 0.05 2.17% |
Bodegas Riojanas secures Sharpe Ratio (or Efficiency) of -0.15, which signifies that the company had a -0.15 % return per unit of standard deviation over the last 3 months. Bodegas Riojanas SA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Bodegas Riojanas' mean deviation of 0.8745, and Risk Adjusted Performance of (0.02) to double-check the risk estimate we provide.
Sharpe Ratio = -0.1486
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Estimated Market Risk
| 1.22 actual daily | 10 90% of assets are more volatile |
Expected Return
| -0.18 actual daily | 0 Most of other assets have higher returns |
Risk-Adjusted Return
| -0.15 actual daily | 0 Most of other assets perform better |
Based on monthly moving average Bodegas Riojanas is not performing at its full potential. However, 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 Bodegas Riojanas by adding Bodegas Riojanas to a well-diversified portfolio.
Key indicators related to Bodegas Riojanas' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Bodegas Riojanas 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 Bodegas daily returns, and it is calculated using variance and standard deviation. We also use Bodegas's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Bodegas Riojanas volatility.
Bodegas |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Bodegas Riojanas 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 Bodegas Riojanas at lower prices to lower their average cost per share. Similarly, when the prices of Bodegas Riojanas' stock rise, investors can sell out and invest the proceeds in other equities with better opportunities. Main indicators related to Bodegas Riojanas' market risk premium analysis include:
Beta (0.18) | Alpha (0.04) | Risk 1.22 | Sharpe Ratio (0.15) | Expected Return (0.18) |
Moving against Bodegas Stock
| 0.7 | MEL | Melia Hotels | PairCorr |
| 0.69 | YAI1 | All Iron Re | PairCorr |
| 0.67 | ANA | Acciona | PairCorr |
| 0.58 | APAM | Aperam SA | PairCorr |
| 0.58 | RBT | Robot SA | PairCorr |
| 0.54 | ACS | ACS Actividades de | PairCorr |
| 0.54 | ELE | Endesa SA | PairCorr |
| 0.52 | REP | Repsol SA | PairCorr |
| 0.51 | YCPS | Castellana Properties | PairCorr |
| 0.49 | ISUR | Inmobiliaria del Sur | PairCorr |
Bodegas Riojanas Market Sensitivity And Downside Risk
Bodegas Riojanas' beta coefficient measures the volatility of Bodegas 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 Bodegas stock's returns against your selected market. In other words, Bodegas Riojanas's beta of -0.18 provides an investor with an approximation of how much risk Bodegas Riojanas stock can potentially add to one of your existing portfolios. Bodegas Riojanas SA exhibits very low volatility with skewness of 0.7 and kurtosis of 3.05. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Bodegas Riojanas' stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Bodegas Riojanas' 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 Bodegas Riojanas Demand TrendCheck current 90 days Bodegas Riojanas correlation with market (Dow Jones Industrial)Bodegas Riojanas Volatility and Downside Risk
Bodegas 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.
Bodegas Riojanas Stock Volatility Analysis
Volatility refers to the frequency at which Bodegas Riojanas stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Bodegas Riojanas' price changes. Investors will then calculate the volatility of Bodegas Riojanas' 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 Bodegas Riojanas' volatility:
Historical Volatility
This type of stock volatility measures Bodegas Riojanas' fluctuations based on previous trends. It's commonly used to predict Bodegas Riojanas' 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 Bodegas Riojanas' 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 Bodegas Riojanas' 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. Bodegas Riojanas 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.
Bodegas Riojanas Projected Return Density Against Market
Assuming the 90 days trading horizon Bodegas Riojanas SA has a beta of -0.1823 indicating as returns on the benchmark increase, returns on holding Bodegas Riojanas are expected to decrease at a much lower rate. During a bear market, however, Bodegas Riojanas SA is likely to outperform the market.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 Bodegas Riojanas or Consumer Defensive 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 Bodegas Riojanas' 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 Bodegas 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 a Bodegas Riojanas 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.Bodegas Riojanas Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Bodegas Riojanas is -672.85. The daily returns are distributed with a variance of 1.49 and standard deviation of 1.22. The mean deviation of Bodegas Riojanas SA is currently at 0.82. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.77
α | Alpha over Dow Jones | -0.04 | |
β | Beta against Dow Jones | -0.18 | |
σ | Overall volatility | 1.22 | |
Ir | Information ratio | -0.09 |
Bodegas Riojanas Stock Return Volatility
Bodegas Riojanas historical daily return volatility represents how much of Bodegas Riojanas stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm assumes 1.2221% volatility of returns over the 90 days investment horizon. By contrast, Dow Jones Industrial accepts 0.7575% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Related Correlations Analysis
| -0.2 | 0.18 | 0.61 | 0.0 | -0.54 | YAI1 | ||
| -0.2 | -0.59 | 0.08 | 0.0 | 0.7 | ETC | ||
| 0.18 | -0.59 | 0.12 | 0.0 | -0.32 | A3M | ||
| 0.61 | 0.08 | 0.12 | 0.0 | -0.13 | CABK | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | YHSP | ||
| -0.54 | 0.7 | -0.32 | -0.13 | 0.0 | YEIS | ||
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
There is a big difference between Bodegas Stock performing well and Bodegas Riojanas 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 Bodegas Riojanas' 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| YAI1 | 0.49 | 0.09 | 0.00 | 0.35 | 0.00 | 1.55 | 8.82 | |||
| ETC | 1.93 | 0.03 | (0.02) | (0.06) | 2.46 | 7.27 | 16.61 | |||
| A3M | 0.94 | (0.02) | 0.00 | (3.44) | 0.00 | 2.36 | 4.64 | |||
| CABK | 1.23 | 0.17 | 0.05 | 1.45 | 1.60 | 2.34 | 11.27 | |||
| YHSP | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| YEIS | 0.75 | (0.38) | 0.00 | (0.39) | 0.00 | 0.00 | 29.20 |
About Bodegas Riojanas Volatility
Volatility is a rate at which the price of Bodegas Riojanas 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 Bodegas Riojanas may increase or decrease. In other words, similar to Bodegas's beta indicator, it measures the risk of Bodegas Riojanas and helps estimate the fluctuations that may happen in a short period of time. So if prices of Bodegas Riojanas 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.3 ways to utilize Bodegas Riojanas' volatility to invest better
Higher Bodegas Riojanas' stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Bodegas Riojanas 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. Bodegas Riojanas 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 Bodegas Riojanas investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Bodegas Riojanas' 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 Bodegas Riojanas' stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Bodegas Riojanas Investment Opportunity
Bodegas Riojanas SA has a volatility of 1.22 and is 1.61 times more volatile than Dow Jones Industrial. 10 percent of all equities and portfolios are less risky than Bodegas Riojanas. You can use Bodegas Riojanas SA to protect your portfolios against small market fluctuations. The stock experiences an unexpected downward movement. The market is reacting to new fundamentals. Check odds of Bodegas Riojanas to be traded at €2.16 in 90 days.Very good diversification
The correlation between Bodegas Riojanas SA and DJI is -0.4 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Bodegas Riojanas SA and DJI in the same portfolio, assuming nothing else is changed.
Bodegas Riojanas Additional Risk Indicators
The analysis of Bodegas Riojanas' 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 Bodegas Riojanas' investment and either accepting that risk or mitigating it. Along with some common measures of Bodegas Riojanas 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 | (0.02) | |||
| Market Risk Adjusted Performance | 0.3012 | |||
| Mean Deviation | 0.8745 | |||
| Coefficient Of Variation | (3,289) | |||
| Standard Deviation | 1.42 | |||
| Variance | 2.01 | |||
| Information Ratio | (0.09) |
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.
Bodegas Riojanas 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 Bodegas Riojanas 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. Bodegas Riojanas' 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, Bodegas Riojanas' 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 Bodegas Riojanas SA.
Complementary Tools for Bodegas Stock analysis
When running Bodegas Riojanas' price analysis, check to measure Bodegas Riojanas' 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 Bodegas Riojanas is operating at the current time. Most of Bodegas Riojanas' value examination focuses on studying past and present price action to predict the probability of Bodegas Riojanas' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Bodegas Riojanas' price. Additionally, you may evaluate how the addition of Bodegas Riojanas to your portfolios can decrease your overall portfolio volatility.
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