Saniona AB (Sweden) Volatility
| SANION-TO4 | 1.95 0.01 0.52% |
Saniona AB is out of control given 3 months investment horizon. Saniona AB TO owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.12, which indicates the firm had a 0.12% return per unit of risk over the last 3 months. We were able to interpolate twenty-nine different technical indicators, which can help you to evaluate if expected returns of 2.32% are justified by taking the suggested risk. Use Saniona AB TO Risk Adjusted Performance of 0.1002, semi deviation of 8.43, and Coefficient Of Variation of 874.21 to evaluate company specific risk that cannot be diversified away.
Saniona |
Saniona AB 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 Saniona daily returns, and it is calculated using variance and standard deviation. We also use Saniona's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Saniona AB volatility.
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Saniona AB 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 Saniona AB at lower prices to lower their average cost per share. Similarly, when the prices of Saniona AB's stock rise, investors can sell out and invest the proceeds in other equities with better opportunities.
Moving against Saniona Stock
Saniona AB Market Sensitivity And Downside Risk
Saniona AB's beta coefficient measures the volatility of Saniona 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 Saniona stock's returns against your selected market. In other words, Saniona AB's beta of -2.3 provides an investor with an approximation of how much risk Saniona AB stock can potentially add to one of your existing portfolios. Saniona AB TO is showing large volatility of returns over the selected time horizon. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Saniona AB'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 Saniona AB'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 Saniona AB TO Demand TrendCheck current 90 days Saniona AB correlation with market (Dow Jones Industrial)Saniona Beta |
Saniona 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 | 18.95 |
It is essential to understand the difference between upside risk (as represented by Saniona AB's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Saniona AB's daily returns or price. Since the actual investment returns on holding a position in saniona stock 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 Saniona AB.
Saniona AB TO Stock Volatility Analysis
Volatility refers to the frequency at which Saniona AB stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Saniona AB's price changes. Investors will then calculate the volatility of Saniona AB'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 Saniona AB's volatility:
Historical Volatility
This type of stock volatility measures Saniona AB's fluctuations based on previous trends. It's commonly used to predict Saniona AB'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 Saniona AB'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 Saniona AB'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. Saniona AB TO 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.
Saniona AB Projected Return Density Against Market
Assuming the 90 days trading horizon Saniona AB TO has a beta of -2.3026 . This usually implies as returns on its benchmark rise, returns on holding Saniona AB TO are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Saniona AB is expected to outperform its benchmark.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 Saniona AB or Saniona 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 Saniona AB'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 Saniona 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.
Saniona AB TO has an alpha of 2.1971, implying that it can generate a 2.2 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Saniona AB 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.Saniona AB Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Saniona AB is 817.51. The daily returns are distributed with a variance of 359.27 and standard deviation of 18.95. The mean deviation of Saniona AB TO is currently at 8.25. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.79
α | Alpha over Dow Jones | 2.20 | |
β | Beta against Dow Jones | -2.3 | |
σ | Overall volatility | 18.95 | |
Ir | Information ratio | 0.11 |
Saniona AB Stock Return Volatility
Saniona AB historical daily return volatility represents how much of Saniona AB stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company accepts 18.9545% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.8043% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Saniona AB Investment Opportunity
Saniona AB TO has a volatility of 18.95 and is 23.69 times more volatile than Dow Jones Industrial. 96 percent of all equities and portfolios are less risky than Saniona AB. You can use Saniona AB TO to enhance the returns of your portfolios. The stock experiences a moderate upward volatility. Check odds of Saniona AB to be traded at 2.15 in 90 days.Good diversification
The correlation between Saniona AB TO and DJI is -0.1 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Saniona AB TO and DJI in the same portfolio, assuming nothing else is changed.
Saniona AB Additional Risk Indicators
The analysis of Saniona AB'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 Saniona AB's investment and either accepting that risk or mitigating it. Along with some common measures of Saniona AB 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 | 0.1002 | |||
| Market Risk Adjusted Performance | (0.92) | |||
| Mean Deviation | 8.22 | |||
| Semi Deviation | 8.43 | |||
| Downside Deviation | 11.81 | |||
| Coefficient Of Variation | 874.21 | |||
| Standard Deviation | 18.85 |
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.
Saniona AB 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 Saniona AB 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. Saniona AB'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, Saniona AB'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 Saniona AB TO.
Complementary Tools for Saniona Stock analysis
When running Saniona AB's price analysis, check to measure Saniona AB'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 Saniona AB is operating at the current time. Most of Saniona AB's value examination focuses on studying past and present price action to predict the probability of Saniona AB's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Saniona AB's price. Additionally, you may evaluate how the addition of Saniona AB to your portfolios can decrease your overall portfolio volatility.
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