Samsung Electronics (Mexico) Volatility
| SMSNN Stock | MXN 67,000 3,892 6.17% |
Sharpe Ratio = 0.2008
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Estimated Market Risk
| 2.71 actual daily | 24 Higher volatility than 24% of comparable assets |
Expected Return
| 0.54 actual daily | 10 Outperformed by 90% of comparable assets |
Risk-Adjusted Return
| 0.2 actual daily | 15 15th percentile in risk-adjusted performance |
Samsung Electronics Co's financial profile includes a Market Risk Adjusted Performance of -4.5%, a Risk of 2.71, and a Risk Adjusted Performance of 0.2%. The stock is tracking at approximately 15% of its historical trend range per monthly averages.
Key indicators related to Samsung Electronics' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Samsung Electronics (3 Months):
Beta -0.12 | Alpha 0.54 | Risk 2.71 | Sharpe Ratio 0.2 | Expected Return 0.54 |
Sensitivity To Market
Samsung Electronics Co beta of -0.12 quantifies how much of its total volatility (2.71%) is attributable to market-wide factors versus idiosyncratic drivers. Samsung Electronics Co return dispersion over the lookback window shows standard deviation near 2.71% and semi-deviation near 0.97%, providing a baseline for comparison across peer instruments. For individual stocks, volatility often rises around earnings, guidance updates, and major company news.
3 Months Beta |Samsung Electronics Demand TrendCurrent 90-day Samsung Electronics correlation with market (Dow Jones Industrial)Downside Risk
Samsung daily return dispersion, captured by standard deviation, sets the baseline volatility reading for this instrument. High standard deviation indicates a volatile instrument; low standard deviation indicates a more stable one.
Standard Deviation | 2.71 |
The difference between upside risk and downside risk is meaningful for Samsung Electronics analysis. Semi-deviation and downside deviation isolate negative return dispersion, providing additional context on loss-specific risk relative to total volatility for Samsung Electronics. Samsung Electronics Co's financial profile includes a Downside Deviation of 3.95, a Downside Variance of 15.58, and a Maximum Drawdown of 17.60.
Stock Volatility Analysis
When measuring the risk of Samsung Electronics stock, volatility is a critical metric. These fluctuations usually indicate the level of risk associated with Samsung Electronics' price changes.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Samsung Electronics's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.
Projected Return Density Against Market
Over the selected 90-day horizon, Samsung Electronics Co has a beta of -0.1189. This usually implies that as returns on the benchmark increase, returns on Samsung Electronics tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, Samsung Electronics Co tends to outperform the market.Risk assessment for Samsung Electronics separates macro-driven volatility from company or sector-specific developments. Market risk cannot be diversified away, though asset-specific exposure can be moderated. Samsung Electronics Co's financial profile includes a Downside Deviation of 3.95, a Mean Deviation of 1.54, and a Semi Deviation of 0.97.
Predicted Return Distribution |
| Density |
What Drives Samsung Electronics' Price Volatility?
Industry Dynamics
Sector-level catalysts in the Technology sector often set the baseline volatility regime for Samsung Electronics.Political and Economic Environment
Interest-rate path changes, geopolitical developments, and macro surprises influence investor risk tolerance.Samsung Electronics' Company-Specific Factors
Execution updates, margin trends, and corporate actions can shift near-term return dispersion for Samsung Electronics'.Stock Risk Measures
Over the selected 90-day horizon, the coefficient of variation of Samsung Electronics is 497.91. The daily returns are distributed with a variance of 7.36 and standard deviation of 2.71. The mean deviation of Samsung Electronics Co is currently at 1.54. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.95
α | Alpha over Dow Jones | 0.54 | |
β | Beta against Dow Jones | -0.1189 | |
σ | Overall volatility | 2.71 | |
Ir | Information ratio | 0.19 |
Stock Return Volatility
Samsung Electronics daily volatility tracks how widely stock returns have moved around the mean across the selected time frame. The firm reflects 2.7122% volatility on return distribution over a 90-day horizon. On the other hand, Dow Jones Industrial reported 0.924% volatility on return distribution over a 90-day investment 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
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Risk-Adjusted Indicators
Return momentum in Samsung Stock is more useful when tested against peer-relative fundamentals and risk. Without risk-adjusted context, short-term returns may appear stronger than the volatility required to achieve them would suggest. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| HOMEX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| TTWO | 1.09 | 0.09 | 0.03 | -0.41 | 1.48 | 3.67 | 11.83 | |||
| FIHO12 | 0.70 | 0.02 | 0.00 | 0.20 | 0.86 | 1.79 | 5.41 | |||
| CTSH | 1.33 | -0.71 | 0.00 | -18.51 | 0.00 | 0.00 | 25.47 | |||
| VZ | 1.19 | 0.06 | 0.02 | 0.40 | 1.39 | 3.54 | 8.40 | |||
| TSMN | 1.82 | 0.31 | 0.15 | -7.37 | 1.74 | 5.02 | 9.68 | |||
| BNS | 0.03 | 0.01 | 0.00 | 2.09 | 0.00 | 0.00 | 1.01 | |||
| GNW | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
Risk Metrics, Assumptions & Methodology
Standard deviation for Samsung Electronics measures how widely returns scatter around their average over a given period. Return scatter increases when new information or regime shifts widen the distribution of outcomes. Samsung Electronics has a market cap of 6.29 trillion, P/E of 117.22, ROE of 16.87%.
Samsung Electronics Co metrics draw on periodic company reporting and market reference feeds, standardized for cross-period comparison. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Raphi Shpitalnik, Junior Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that Samsung Electronics Co is more volatile than Dow Jones Industrial by approximately 2.95x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 24% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Samsung Electronics Co with characteristics aligned to broad market upside participation. This directional read frames the latest price swing through a simple momentum and follow-through lens. It is intended to separate routine noise from more speculative bursts in price action. a very speculative upward sentiment. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Samsung Electronics probability analysis.
Good diversification
Across the chosen horizon, Samsung Electronics and Dow Jones show a correlation of 0.18 and fall into the Good diversification bucket. Lower overlap tends to improve diversification, while higher overlap means both positions carry similar risk.
Additional Risk Indicators
Risk analysis around Samsung Electronics Co gains depth when secondary indicators confirm, refine, or challenge the basic volatility picture. A thorough risk review clarifies whether current exposure warrants maintenance, reduction, or offset elsewhere in the portfolio.
| Risk Adjusted Performance | 0.1978 | |||
| Market Risk Adjusted Performance | -4.49 | |||
| Mean Deviation | 1.54 | |||
| Semi Deviation | 0.9709 | |||
| Downside Deviation | 3.95 | |||
| Coefficient Of Variation | 497.91 | |||
| Standard Deviation | 2.71 |
Samsung Electronics Suggested Diversification Pairs
A paired position built around Samsung Electronics Co reduces directional market exposure while expressing a relative-value view. Pair trading is less about prediction in isolation and more about identifying relative mispricing between related positions.
Pair strategies reduce risk, but not all risk is diversifiable through pairing. Market-level risk for Samsung Electronics persists even in a well-constructed pair. The benefit is in offsetting Samsung Electronics' company-specific risk, which can be meaningfully reduced by selecting a second position that moves independently of Samsung Electronics Co.