Virgin Galactic Holdings Stock Volatility
| SPCE Stock | USD 2.45 -0.07 -2.78% |
Sharpe Ratio = 0.0362
| Leading Returns | Top Quartile | |||
| Strong | ||||
| Moderate | ||||
| Modest | SPCE | |||
| Cash | Low | Moderate | Elevated | High |
| Below Benchmark |
Virgin Galactic Holdings (SPCE) recorded a Market Risk Adjusted Performance of 0.03%, a Risk of 5.02, and a Risk Adjusted Performance of 0.02%. Monthly performance data shows the stock operating at about 2% of its measured historical range.
Key indicators related to Virgin Galactic's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Virgin Galactic (3 Months):
Beta 1.94 | Alpha 0.06 | Risk 5.02 | Sharpe Ratio 0.04 | Expected Return 0.18 |
Moving together with Virgin Galactic Stock
Moving Against Virgin Galactic Stock
Sensitivity To Market
Virgin Galactic Holdings exhibits a beta of 1.94, representing its market-relative sensitivity. This coefficient separates systematic risk from company-specific volatility. Total return dispersion is approximately 5.02%. Virgin Galactic Holdings return patterns over the selected horizon reflect a above average level of variability, based on dispersion and downside-focused statistics. Standard deviation is near 5.14%. Stock volatility reflects changes in expectations about revenue, margins, and competitive position. For Virgin Galactic Holdings, price swings may be influenced by sector movement and company-specific headlines.
3 Months Beta |Virgin Galactic Holdings Demand TrendCurrent 90-day Virgin Galactic correlation with market (Dow Jones Industrial)Downside Risk
For Virgin Galactic, the standard deviation figure expresses the observed spread of daily returns over the selected period. The magnitude of Virgin Galactic standard deviation determines where it falls on the volatility spectrum relative to peers. Pairing standard deviation with beta separates Virgin Galactic total risk from its market-driven component. Combining Virgin Galactic standard deviation with skewness and kurtosis gives a more complete picture of return distribution shape.
Standard Deviation | 5.02 |
Distinguishing between standard deviation and downside deviation sharpens the risk picture for Virgin Galactic. Standard deviation reflects total return dispersion for Virgin Galactic, while downside deviation captures only the adverse portion of Virgin Galactic's returns. Standard deviation and downside deviation for Virgin Galactic measure different things - total dispersion vs. loss-only dispersion. Semi-deviation and downside deviation focus on the loss risk embedded in Virgin Galactic's returns. Virgin Galactic Holdings (SPCE) recorded a Downside Deviation of 3.46, a Downside Variance of 12.00, and a Maximum Drawdown of 31.35.
Stock Volatility Analysis
For Virgin Galactic, understanding volatility is essential to assessing portfolio risk contribution. It indicates how dramatically Virgin Galactic's price swings over a specific time horizon. For Virgin Galactic, volatility is both a risk factor and a driver of return dispersion. Sharp price movements in Virgin Galactic's are triggered by earnings surprises, macroeconomic data, or sector trends.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Virgin Galactic Holdings'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
Given a 90-day horizon, Virgin Galactic has a beta of 1.9421. This usually implies when the benchmark rises, SPCE tends to outperform it on average. However, when benchmark returns turn negative, Virgin Galactic tends to underperform.Holders of Virgin Galactic face systematic risk from broad stock market trends and unsystematic risk from company or sector-specific developments. Diversification reduces specific exposure, but macro-driven volatility persists. Beta remains a common sensitivity metric. Virgin Galactic Holdings (SPCE) recorded a Downside Deviation of 3.46, a Mean Deviation of 3.45, and a Semi Deviation of 3.28.
Predicted Return Distribution |
| Density |
What Drives Virgin Galactic's Price Volatility?
Industry Dynamics
Virgin Galactic's volatility can rise when competitive dynamics or demand conditions shift across the Aerospace & Defense sector.Political and Economic Environment
Changes in fiscal policy, rates, and growth expectations affect market-wide risk premiums and spill into Virgin Galactic's trading.Virgin Galactic's Company-Specific Factors
Event risk around earnings, forecasts, and operating performance can create abrupt price dispersion in Virgin Galactic.Stock Risk Measures
Given a 90-day horizon, the coefficient of variation of Virgin Galactic is 2761.37. The daily returns are distributed with a variance of 25.19 and standard deviation of 5.02. The mean deviation of Virgin Galactic Holdings is currently at 3.35. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.97
α | Alpha over Dow Jones | 0.06 | |
β | Beta against Dow Jones | 1.94 | |
σ | Overall volatility | 5.02 | |
Ir | Information ratio | 0.01 |
Stock Return Volatility
Virgin Galactic return volatility captures the typical daily swing in stock returns relative to the mean over the selected period. The firm has volatility of 5.0194% on return distribution over a 90-day investment horizon. Meanwhile, Dow Jones Industrial reported 0.9671% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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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
| High negative correlations
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Risk-Adjusted Indicators
Virgin Galactic Company can look attractive on recent price action while risk efficiency lags the peer group. Reviewing Virgin Galactic's risk-adjusted indicators gives a clearer view of whether returns are being earned efficiently. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| POWW | 2.07 | 0.41 | 0.16 | 0.37 | 2.16 | 4.76 | 12.19 | |||
| NVX | 3.70 | -0.32 | 0.00 | -0.12 | 0.00 | 6.15 | 18.17 | |||
| VWAV | 6.45 | -0.37 | 0.00 | -0.29 | 0.00 | 12.84 | 41.22 | |||
| PAMT | 3.65 | -0.31 | 0.00 | -0.14 | 0.00 | 8.85 | 21.69 | |||
| PAL | 3.04 | -0.50 | 0.00 | -0.25 | 0.00 | 4.48 | 29.85 | |||
| FC | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| ISSC | 4.33 | 0.33 | 0.06 | 0.11 | 4.84 | 9.43 | 25.22 | |||
| FCEL | 5.07 | 1.32 | 0.26 | 0.57 | 4.40 | 16.12 | 41.92 | |||
| SHMD | 6.75 | -0.48 | 0.00 | -0.12 | 0.00 | 13.11 | 48.50 | |||
| ALTG | 3.15 | 0.36 | 0.10 | 0.13 | 3.18 | 9.89 | 18.46 |
Risk Metrics, Assumptions & Methodology
Drawdown depth for Virgin Galactic defines the worst peak-to-trough loss observed, framing downside volatility in practical terms. Observed drawdowns appear relatively moderate compared with broader market swings. Virgin Galactic has a market cap of 237.93 million, ROE of -93.56%.
Virgin Galactic Holdings figures are aggregated from periodic company reporting and market reference feeds and normalized across reporting formats. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Gabriel Shpitalnik, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that Virgin Galactic Holdings is more volatile than Dow Jones Industrial by approximately 5.18x 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 45% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Virgin Galactic Holdings exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This directional read frames the latest price swing through a simple momentum and follow-through lens. It gives extra weight to the size of the move, the quote level, and whether the instrument trades in a hype-prone venue. an unexpected downward movement. The market is reacting to new fundamentals. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Virgin Galactic probability analysis.
Moderate diversification
The correlation between Virgin Galactic and Dow Jones is 0.25, which Macroaxis classifies as Moderate diversification for the selected horizon. The overlap area shows the portion of risk diversified away by holding both instruments together.
Additional Risk Indicators
Secondary risk indicators for Virgin Galactic Holdings evaluate exposure beyond standard deviation, beta, or one headline volatility measure. These measures support both standalone risk assessment and portfolio-level analysis.
| Risk Adjusted Performance | 0.0168 | |||
| Market Risk Adjusted Performance | 0.0285 | |||
| Mean Deviation | 3.45 | |||
| Semi Deviation | 3.28 | |||
| Downside Deviation | 3.46 | |||
| Coefficient Of Variation | 11197.27 | |||
| Standard Deviation | 5.14 |
Virgin Galactic Suggested Diversification Pairs
A pair-trading setup around Virgin Galactic shifts the return benchmark from the broad market to a second position, altering the risk profile. This structure emphasizes relative performance differences between paired assets rather than broad market direction.
While pairing positions reduces portfolio risk, some forms of risk persist no matter which instruments are combined. No matter how well a pair is constructed around Virgin Galactic, market-wide risk remains. What pair trading can address is Virgin Galactic's unsystematic risk - the portion driven by company or sector-specific factors rather than broad market forces.