Strabag SE (Austria) Volatility
| STR Stock | EUR 81.40 1.60 1.93% |
Strabag SE appears to be very steady, given 3 months investment horizon. Strabag SE owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.15, which indicates the firm had a 0.15 % return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Strabag SE, which you can use to evaluate the volatility of the company. Please review Strabag SE's Coefficient Of Variation of 8030.14, semi deviation of 2.35, and Risk Adjusted Performance of 0.0154 to confirm if our risk estimates are consistent with your expectations.
Sharpe Ratio = 0.1491
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Estimated Market Risk
| 1.63 actual daily | 14 86% of assets are more volatile |
Expected Return
| 0.24 actual daily | 4 96% of assets have higher returns |
Risk-Adjusted Return
| 0.15 actual daily | 11 89% of assets perform better |
Based on monthly moving average Strabag SE is performing at about 11% of its full potential. 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 Strabag SE by adding it to a well-diversified portfolio.
Key indicators related to Strabag SE's volatility include:540 Days Market Risk | Chance Of Distress | 540 Days Economic Sensitivity |
Strabag SE 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 Strabag daily returns, and it is calculated using variance and standard deviation. We also use Strabag's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Strabag SE volatility.
Strabag |
Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Strabag SE at lower prices. For example, an investor can purchase Strabag stock that has halved in price over a short period. This will lower their average cost per share, thereby improving the overall portfolio performance when market normalizes. Main indicators related to Strabag SE's market risk premium analysis include:
Beta (0.36) | Alpha 0.0489 | Risk 1.63 | Sharpe Ratio 0.15 | Expected Return 0.24 |
Moving together with Strabag Stock
| 0.72 | MRK | Merck Company | PairCorr |
| 0.63 | SAN | Banco Santander SA | PairCorr |
| 0.7 | ACS | ACS Actividades de | PairCorr |
| 0.78 | WIE | Wienerberger AG | PairCorr |
| 0.67 | EBS | Erste Group Bank | PairCorr |
| 0.69 | GAGV | Gurktaler Aktiengesellscha | PairCorr |
Moving against Strabag Stock
Strabag SE Market Sensitivity And Downside Risk
Strabag SE's beta coefficient measures the volatility of Strabag 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 Strabag stock's returns against your selected market. In other words, Strabag SE's beta of -0.36 provides an investor with an approximation of how much risk Strabag SE stock can potentially add to one of your existing portfolios. Strabag SE currently demonstrates below-average downside deviation. It has Information Ratio of -0.03 and Jensen Alpha of 0.05. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Strabag SE'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 Strabag SE'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 Strabag SE Demand TrendCheck current 90 days Strabag SE correlation with market (Dow Jones Industrial)Strabag SE Volatility and Downside Risk
Strabag 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.
Strabag SE Stock Volatility Analysis
Volatility refers to the frequency at which Strabag SE stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Strabag SE's price changes. Investors will then calculate the volatility of Strabag SE'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 Strabag SE's volatility:
Historical Volatility
This type of stock volatility measures Strabag SE's fluctuations based on previous trends. It's commonly used to predict Strabag SE'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 Strabag SE'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 Strabag SE'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. Developed by Larry Williams, the Weighted Close is the average of Strabag SE high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Strabag SE closing price as input.
Strabag SE Projected Return Density Against Market
Assuming the 90 days trading horizon Strabag SE has a beta of -0.3594 . This usually implies as returns on the benchmark increase, returns on holding Strabag SE are expected to decrease at a much lower rate. During a bear market, however, Strabag SE 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 Strabag SE or Construction 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 Strabag SE'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 Strabag 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.
Strabag SE has an alpha of 0.0489, implying that it can generate a 0.0489 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Strabag SE 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.Strabag SE Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Strabag SE is 670.76. The daily returns are distributed with a variance of 2.66 and standard deviation of 1.63. The mean deviation of Strabag SE is currently at 1.32. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.69
α | Alpha over Dow Jones | 0.05 | |
β | Beta against Dow Jones | -0.36 | |
σ | Overall volatility | 1.63 | |
Ir | Information ratio | -0.03 |
Strabag SE Stock Return Volatility
Strabag SE historical daily return volatility represents how much of Strabag SE stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm assumes 1.6319% volatility of returns over the 90 days investment horizon. By contrast, Dow Jones Industrial accepts 0.6928% 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
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Risk-Adjusted Indicators
There is a big difference between Strabag Stock performing well and Strabag SE 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 Strabag SE'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| ANDR | 1.10 | 0.24 | 0.13 | 3.23 | 0.95 | 2.38 | 9.54 | |||
| POS | 1.66 | 0.14 | 0.04 | 0.51 | 1.97 | 3.95 | 10.82 | |||
| FLU | 0.99 | 0.07 | (0.01) | 1.06 | 1.03 | 2.27 | 6.33 | |||
| POST | 0.72 | 0.12 | 0.04 | 1.06 | 0.82 | 1.86 | 7.60 | |||
| DOC | 1.46 | (0.17) | 0.00 | (0.15) | 0.00 | 2.72 | 8.94 | |||
| PAL | 1.45 | 0.09 | 0.01 | 0.63 | 1.85 | 3.13 | 8.47 | |||
| RAT | 0.84 | (0.14) | 0.00 | 1.99 | 0.00 | 0.00 | 19.35 | |||
| ROS | 1.42 | 0.06 | 0.00 | 0.30 | 1.92 | 3.22 | 9.41 | |||
| RHIM | 1.97 | 0.49 | 0.18 | 11.37 | 1.74 | 4.76 | 18.68 |
About Strabag SE Volatility
Volatility is a rate at which the price of Strabag SE 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 Strabag SE may increase or decrease. In other words, similar to Strabag's beta indicator, it measures the risk of Strabag SE and helps estimate the fluctuations that may happen in a short period of time. So if prices of Strabag SE 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 Strabag SE's volatility to invest better
Higher Strabag SE's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Strabag SE 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. Strabag SE 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 Strabag SE investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Strabag SE's 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 Strabag SE's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Strabag SE Investment Opportunity
Strabag SE has a volatility of 1.63 and is 2.36 times more volatile than Dow Jones Industrial. 14 percent of all equities and portfolios are less risky than Strabag SE. You can use Strabag SE to protect your portfolios against small market fluctuations. The stock experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Strabag SE to be traded at €78.96 in 90 days.Good diversification
The correlation between Strabag SE and DJI is -0.12 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Strabag SE and DJI in the same portfolio, assuming nothing else is changed.
Strabag SE Additional Risk Indicators
The analysis of Strabag SE'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 Strabag SE's investment and either accepting that risk or mitigating it. Along with some common measures of Strabag SE 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 | 0.0154 | |||
| Market Risk Adjusted Performance | (0.04) | |||
| Mean Deviation | 1.47 | |||
| Semi Deviation | 2.35 | |||
| Downside Deviation | 2.43 | |||
| Coefficient Of Variation | 8030.14 | |||
| Standard Deviation | 2.12 |
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.
Strabag SE 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 Strabag SE 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. Strabag SE'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, Strabag SE'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 Strabag SE.
Complementary Tools for Strabag Stock analysis
When running Strabag SE's price analysis, check to measure Strabag SE'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 Strabag SE is operating at the current time. Most of Strabag SE's value examination focuses on studying past and present price action to predict the probability of Strabag SE's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Strabag SE's price. Additionally, you may evaluate how the addition of Strabag SE to your portfolios can decrease your overall portfolio volatility.
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