Take-Two Interactive (Germany) Volatility
| TKE Stock | EUR 209.00 3.85 1.81% |
Take Two Interactive owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.039, which indicates the firm had a -0.039 % return per unit of risk over the last 3 months. Take Two Interactive Software exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Take-Two Interactive's Coefficient Of Variation of (3,260), risk adjusted performance of (0.02), and Variance of 3.12 to confirm the risk estimate we provide.
Sharpe Ratio = -0.039
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | TKE |
Estimated Market Risk
| 1.79 actual daily | 16 84% of assets are more volatile |
Expected Return
| -0.07 actual daily | 0 Most of other assets have higher returns |
Risk-Adjusted Return
| -0.04 actual daily | 0 Most of other assets perform better |
Based on monthly moving average Take-Two Interactive 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 Take-Two Interactive by adding Take-Two Interactive to a well-diversified portfolio.
Key indicators related to Take-Two Interactive's volatility include:30 Days Market Risk | Chance Of Distress | 30 Days Economic Sensitivity |
Take-Two Interactive 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 Take-Two daily returns, and it is calculated using variance and standard deviation. We also use Take-Two's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Take-Two Interactive volatility.
Take-Two |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Take-Two Interactive 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 Take-Two Interactive at lower prices to lower their average cost per share. Similarly, when the prices of Take-Two Interactive's stock rise, investors can sell out and invest the proceeds in other equities with better opportunities. Main indicators related to Take-Two Interactive's market risk premium analysis include:
Beta (0.16) | Alpha (0.05) | Risk 1.79 | Sharpe Ratio (0.04) | Expected Return (0.07) |
Moving against Take-Two Stock
| 0.56 | CYL | CryoLife | PairCorr |
| 0.49 | 7NX | NEXON Co | PairCorr |
| 0.48 | WDC | WESTERN DIGITAL | PairCorr |
| 0.47 | 7NX | NEXON Co | PairCorr |
| 0.46 | CYL | CryoLife | PairCorr |
| 0.37 | WDC | WESTERN DIGITAL | PairCorr |
| 0.37 | WDC | Western Digital | PairCorr |
| 0.36 | WDC | WESTERN DIGITAL | PairCorr |
| 0.34 | WDC | WESTERN DIGITAL | PairCorr |
| 0.32 | ERT | Electronic Arts | PairCorr |
Take-Two Interactive Market Sensitivity And Downside Risk
Take-Two Interactive's beta coefficient measures the volatility of Take-Two 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 Take-Two stock's returns against your selected market. In other words, Take-Two Interactive's beta of -0.16 provides an investor with an approximation of how much risk Take-Two Interactive stock can potentially add to one of your existing portfolios. Take Two Interactive Software exhibits very low volatility with skewness of -1.08 and kurtosis of 6.28. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Take-Two Interactive'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 Take-Two Interactive'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.
| α | -0.05 | β | -0.16 | Check current 90 days Take-Two Interactive correlation with market (Dow Jones Industrial)
Take-Two Interactive Volatility and Downside Risk
Take-Two 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.
Take Two Interactive Stock Volatility Analysis
Volatility refers to the frequency at which Take-Two Interactive stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Take-Two Interactive's price changes. Investors will then calculate the volatility of Take-Two Interactive'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 Take-Two Interactive's volatility:
Historical Volatility
This type of stock volatility measures Take-Two Interactive's fluctuations based on previous trends. It's commonly used to predict Take-Two Interactive'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 Take-Two Interactive'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 Take-Two Interactive'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 Take Two Interactive 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 Take-Two Interactive closing price as input.
Take-Two Interactive Projected Return Density Against Market
Assuming the 90 days horizon Take Two Interactive Software has a beta of -0.1598 . This usually implies as returns on the benchmark increase, returns on holding Take-Two Interactive are expected to decrease at a much lower rate. During a bear market, however, Take Two Interactive Software 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 Take-Two Interactive or Communication Services 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 Take-Two Interactive'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 Take-Two 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.
Take Two Interactive Software has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming the Dow Jones Industrial. Predicted Return Density |
| Returns |
What Drives a Take-Two Interactive 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.Take-Two Interactive Stock Risk Measures
Assuming the 90 days horizon the coefficient of variation of Take-Two Interactive is -2564.68. The daily returns are distributed with a variance of 3.2 and standard deviation of 1.79. The mean deviation of Take Two Interactive Software is currently at 1.2. 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 | -0.16 | |
σ | Overall volatility | 1.79 | |
Ir | Information ratio | -0.09 |
Take-Two Interactive Stock Return Volatility
Take-Two Interactive historical daily return volatility represents how much of Take-Two Interactive stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company shows 1.7892% volatility of returns over 90 . By contrast, Dow Jones Industrial accepts 0.6908% 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 Take-Two Stock performing well and Take-Two Interactive 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 Take-Two Interactive'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| IE2A | 0.98 | (0.03) | 0.00 | (1.01) | 0.00 | 2.25 | 6.48 | |||
| A9U | 5.98 | 2.33 | 0.15 | (1.67) | 8.79 | 4.36 | 181.84 | |||
| HLG | 2.19 | (0.04) | 0.00 | 0.13 | 0.00 | 4.80 | 21.92 | |||
| BAC | 0.92 | 0.05 | (0.07) | 0.01 | 1.25 | 1.67 | 4.94 | |||
| CAC1 | 1.06 | 0.06 | (0.01) | 0.35 | 1.41 | 2.05 | 5.88 | |||
| JJ1 | 0.73 | 0.01 | (0.02) | 0.11 | 1.27 | 1.31 | 9.51 | |||
| N4Q1 | 0.77 | (0.14) | 0.00 | (9.63) | 0.00 | 2.34 | 10.53 | |||
| ZVF | 1.57 | (0.01) | (0.02) | 0.06 | 1.98 | 4.35 | 8.71 |
About Take-Two Interactive Volatility
Volatility is a rate at which the price of Take-Two Interactive 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 Take-Two Interactive may increase or decrease. In other words, similar to Take-Two's beta indicator, it measures the risk of Take-Two Interactive and helps estimate the fluctuations that may happen in a short period of time. So if prices of Take-Two Interactive 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.Take-Two Interactive Software, Inc. develops, publishes, and markets interactive entertainment solutions for consumers worldwide. Take-Two Interactive Software, Inc. was incorporated in 1993 and is based in New York, New York. TAKE TWO operates under Electronic Gaming Multimedia classification in Germany and is traded on Frankfurt Stock Exchange. It employs 6495 people.
Take-Two Interactive's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Take-Two Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Take-Two Interactive's price varies over time.
3 ways to utilize Take-Two Interactive's volatility to invest better
Higher Take-Two Interactive's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Take Two Interactive 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. Take Two Interactive 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 Take Two Interactive investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Take-Two Interactive'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 Take-Two Interactive's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Take-Two Interactive Investment Opportunity
Take Two Interactive Software has a volatility of 1.79 and is 2.59 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of Take Two Interactive Software is lower than 16 percent of all global equities and portfolios over the last 90 days. You can use Take Two Interactive Software 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 Take-Two Interactive to be traded at €202.73 in 90 days.Good diversification
The correlation between Take Two Interactive Software and DJI is -0.06 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Take Two Interactive Software and DJI in the same portfolio, assuming nothing else is changed.
Take-Two Interactive Additional Risk Indicators
The analysis of Take-Two Interactive'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 Take-Two Interactive's investment and either accepting that risk or mitigating it. Along with some common measures of Take-Two Interactive 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 | 0.4116 | |||
| Mean Deviation | 1.23 | |||
| Coefficient Of Variation | (3,260) | |||
| Standard Deviation | 1.77 | |||
| Variance | 3.12 | |||
| 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.
Take-Two Interactive 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 Take-Two Interactive 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. Take-Two Interactive'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, Take-Two Interactive'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 Take Two Interactive Software.
Complementary Tools for Take-Two Stock analysis
When running Take-Two Interactive's price analysis, check to measure Take-Two Interactive'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 Take-Two Interactive is operating at the current time. Most of Take-Two Interactive's value examination focuses on studying past and present price action to predict the probability of Take-Two Interactive's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Take-Two Interactive's price. Additionally, you may evaluate how the addition of Take-Two Interactive to your portfolios can decrease your overall portfolio volatility.
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