Tekfen Holding (Turkey) Volatility
| TKFEN Stock | TRY 82.45 1.05 1.29% |
Tekfen Holding appears to be very steady, given 3 months investment horizon. Tekfen Holding AS owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.26, which indicates the firm had a 0.26% return per unit of risk over the last 3 months. By inspecting Tekfen Holding's technical indicators, you can evaluate if the expected return of 0.76% is justified by implied risk. Please review Tekfen Holding's Semi Deviation of 2.23, coefficient of variation of 431.81, and Risk Adjusted Performance of 0.1841 to confirm if our risk estimates are consistent with your expectations. Key indicators related to Tekfen Holding's volatility include:
720 Days Market Risk | Chance Of Distress | 720 Days Economic Sensitivity |
Tekfen Holding 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 Tekfen daily returns, and it is calculated using variance and standard deviation. We also use Tekfen's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Tekfen Holding volatility.
Tekfen |
Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Tekfen Holding at lower prices. For example, an investor can purchase Tekfen 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.
Moving against Tekfen Stock
| 0.73 | TUPRS | Turkiye Petrol Rafin | PairCorr |
| 0.66 | YKBNK | Yapi ve Kredi | PairCorr |
| 0.64 | AKBNK | Akbank TAS | PairCorr |
| 0.5 | QNBFB | Qnb Finansbank AS | PairCorr |
| 0.46 | SISE | Turkiye Sise ve | PairCorr |
| 0.35 | GARAN | Turkiye Garanti Bankasi | PairCorr |
| 0.35 | ISBTR | Turkiye Is Bankasi | PairCorr |
| 0.31 | KCHOL | Koc Holding AS | PairCorr |
Tekfen Holding Market Sensitivity And Downside Risk
Tekfen Holding's beta coefficient measures the volatility of Tekfen 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 Tekfen stock's returns against your selected market. In other words, Tekfen Holding's beta of 0.34 provides an investor with an approximation of how much risk Tekfen Holding stock can potentially add to one of your existing portfolios. Tekfen Holding AS currently demonstrates below-average downside deviation. It has Information Ratio of 0.19 and Jensen Alpha of 0.64. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Tekfen Holding'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 Tekfen Holding'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 Tekfen Holding AS Demand TrendCheck current 90 days Tekfen Holding correlation with market (Dow Jones Industrial)Tekfen Beta |
Tekfen 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 | 2.94 |
It is essential to understand the difference between upside risk (as represented by Tekfen Holding's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Tekfen Holding's daily returns or price. Since the actual investment returns on holding a position in tekfen 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 Tekfen Holding.
Tekfen Holding AS Stock Volatility Analysis
Volatility refers to the frequency at which Tekfen Holding stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Tekfen Holding's price changes. Investors will then calculate the volatility of Tekfen Holding'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 Tekfen Holding's volatility:
Historical Volatility
This type of stock volatility measures Tekfen Holding's fluctuations based on previous trends. It's commonly used to predict Tekfen Holding'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 Tekfen Holding'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 Tekfen Holding'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. Tekfen Holding AS 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.
Tekfen Holding Projected Return Density Against Market
Assuming the 90 days trading horizon Tekfen Holding has a beta of 0.342 . This usually implies as returns on the market go up, Tekfen Holding average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Tekfen Holding AS will be expected to be much smaller as well.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 Tekfen Holding or Construction & Engineering 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 Tekfen Holding'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 Tekfen 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.
Tekfen Holding AS has an alpha of 0.6406, implying that it can generate a 0.64 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Tekfen Holding 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.Tekfen Holding Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Tekfen Holding is 388.49. The daily returns are distributed with a variance of 8.62 and standard deviation of 2.94. The mean deviation of Tekfen Holding AS is currently at 2.11. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | 0.64 | |
β | Beta against Dow Jones | 0.34 | |
σ | Overall volatility | 2.94 | |
Ir | Information ratio | 0.19 |
Tekfen Holding Stock Return Volatility
Tekfen Holding historical daily return volatility represents how much of Tekfen Holding stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm accepts 2.9353% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7685% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Tekfen Holding Volatility
Volatility is a rate at which the price of Tekfen Holding 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 Tekfen Holding may increase or decrease. In other words, similar to Tekfen's beta indicator, it measures the risk of Tekfen Holding and helps estimate the fluctuations that may happen in a short period of time. So if prices of Tekfen Holding 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.Tekfen Holding Anonim Sirketi, together with its subsidiaries, engages in contracting, agriculture, real estate, and other businesses in Turkey, CIS countries, Northern Africa, the Middle Eastern countries, and internationally. Tekfen Holding Anonim Sirketi was founded in 1956 and is based in Istanbul, Turkey. TEKFEN HOLDING operates under Agricultural Inputs classification in Turkey and is traded on Istanbul Stock Exchange. It employs 16885 people.
Tekfen Holding'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 Tekfen Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Tekfen Holding's price varies over time.
3 ways to utilize Tekfen Holding's volatility to invest better
Higher Tekfen Holding's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Tekfen Holding AS 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. Tekfen Holding AS 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 Tekfen Holding AS investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Tekfen Holding'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 Tekfen Holding's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Tekfen Holding Investment Opportunity
Tekfen Holding AS has a volatility of 2.94 and is 3.82 times more volatile than Dow Jones Industrial. 26 percent of all equities and portfolios are less risky than Tekfen Holding. You can use Tekfen Holding AS to enhance the returns of your portfolios. The stock experiences a large bullish trend. Check odds of Tekfen Holding to be traded at 90.7 in 90 days.Significant diversification
The correlation between Tekfen Holding AS and DJI is 0.09 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Tekfen Holding AS and DJI in the same portfolio, assuming nothing else is changed.
Tekfen Holding Additional Risk Indicators
The analysis of Tekfen Holding'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 Tekfen Holding's investment and either accepting that risk or mitigating it. Along with some common measures of Tekfen Holding 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 | 0.1841 | |||
| Market Risk Adjusted Performance | 1.98 | |||
| Mean Deviation | 2.16 | |||
| Semi Deviation | 2.23 | |||
| Downside Deviation | 2.76 | |||
| Coefficient Of Variation | 431.81 | |||
| Standard Deviation | 2.96 |
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.
Tekfen Holding 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 Tekfen Holding 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. Tekfen Holding'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, Tekfen Holding'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 Tekfen Holding AS.
Complementary Tools for Tekfen Stock analysis
When running Tekfen Holding's price analysis, check to measure Tekfen Holding'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 Tekfen Holding is operating at the current time. Most of Tekfen Holding's value examination focuses on studying past and present price action to predict the probability of Tekfen Holding's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Tekfen Holding's price. Additionally, you may evaluate how the addition of Tekfen Holding to your portfolios can decrease your overall portfolio volatility.
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