Tyson Foods (Brazil) Volatility
| TSNF34 Stock | BRL 319.70 0.00 0.00% |
Sharpe Ratio = -0.0819
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Estimated Market Risk
| 0.82 actual daily | 7 Higher volatility than 7% of comparable assets |
Expected Return
| -0.07 actual daily | 0 Below most comparable assets in expected return |
Risk-Adjusted Return
| -0.08 actual daily | 0 Bottom percentile in risk-adjusted performance |
Tyson Foods (TSNF34.SA) recorded a Market Risk Adjusted Performance of 0.6%, a Risk of 0.82, and a Risk Adjusted Performance of -0.1%. Based on monthly moving averages, the stock is not performing at its full potential.
Key indicators related to Tyson Foods' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Tyson Foods (3 Months):
Beta -0.14 | Alpha -0.08 | Risk 0.82 | Sharpe Ratio -0.08 | Expected Return -0.07 |
Assets With Similar Volatility
| 0.63 | AGRO3 | BrasilAgro Companhia | PairCorr |
| 0.62 | TMCO34 | Toyota Motor | PairCorr |
| 0.73 | SNEC34 | Sony Group Earnings Call Tomorrow | PairCorr |
Lower Correlation Assets
| 0.67 | FTCE11 | Fundo de Investimento | PairCorr |
| 0.63 | JDCO34 | JD Inc Earnings Call Tomorrow | PairCorr |
| 0.44 | INRD11 | Inter Residence Fundo | PairCorr |
| 0.43 | TSMC34 | Taiwan Semiconductor Manufacturing | PairCorr |
| 0.37 | SLCE3 | SLC Agrcola SA | PairCorr |
Sensitivity To Market
The beta coefficient of -0.14 for Tyson Foods measures how its returns respond to broader market changes. In regression terms, beta captures the slope between asset returns and index returns. Historical volatility is currently near 0.82%. This analysis separates observed movement from interpretation for Tyson Foods. Standard deviation (0.82%) and downside deviation (0.0%) describe the range without implying direction. For individual stocks, volatility often rises around earnings, guidance updates, and major company news.
3 Months Beta |Tyson Foods Demand TrendCurrent 90-day Tyson Foods correlation with market (Dow Jones Industrial)Downside Risk
Tyson Foods standard deviation over the selected horizon reflects the magnitude of daily price swings relative to the historical average. A rising standard deviation for Tyson Foods over successive periods signals increasing price uncertainty. Tyson Foods standard deviation compared across rolling windows highlights periods of elevated or subdued price risk. The daily dispersion captured by standard deviation is one of the most widely used risk metrics for Tyson Foods.
Standard Deviation | 0.82 |
Upside risk in Tyson Foods is captured by its standard deviation, which includes both favorable and unfavorable price movements. While standard deviation captures total price dispersion, semi-deviation and downside deviation measure only loss risk in Tyson Foods' returns. Total return dispersion for Tyson Foods encompasses both favorable and adverse price movements within the measured period. The distinction matters because favorable volatility in Tyson Foods is not the same as damaging volatility. Tyson Foods (TSNF34.SA) recorded a Maximum Drawdown of 6.82.
Stock Volatility Analysis
Tyson Foods stock volatility is a key input for most investment risk models. When Tyson Foods' volatility is elevated, prices swing by several percentage points in a single session. Understanding Tyson Foods volatility quantifies the risk of holding Tyson Foods' stock. These price changes indicate the level of risk and return variability associated with Tyson Foods'.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Tyson Foods'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, Tyson Foods has a beta of -0.142. This usually implies that as returns on the benchmark increase, returns on Tyson Foods tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, Tyson Foods tends to outperform the market.Tyson Foods combines broad market sensitivity with company or sector-specific developments. Diversification may lower asset-specific risk, but systematic volatility remains inherent. Tyson Foods (TSNF34.SA) recorded a Mean Deviation of 0.36 and a Standard Deviation of 0.82.
Predicted Return Distribution |
| Density |
What Drives Tyson Foods' Price Volatility?
Industry Dynamics
Competitive pressure, margin shifts, or structural changes in the Consumer Defensive sector can alter Tyson Foods' day-to-day volatility profile.Political and Economic Environment
Broad market tone, policy uncertainty, and recession or expansion signals shape volatility conditions for Tyson Foods.Tyson Foods' Company-Specific Factors
Unexpected business updates, leadership changes, or legal outcomes can drive outsized moves in Tyson Foods' stock.Stock Risk Measures
Over the selected 90-day horizon, the coefficient of variation of Tyson Foods is -1220.96. The daily returns are distributed with a variance of 0.67 and standard deviation of 0.82. The mean deviation of Tyson Foods is currently at 0.36. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.92
α | Alpha over Dow Jones | -0.0801 | |
β | Beta against Dow Jones | -0.142 | |
σ | Overall volatility | 0.82 | |
Ir | Information ratio | -0.0668 |
Stock Return Volatility
Volatility for Tyson Foods quantifies the day-to-day dispersion of stock returns around their historical average. The company carries 0.8173% return volatility across the 90-day horizon. As a benchmark, Dow Jones Industrial reported 0.9164% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
| -0.24 | 0.42 | -0.05 | 0.46 | -0.72 | A1LG34 | ||
| -0.24 | -0.83 | 0.9 | -0.83 | 0.39 | UNHH34 | ||
| 0.42 | -0.83 | -0.74 | 0.91 | -0.64 | H1CA34 | ||
| -0.05 | 0.9 | -0.74 | -0.74 | 0.12 | CLOV34 | ||
| 0.46 | -0.83 | 0.91 | -0.74 | -0.63 | C1AH34 | ||
| -0.72 | 0.39 | -0.64 | 0.12 | -0.63 | THGI34 | ||
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
Headline performance for Tyson Foods Stock may not fully reflect how the business compares across its competitive set. Risk-adjusted metrics help compare Tyson Foods' efficiency and downside exposure against peers on a like-for-like basis. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| A1LG34 | 1.16 | -0.07 | 0.00 | 0.28 | 0.00 | 3.60 | 16.00 | |||
| UNHH34 | 1.66 | 0.45 | 0.25 | -5.02 | 1.60 | 3.59 | 12.27 | |||
| H1CA34 | 1.61 | -0.35 | 0.00 | -5.04 | 0.00 | 2.62 | 21.95 | |||
| CLOV34 | 1.89 | 0.49 | 0.14 | 1.20 | 1.80 | 6.58 | 13.72 | |||
| C1AH34 | 1.46 | -0.44 | 0.00 | 0.97 | 0.00 | 3.30 | 10.56 | |||
| THGI34 | 0.01 | 0.00 | 0.00 | -0.65 | 0.00 | 0.00 | 0.37 |
Risk Metrics, Assumptions & Methodology
Beta for Tyson Foods measures the share of volatility attributable to broad market movements versus company-specific factors. Beta instability across periods suggests the relationship between market risk and asset volatility is shifting. Tyson Foods has a market cap of 112.74 billion, P/E of 12.52, ROE of 12.75%.
Tyson Foods values are built from periodic company reporting and market reference feeds, with reporting definitions aligned before display. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Ellen Johnson, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that Tyson Foods is less volatile than Dow Jones Industrial by approximately 1.12x over the selected horizon. This differential reflects the relative dispersion of returns and frames how each 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 7% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Tyson Foods exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This short-horizon analysis focuses on what the latest move may imply for immediate market context. It works best as a directional cue rather than as a standalone forecast. a normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Tyson Foods probability analysis.
Strong inverse diversification
Across the chosen horizon, Tyson Foods and Dow Jones show a correlation of -0.39 and fall into the Strong inverse diversification bucket. A -0.39 reading means Tyson Foods and Dow Jones have partial price overlap, providing moderate risk reduction when paired.
Additional Risk Indicators
A broader risk-indicator set for Tyson Foods extends the analysis beyond standard volatility and risk measures. A thorough risk review clarifies whether current exposure warrants maintenance, reduction, or offset elsewhere in the portfolio.
| Risk Adjusted Performance | -0.08 | |||
| Market Risk Adjusted Performance | 0.5518 | |||
| Mean Deviation | 0.356 | |||
| Coefficient Of Variation | -1,221 | |||
| Standard Deviation | 0.8173 | |||
| Variance | 0.668 | |||
| Information Ratio | -0.07 |
Tyson Foods Suggested Diversification Pairs
Pair analysis provides a framework for evaluating relative performance between Tyson Foods and comparable securities. Pair trading is less about prediction in isolation and more about identifying relative mispricing between related positions.
Risk reduction through pair trading is real but has limits - not every type of exposure can be offset by a second leg. Tyson Foods' exposure to overall market risk stays intact regardless of pairing. The value of a second leg lies in reducing Tyson Foods' idiosyncratic risk - the part that comes from company-level events rather than macro conditions.
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