AZN 4875 03 MAR 33 Volatility
| 04636NAH6 | 99.07 1.62 1.61% |
AZN 4875 03 secures Sharpe Ratio (or Efficiency) of -0.16, which signifies that the bond had a -0.16% return per unit of price deviation over the last 3 months. AZN 4875 03 MAR 33 exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm 04636NAH6's Risk Adjusted Performance of (0.1), variance of 0.1852, and Mean Deviation of 0.2962 to double-check the risk estimate we provide.
04636NAH6 |
04636NAH6 Bond 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 04636NAH6 daily returns, and it is calculated using variance and standard deviation. We also use 04636NAH6's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of 04636NAH6 volatility.
Downward market volatility can be a perfect environment for investors who play the long game with 04636NAH6. They may decide to buy additional shares of 04636NAH6 at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving together with 04636NAH6 Bond
| 0.83 | MRK | Merck Company Fiscal Year End 6th of February 2025 | PairCorr |
Moving against 04636NAH6 Bond
| 0.75 | TRV | The Travelers Companies Fiscal Year End 17th of January 2025 | PairCorr |
| 0.74 | CVX | Chevron Corp Sell-off Trend | PairCorr |
| 0.73 | DIS | Walt Disney Sell-off Trend | PairCorr |
| 0.73 | CSCO | Cisco Systems Sell-off Trend | PairCorr |
| 0.64 | AXP | American Express Fiscal Year End 24th of January 2025 | PairCorr |
| 0.61 | T | ATT Inc Fiscal Year End 22nd of January 2025 | PairCorr |
| 0.48 | HPQ | HP Inc | PairCorr |
| 0.47 | INTC | Intel Fiscal Year End 23rd of January 2025 | PairCorr |
04636NAH6 Market Sensitivity And Downside Risk
04636NAH6's beta coefficient measures the volatility of 04636NAH6 bond 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 04636NAH6 bond's returns against your selected market. In other words, 04636NAH6's beta of 0.13 provides an investor with an approximation of how much risk 04636NAH6 bond can potentially add to one of your existing portfolios. AZN 4875 03 MAR 33 exhibits very low volatility with skewness of -1.17 and kurtosis of 3.59. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure 04636NAH6's bond risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact 04636NAH6's bond 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 AZN 4875 03 Demand TrendCheck current 90 days 04636NAH6 correlation with market (Dow Jones Industrial)04636NAH6 Beta |
04636NAH6 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 | 0.46 |
It is essential to understand the difference between upside risk (as represented by 04636NAH6's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of 04636NAH6's daily returns or price. Since the actual investment returns on holding a position in 04636nah6 bond 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 04636NAH6.
AZN 4875 03 Bond Volatility Analysis
Volatility refers to the frequency at which 04636NAH6 bond price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with 04636NAH6's price changes. Investors will then calculate the volatility of 04636NAH6's bond to predict their future moves. A bond that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A bond with relatively stable price changes has low volatility. A highly volatile bond 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 04636NAH6's volatility:
Historical Volatility
This type of bond volatility measures 04636NAH6's fluctuations based on previous trends. It's commonly used to predict 04636NAH6's future behavior based on its past. However, it cannot conclusively determine the future direction of the bond.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for 04636NAH6's current market price. This means that the bond will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on 04636NAH6'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. AZN 4875 03 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.
04636NAH6 Projected Return Density Against Market
Assuming the 90 days trading horizon 04636NAH6 has a beta of 0.1321 . This usually implies as returns on the market go up, 04636NAH6 average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding AZN 4875 03 MAR 33 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 04636NAH6 or 04636NAH6 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 04636NAH6's price will be affected by overall bond 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 04636NAH6 bond'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.
AZN 4875 03 MAR 33 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 04636NAH6 Price Volatility?
Several factors can influence a bond'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.04636NAH6 Bond Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of 04636NAH6 is -625.55. The daily returns are distributed with a variance of 0.22 and standard deviation of 0.46. The mean deviation of AZN 4875 03 MAR 33 is currently at 0.32. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.77
α | Alpha over Dow Jones | -0.07 | |
β | Beta against Dow Jones | 0.13 | |
σ | Overall volatility | 0.46 | |
Ir | Information ratio | -0.41 |
04636NAH6 Bond Return Volatility
04636NAH6 historical daily return volatility represents how much of 04636NAH6 bond's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. AZN 4875 03 MAR 33 accepts 0.4647% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7444% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About 04636NAH6 Volatility
Volatility is a rate at which the price of 04636NAH6 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 04636NAH6 may increase or decrease. In other words, similar to 04636NAH6's beta indicator, it measures the risk of 04636NAH6 and helps estimate the fluctuations that may happen in a short period of time. So if prices of 04636NAH6 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 04636NAH6's volatility to invest better
Higher 04636NAH6's bond volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of AZN 4875 03 bond 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. AZN 4875 03 bond 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 AZN 4875 03 investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in 04636NAH6's bond 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 04636NAH6's bond relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
04636NAH6 Investment Opportunity
Dow Jones Industrial has a standard deviation of returns of 0.74 and is 1.61 times more volatile than AZN 4875 03 MAR 33. 4 percent of all equities and portfolios are less risky than 04636NAH6. You can use AZN 4875 03 MAR 33 to protect your portfolios against small market fluctuations. The bond experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of 04636NAH6 to be traded at 96.1 in 90 days.Modest diversification
The correlation between AZN 4875 03 MAR 33 and DJI is 0.24 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding AZN 4875 03 MAR 33 and DJI in the same portfolio, assuming nothing else is changed.
04636NAH6 Additional Risk Indicators
The analysis of 04636NAH6'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 04636NAH6's investment and either accepting that risk or mitigating it. Along with some common measures of 04636NAH6 bond'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 | (0.1) | |||
| Market Risk Adjusted Performance | (0.44) | |||
| Mean Deviation | 0.2962 | |||
| Coefficient Of Variation | (865.00) | |||
| Standard Deviation | 0.4304 | |||
| Variance | 0.1852 | |||
| Information Ratio | (0.41) |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential bonds, we recommend comparing similar bonds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
04636NAH6 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.
| Ford vs. 04636NAH6 | ||
| Bank of America vs. 04636NAH6 | ||
| Alphabet vs. 04636NAH6 | ||
| Microsoft vs. 04636NAH6 | ||
| GM vs. 04636NAH6 | ||
| Salesforce vs. 04636NAH6 | ||
| Visa vs. 04636NAH6 | ||
| Dupont De vs. 04636NAH6 |
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 04636NAH6 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. 04636NAH6'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, 04636NAH6'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 AZN 4875 03 MAR 33.
Other Information on Investing in 04636NAH6 Bond
04636NAH6 financial ratios help investors to determine whether 04636NAH6 Bond is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in 04636NAH6 with respect to the benefits of owning 04636NAH6 security.