Vastland Indonesia (Indonesia) Volatility
| VAST Stock | 76.00 2.00 2.70% |
As of now, Vastland Stock is very steady. Vastland Indonesia owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0811, which indicates the firm had a 0.0811% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Vastland Indonesia, which you can use to evaluate the volatility of the company. Please validate Vastland Indonesia's Semi Deviation of 2.19, risk adjusted performance of 0.0289, and Coefficient Of Variation of 3443.02 to confirm if the risk estimate we provide is consistent with the expected return of 0.18%.
Vastland |
Vastland Indonesia 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 Vastland daily returns, and it is calculated using variance and standard deviation. We also use Vastland's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Vastland Indonesia volatility.
Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Vastland Indonesia at lower prices. For example, an investor can purchase Vastland 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 Vastland Stock
| 0.5 | TPIA | Chandra Asri Petroch | PairCorr |
| 0.47 | BMRI | Bank Mandiri Persero | PairCorr |
| 0.44 | BBRI | Bank Rakyat Indonesia | PairCorr |
| 0.42 | UNVR | Unilever Indonesia Tbk | PairCorr |
| 0.36 | BBNI | Bank Negara Indonesia | PairCorr |
| 0.33 | HMSP | Hanjaya Mandala Sampoerna | PairCorr |
Vastland Indonesia Market Sensitivity And Downside Risk
Vastland Indonesia's beta coefficient measures the volatility of Vastland 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 Vastland stock's returns against your selected market. In other words, Vastland Indonesia's beta of 0.52 provides an investor with an approximation of how much risk Vastland Indonesia stock can potentially add to one of your existing portfolios. Vastland Indonesia shows above-average downside volatility for the selected time horizon. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Vastland Indonesia'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 Vastland Indonesia'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 Vastland Indonesia Demand TrendCheck current 90 days Vastland Indonesia correlation with market (Dow Jones Industrial)Vastland Beta |
Vastland 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 | 2.19 |
It is essential to understand the difference between upside risk (as represented by Vastland Indonesia's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Vastland Indonesia's daily returns or price. Since the actual investment returns on holding a position in vastland 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 Vastland Indonesia.
Vastland Indonesia Stock Volatility Analysis
Volatility refers to the frequency at which Vastland Indonesia stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Vastland Indonesia's price changes. Investors will then calculate the volatility of Vastland Indonesia'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 Vastland Indonesia's volatility:
Historical Volatility
This type of stock volatility measures Vastland Indonesia's fluctuations based on previous trends. It's commonly used to predict Vastland Indonesia'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 Vastland Indonesia'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 Vastland Indonesia'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. Vastland Indonesia 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.
Vastland Indonesia Projected Return Density Against Market
Assuming the 90 days trading horizon Vastland Indonesia has a beta of 0.5159 . This entails as returns on the market go up, Vastland Indonesia average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Vastland Indonesia 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 Vastland Indonesia or Vastland 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 Vastland Indonesia'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 Vastland 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.
Vastland Indonesia 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 Vastland Indonesia 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.Vastland Indonesia Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Vastland Indonesia is 1233.5. The daily returns are distributed with a variance of 4.79 and standard deviation of 2.19. The mean deviation of Vastland Indonesia is currently at 1.48. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.77
α | Alpha over Dow Jones | -0.0024 | |
β | Beta against Dow Jones | 0.52 | |
σ | Overall volatility | 2.19 | |
Ir | Information ratio | -0.03 |
Vastland Indonesia Stock Return Volatility
Vastland Indonesia historical daily return volatility represents how much of Vastland Indonesia stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company accepts 2.1887% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7777% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Vastland Indonesia Investment Opportunity
Vastland Indonesia has a volatility of 2.19 and is 2.81 times more volatile than Dow Jones Industrial. 19 percent of all equities and portfolios are less risky than Vastland Indonesia. You can use Vastland Indonesia to enhance the returns of your portfolios. The stock experiences an unexpected upward trend. Watch out for market signals. Check odds of Vastland Indonesia to be traded at 91.2 in 90 days.Average diversification
The correlation between Vastland Indonesia and DJI is 0.17 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vastland Indonesia and DJI in the same portfolio, assuming nothing else is changed.
Vastland Indonesia Additional Risk Indicators
The analysis of Vastland Indonesia'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 Vastland Indonesia's investment and either accepting that risk or mitigating it. Along with some common measures of Vastland Indonesia 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 | 0.0289 | |||
| Market Risk Adjusted Performance | 0.1208 | |||
| Mean Deviation | 1.58 | |||
| Semi Deviation | 2.19 | |||
| Downside Deviation | 3.32 | |||
| Coefficient Of Variation | 3443.02 | |||
| Standard Deviation | 2.31 |
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.
Vastland Indonesia 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 Vastland Indonesia 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. Vastland Indonesia'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, Vastland Indonesia'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 Vastland Indonesia.