Viavi Solutions Stock Volatility
| VIAV Stock | USD 53.97 1.48 2.82% |
Sharpe Ratio = 0.2557
| Leading Returns | Top Quartile | |||
| Strong | ||||
| Moderate | VIAV | |||
| Modest | ||||
| Cash | Low | Moderate | Elevated | High |
| Below Benchmark |
Viavi Solutions (VIAV) recorded a Market Risk Adjusted Performance of 4.0%, a Risk of 5.24, and a Risk Adjusted Performance of 0.3%. Based on monthly moving averages, the stock is operating near 20% of its historical performance range.
Key indicators related to Viavi Solutions' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Viavi Solutions (3 Months):
Beta 0.33 | Alpha 1.33 | Risk 5.24 | Sharpe Ratio 0.26 | Expected Return 1.34 |
Moving together with Viavi Solutions Stock
Moving Against Viavi Solutions Stock
| 0.83 | PPERY | Bank Mandiri Persero | PairCorr |
| 0.81 | BKRKY | Bank Rakyat Normal Trading | PairCorr |
| 0.78 | PPERF | Bank Mandiri Persero | PairCorr |
| 0.77 | MCD | McDonalds Earnings Call Tomorrow | PairCorr |
| 0.75 | BKRKF | PT Bank Rakyat | PairCorr |
| 0.75 | JNJ | Johnson Johnson Sell-off Trend | PairCorr |
| 0.67 | T | ATT Inc | PairCorr |
| 0.62 | PTBRY | Bank Negara Indonesia Normal Trading | PairCorr |
| 0.57 | PBCRY | Bank Central Asia | PairCorr |
| 0.54 | MRK | Merck Company | PairCorr |
Sensitivity To Market
Viavi Solutions beta coefficient measures the volatility of Viavi Solutions stock relative to the systematic risk of the broad market benchmark. A beta of 0.33 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 5.24%. Viavi Solutions has shown noticeable price swings over the selected period. Downside deviation is about 4.53% and standard deviation is about 5.24%, which summarize how widely returns have moved. Volatility is commonly higher for smaller or less liquid equities due to wider spreads and thinner order books. For Viavi Solutions, measured downside deviation describes the intensity of negative return periods.
3 Months Beta |Viavi Solutions Demand TrendCurrent 90-day Viavi Solutions correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation measures how far Viavi Solutions returns deviate from the historical mean and remains a primary indicator of total price volatility. A large standard deviation signals wide price swings; a small one signals relative stability.
Standard Deviation | 5.24 |
It is essential to understand the difference between upside risk and downside risk for Viavi Solutions. Total volatility includes favorable moves, while downside deviation isolates the loss risk in Viavi Solutions' daily returns. Viavi Solutions (VIAV) recorded a Downside Deviation of 4.53, a Downside Variance of 20.51, and a Maximum Drawdown of 29.05.
Stock Volatility Analysis
Volatility refers to the frequency at which Viavi Solutions stock price increases or decreases within a specified period. It is generally measured from either the standard deviation or variance between returns from that same stock.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Viavi Solutions'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
Given a 90-day horizon, Viavi Solutions has a beta of 0.3322. This entails as returns on the market go up, Viavi Solutions's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding Viavi Solutions tends to be smaller as well.Viavi Solutions is exposed to both systematic and unsystematic risk. Systematic risk reflects broader stock market movements, while company or sector-specific developments represent nonmarket drivers. Diversification may reduce specific risk, but market exposure remains. Beta and standard deviation help quantify volatility. Viavi Solutions (VIAV) recorded a Downside Deviation of 4.53, a Mean Deviation of 4.11, and a Semi Deviation of 3.63.
Predicted Return Distribution |
| Density |
What Drives Viavi Solutions' Price Volatility?
Industry Dynamics
Regulatory updates, demand shifts, and competitive changes in the Communications Equipment sector can move Viavi Solutions' volatility even when broad indices are stable.Political and Economic Environment
Rates, inflation expectations, and policy headlines can shift discount rates and risk appetite for Viavi Solutions.Viavi Solutions' Company-Specific Factors
Earnings surprises, guidance changes, management decisions, and litigation risk are common catalysts for sharp re-pricing in Viavi Solutions' shares.Stock Risk Measures
Given a 90-day horizon, the coefficient of variation of Viavi Solutions is 391.13. The daily returns are distributed with a variance of 27.49 and standard deviation of 5.24. The mean deviation of Viavi Solutions is currently at 4.11. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | 1.33 | |
β | Beta against Dow Jones | 0.33 | |
σ | Overall volatility | 5.24 | |
Ir | Information ratio | 0.25 |
Stock Return Volatility
Viavi Solutions historical daily return volatility represents how much of Viavi Solutions stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company reported 5.2434% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial reported 0.9592% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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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
| High negative correlations
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Risk-Adjusted Indicators
Strong recent returns in Viavi Solutions Stock do not always mean Viavi Solutions Company is outperforming peers on business quality. Risk-adjusted metrics help compare Viavi Solutions' 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| COMM | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| AVT | 1.62 | 0.42 | 0.26 | 8.98 | 1.28 | 4.15 | 12.02 | |||
| BDC | 1.99 | -0.23 | 0.00 | -0.50 | 0.00 | 4.72 | 18.08 | |||
| PLXS | 1.89 | 0.46 | 0.17 | 1.79 | 2.26 | 4.96 | 13.46 | |||
| EXTR | 2.11 | 0.79 | 0.32 | 2.24 | 1.77 | 4.08 | 27.25 | |||
| DOCN | 4.74 | 1.75 | 0.36 | 1.17 | 4.23 | 9.53 | 24.06 | |||
| VRRM | 1.42 | -0.37 | 0.00 | 3.09 | 0.00 | 2.56 | 16.23 | |||
| VICR | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| VRNS | 2.59 | 0.40 | 0.09 | 1.00 | 3.70 | 6.34 | 24.09 | |||
| QTWO | 2.11 | -0.05 | 0.00 | 0.13 | 0.00 | 4.41 | 13.25 |
Risk Metrics, Assumptions & Methodology
Drawdown depth for Viavi Solutions defines the worst peak-to-trough loss observed, framing downside volatility in practical terms. Historical performance suggests relatively contained downside variability. Viavi Solutions has a market cap of 12.28 billion, P/E of 86.33, ROE of -7.0%.
Viavi Solutions 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 Viavi Solutions is more volatile than Dow Jones Industrial by approximately 5.46x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the 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 47% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Viavi Solutions with characteristics aligned to broad market upside participation. This directional read frames the latest price swing through a simple momentum and follow-through lens. It works best as a directional cue rather than as a standalone forecast. an unexpected upward trend with elevated sensitivity to market signals. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Viavi Solutions probability analysis.
Good diversification
For the present investment horizon, the measured correlation between Viavi Solutions and Dow Jones stands at 0.13, or Good diversification. This chart measures the degree of risk overlap between Viavi Solutions and Dow Jones.
Additional Risk Indicators
Risk analysis around Viavi Solutions gains depth when secondary indicators confirm, refine, or challenge the basic volatility picture. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | 0.2538 | |||
| Market Risk Adjusted Performance | 4.02 | |||
| Mean Deviation | 4.11 | |||
| Semi Deviation | 3.63 | |||
| Downside Deviation | 4.53 | |||
| Coefficient Of Variation | 391.13 | |||
| Standard Deviation | 5.24 |
Viavi Solutions Suggested Diversification Pairs
A paired position built around Viavi Solutions reduces directional market exposure while expressing a relative-value view. The advantage is that adverse movement in one leg may be partly offset by the other when correlation and thesis alignment hold.
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 Viavi Solutions 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. Viavi Solutions' 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, Viavi Solutions' 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 Viavi Solutions.
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