Verizon Communications (Mexico) Volatility
| VZ Stock | MXN 831.99 -4.01 -0.48% |
Sharpe Ratio = 0.0215
| Leading Returns | Top Quartile | |||
| Strong | ||||
| Moderate | ||||
| Modest | ||||
| Cash | Low | Moderate | Elevated | High |
| Below Benchmark | VZ |
Estimated Market Risk
| 1.68 actual daily | 15 Higher volatility than 15% of comparable assets |
Expected Return
| 0.04 actual daily | 0 Below most comparable assets in expected return |
Risk-Adjusted Return
| 0.02 actual daily | 1 1st percentile in risk-adjusted performance |
Latest disclosures for Verizon Communications show a Market Risk Adjusted Performance of -1.9%, a Risk of 1.68, and a Risk Adjusted Performance of 0.1%. Based on monthly moving averages, the stock is operating near 1% of its historical performance range.
Key indicators related to Verizon Communications' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Verizon Communications (3 Months):
Beta -0.16 | Alpha 0.31 | Risk 1.68 | Sharpe Ratio 0.02 | Expected Return 0.04 |
Moving together with Verizon Stock
Moving Against Verizon Stock
| 0.51 | VODN | Vodafone Group Plc Earnings Call This Week | PairCorr |
Sensitivity To Market
Beta analysis for Verizon Communications evaluates how its price movements correlate with the broader market. With a beta of -0.16, Verizon Communications reflects measurable exposure to systematic risk. Observed total volatility stands near 1.68%. Asymmetric risk in Verizon Communications is visible through downside-focused metrics. Downside deviation reads 1.74% and semi-deviation reads 1.2%, isolating the loss-side component of total return variability. Equity volatility compresses in calm markets and expands quickly when uncertainty increases. Stock dispersion changes materially during earnings seasons and macro data releases.
3 Months Beta |Verizon Communications Demand TrendCurrent 90-day Verizon Communications correlation with market (Dow Jones Industrial)Downside Risk
The standard deviation reading for Verizon summarizes how concentrated or dispersed daily returns have been around their mean. Volatile instruments have higher standard deviations; stable ones have lower. Comparing Verizon standard deviation against sector peers reveals whether its volatility is typical or an outlier.
Standard Deviation | 1.68 |
Total price dispersion in Verizon Communications captures both upside and downside movement. While standard deviation captures total volatility, downside deviation focuses exclusively on the loss side of Verizon Communications' returns. A complete risk picture of Verizon Communications emerges when standard deviation and downside deviation are examined together. Latest disclosures for Verizon Communications show a Downside Deviation of 1.74, a Downside Variance of 3.03, and a Maximum Drawdown of 16.75.
Stock Volatility Analysis
Verizon Communications stock volatility is a measure of the speed and extent of Verizon Communications' price movements. A higher-volatility stock like Verizon Communications may generate large gains or losses in a short timeframe. In most cases, the higher the volatility, the riskier the stock.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Verizon Communications'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
Based on a 90-day horizon, Verizon Communications has a beta of -0.1604. This entails that as returns on the benchmark increase, returns on Verizon Communications tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, Verizon Communications tends to outperform the market.Systematic exposure aligns Verizon Communications with broad stock market volatility, while unsystematic drivers reflect company or sector-specific developments. Latest disclosures for Verizon Communications show a Downside Deviation of 1.74, a Mean Deviation of 1.45, and a Semi Deviation of 1.20.
Predicted Return Distribution |
| Density |
What Drives Verizon Communications' Price Volatility?
Industry Dynamics
Peer results and sector re-ratings in the Communication Services sector often influence how investors price Verizon Communications' risk.Political and Economic Environment
Macro data and central-bank signals can change valuation assumptions and short-term positioning around Verizon Communications.Verizon Communications' Company-Specific Factors
Company-specific events such as product updates, strategic actions, or execution issues can trigger volatility clusters.Stock Risk Measures
Based on a 90-day horizon, the coefficient of variation of Verizon Communications is 4657.81. The daily returns are distributed with a variance of 2.82 and standard deviation of 1.68. The mean deviation of Verizon Communications is currently at 1.13. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | 0.31 | |
β | Beta against Dow Jones | -0.1604 | |
σ | Overall volatility | 1.68 | |
Ir | Information ratio | 0.13 |
Stock Return Volatility
Daily return volatility for Verizon Communications measures how far stock returns deviate from their average on a day-to-day basis. The company shows 1.6796% volatility of returns over 90 trading days. For comparison, 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
Evaluating Verizon Stock requires separating price momentum from underlying operating strength versus competitors. Risk-adjusted metrics help compare Verizon Communications' 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| VZ | 1.45 | 0.31 | 0.17 | -1.90 | 1.20 | 3.88 | 16.75 | |||
| XLU | 0.91 | 0.14 | 0.12 | -1.24 | 0.90 | 2.56 | 5.24 | |||
| VHT | 0.33 | -0.08 | 0.00 | -1.36 | 0.00 | 0.54 | 5.85 | |||
| IYW | 0.85 | 0.27 | 0.18 | -2.54 | 0.72 | 1.76 | 6.14 | |||
| UBER | 1.69 | -0.12 | 0.00 | 0.32 | 0.00 | 3.73 | 9.28 | |||
| AMP | 0.53 | -0.12 | 0.00 | -0.66 | 0.00 | 1.51 | 9.18 | |||
| AXP | 1.30 | -0.19 | 0.00 | -0.39 | 0.00 | 2.47 | 10.10 | |||
| DHR | 1.10 | -0.35 | 0.00 | -3.52 | 0.00 | 1.55 | 11.73 | |||
| FIHO12 | 0.75 | 0.05 | 0.04 | 0.70 | 0.97 | 1.86 | 5.48 | |||
| BMWM5N | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
Risk Metrics, Assumptions & Methodology
Beta for Verizon Communications measures the share of volatility attributable to broad market movements versus company-specific factors. Systematic risk dominates during market stress, often overwhelming any diversification benefit from low average beta. Verizon Communications has a market cap of 3.16 trillion, P/E of 8.0, ROE of 24.76%.
Verizon Communications 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: Rifka Kats, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that Verizon Communications is more volatile than Dow Jones Industrial by approximately 1.75x 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 15% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Verizon Communications exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This move summary looks at how the current session may translate into a basic near-term setup. It is intended to separate routine noise from more speculative bursts in price action. Observed price behavior reflects modest downward movement with limited trading activity. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Verizon Communications probability analysis.
Very strong inverse diversification
Verizon Communications currently posts a -0.65 correlation with Dow Jones, indicating a Very strong inverse diversification relationship for the active sample. The overlap area shows the portion of risk diversified away by holding both instruments together.
Additional Risk Indicators
Looking at additional risk metrics for Verizon Communications frames how the position may behave under different market and portfolio conditions. This is most informative when assessing whether the current opportunity is being compensated with reasonable risk.
| Risk Adjusted Performance | 0.1382 | |||
| Market Risk Adjusted Performance | -1.89 | |||
| Mean Deviation | 1.45 | |||
| Semi Deviation | 1.2 | |||
| Downside Deviation | 1.74 | |||
| Coefficient Of Variation | 725.54 | |||
| Standard Deviation | 2.28 |
Verizon Communications Suggested Diversification Pairs
Pair trading with Verizon Communications hedges company-specific exposure by balancing a long view with an offsetting position. A disciplined pair structure still requires monitoring because correlation weakens when market regimes change.
Pair diversification lowers aggregate risk, though certain risk categories remain unaffected regardless of how positions are paired. Systematic risk - the risk tied to the broad market - cannot be eliminated by pairing Verizon Communications with another position. However, Verizon Communications' company-specific risk can be partially offset by selecting a pair that does not move in lockstep with Verizon Communications.
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