Materials Select Sector Etf Volatility
XLB Etf | USD 87.97 0.10 0.11% |
Materials Select Sector has Sharpe Ratio of -0.12, which conveys that the entity had a -0.12 % return per unit of risk over the last 3 months. Materials Select exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Materials Select's Mean Deviation of 0.7109, risk adjusted performance of (0.04), and Standard Deviation of 0.9053 to check out the risk estimate we provide. Key indicators related to Materials Select's volatility include:
720 Days Market Risk | Chance Of Distress | 720 Days Economic Sensitivity |
Materials Select Etf 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 Materials daily returns, and it is calculated using variance and standard deviation. We also use Materials's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Materials Select volatility.
Materials |
Downward market volatility can be a perfect environment for investors who play the long game with Materials Select. They may decide to buy additional shares of Materials Select at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving together with Materials Etf
1.0 | VAW | Vanguard Materials Index | PairCorr |
0.93 | XME | SPDR SP Metals | PairCorr |
0.91 | PHO | Invesco Water Resources | PairCorr |
0.87 | MOO | VanEck Agribusiness ETF | PairCorr |
0.95 | FXZ | First Trust Materials | PairCorr |
0.91 | FIW | First Trust Water | PairCorr |
Moving against Materials Etf
0.45 | FNGS | MicroSectors FANG ETN | PairCorr |
0.44 | FNGO | MicroSectors FANG Index | PairCorr |
0.42 | FNGU | MicroSectors FANG Index Downward Rally | PairCorr |
Materials Select Market Sensitivity And Downside Risk
Materials Select's beta coefficient measures the volatility of Materials etf 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 Materials etf's returns against your selected market. In other words, Materials Select's beta of 0.65 provides an investor with an approximation of how much risk Materials Select etf can potentially add to one of your existing portfolios. Materials Select Sector exhibits very low volatility with skewness of -0.13 and kurtosis of 0.48. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Materials Select's etf risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Materials Select's etf 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 Materials Select Sector Demand TrendCheck current 90 days Materials Select correlation with market (Dow Jones Industrial)Materials Beta |
Materials 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 | 0.9 |
It is essential to understand the difference between upside risk (as represented by Materials Select's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Materials Select's daily returns or price. Since the actual investment returns on holding a position in materials etf 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 Materials Select.
Using Materials Put Option to Manage Risk
Put options written on Materials Select grant holders of the option the right to sell a specified amount of Materials Select at a specified price within a specified time frame. The put buyer has a limited loss and, while not fully unlimited gains, as the price of Materials Etf cannot fall below zero, the put buyer does gain as the price drops. So, one way investors can hedge Materials Select's position is by buying a put option against it. The put option used this way is usually referred to as insurance. If an undesired outcome occurs and loss on holding Materials Select will be realized, the loss incurred will be offset by the profits made with the option trade.
Materials Select's PUT expiring on 2025-04-17
Profit |
Materials Select Price At Expiration |
Materials Select Sector Etf Volatility Analysis
Volatility refers to the frequency at which Materials Select etf price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Materials Select's price changes. Investors will then calculate the volatility of Materials Select's etf to predict their future moves. A etf that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A etf with relatively stable price changes has low volatility. A highly volatile etf 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 Materials Select's volatility:
Historical Volatility
This type of etf volatility measures Materials Select's fluctuations based on previous trends. It's commonly used to predict Materials Select's future behavior based on its past. However, it cannot conclusively determine the future direction of the etf.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Materials Select's current market price. This means that the etf will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Materials Select'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. Materials Select Sector 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.
Materials Select Projected Return Density Against Market
Considering the 90-day investment horizon Materials Select has a beta of 0.6505 . This entails as returns on the market go up, Materials Select average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Materials Select Sector 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 Materials Select or SPDR State Street Global Advisors 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 Materials Select's price will be affected by overall etf 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 Materials etf'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.
Materials Select Sector 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 Materials Select Price Volatility?
Several factors can influence a etf'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.Materials Select Etf Risk Measures
Considering the 90-day investment horizon the coefficient of variation of Materials Select is -863.2. The daily returns are distributed with a variance of 0.81 and standard deviation of 0.9. The mean deviation of Materials Select Sector is currently at 0.68. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.73
α | Alpha over Dow Jones | -0.06 | |
β | Beta against Dow Jones | 0.65 | |
σ | Overall volatility | 0.90 | |
Ir | Information ratio | -0.06 |
Materials Select Etf Return Volatility
Materials Select historical daily return volatility represents how much of Materials Select etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The ETF has volatility of 0.8976% on return distribution over 90 days investment horizon. By contrast, Dow Jones Industrial accepts 0.7256% volatility on return distribution over the 90 days horizon. Performance |
Timeline |
About Materials Select Volatility
Volatility is a rate at which the price of Materials Select 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 Materials Select may increase or decrease. In other words, similar to Materials's beta indicator, it measures the risk of Materials Select and helps estimate the fluctuations that may happen in a short period of time. So if prices of Materials Select 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 Materials Select's volatility to invest better
Higher Materials Select's etf volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Materials Select Sector etf 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. Materials Select Sector etf 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 Materials Select Sector investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Materials Select's etf 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 Materials Select's etf relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Materials Select Investment Opportunity
Materials Select Sector has a volatility of 0.9 and is 1.23 times more volatile than Dow Jones Industrial. 8 percent of all equities and portfolios are less risky than Materials Select. You can use Materials Select Sector to protect your portfolios against small market fluctuations. The etf experiences a normal downward trend and little activity. Check odds of Materials Select to be traded at $87.09 in 90 days.Very weak diversification
The correlation between Materials Select Sector and DJI is 0.53 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Materials Select Sector and DJI in the same portfolio, assuming nothing else is changed.
Materials Select Additional Risk Indicators
The analysis of Materials Select'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 Materials Select's investment and either accepting that risk or mitigating it. Along with some common measures of Materials Select etf'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 | (0.04) | |||
Market Risk Adjusted Performance | (0.09) | |||
Mean Deviation | 0.7109 | |||
Coefficient Of Variation | (1,713) | |||
Standard Deviation | 0.9053 | |||
Variance | 0.8195 | |||
Information Ratio | (0.06) |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential etfs, we recommend comparing similar etfs with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Materials Select 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.
Microsoft vs. Materials Select | ||
Citigroup vs. Materials Select | ||
GM vs. Materials Select | ||
Alphabet vs. Materials Select | ||
Dupont De vs. Materials Select | ||
Salesforce vs. Materials Select |
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 Materials Select 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. Materials Select'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, Materials Select'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 Materials Select Sector.
When determining whether Materials Select Sector offers a strong return on investment in its stock, a comprehensive analysis is essential. The process typically begins with a thorough review of Materials Select's financial statements, including income statements, balance sheets, and cash flow statements, to assess its financial health. Key financial ratios are used to gauge profitability, efficiency, and growth potential of Materials Select Sector Etf. Outlined below are crucial reports that will aid in making a well-informed decision on Materials Select Sector Etf: Check out Your Current Watchlist to better understand how to build diversified portfolios, which includes a position in Materials Select Sector. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in bureau of economic analysis. You can also try the Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
The market value of Materials Select Sector is measured differently than its book value, which is the value of Materials that is recorded on the company's balance sheet. Investors also form their own opinion of Materials Select's value that differs from its market value or its book value, called intrinsic value, which is Materials Select's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Materials Select's market value can be influenced by many factors that don't directly affect Materials Select's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Materials Select's value and its price as these two are different measures arrived at by different means. Investors typically determine if Materials Select is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Materials Select's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.