Sapura Energy (Malaysia) Volatility
5218 Stock | 0.04 0.01 16.67% |
Sapura Energy is out of control given 3 months investment horizon. Sapura Energy Bhd owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0818, which indicates the firm had a 0.0818 % return per unit of risk over the last 3 months. We were able to interpolate twenty-nine different technical indicators, which can help you to evaluate if expected returns of 1.03% are justified by taking the suggested risk. Use Sapura Energy Bhd Semi Deviation of 9.29, risk adjusted performance of 0.0521, and Coefficient Of Variation of 1668.08 to evaluate company specific risk that cannot be diversified away.
Sapura |
Sapura Energy 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 Sapura daily returns, and it is calculated using variance and standard deviation. We also use Sapura's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Sapura Energy 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 Sapura Energy at lower prices. For example, an investor can purchase Sapura 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.
Sapura Energy Market Sensitivity And Downside Risk
Sapura Energy's beta coefficient measures the volatility of Sapura 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 Sapura stock's returns against your selected market. In other words, Sapura Energy's beta of -0.13 provides an investor with an approximation of how much risk Sapura Energy stock can potentially add to one of your existing portfolios. Sapura Energy Bhd is showing large volatility of returns over the selected time horizon. Sapura Energy Bhd is a penny stock. Although Sapura Energy may be in fact a good investment, many penny stocks are subject to artificial price hype. Make sure you completely understand the upside potential and downside risk of investing in Sapura Energy Bhd. We encourage investors to look for signals such as message board hypes, claims of breakthroughs, email spams, sudden volume upswings, and other similar hype indicators. We also encourage traders to check biographies and work history of company officers before investing in instruments with high volatility. You can indeed make money on Sapura instrument if you perfectly time your entry and exit. However, remember that penny stocks that have been the subject of artificial hype usually unable to maintain their increased share price for more than just a few days. The price of a promoted high volatility instrument will almost always revert back. The only way to increase shareholder value is through legitimate performance backed up by solid fundamentals.
3 Months Beta |Analyze Sapura Energy Bhd Demand TrendCheck current 90 days Sapura Energy correlation with market (Dow Jones Industrial)Sapura Beta |
Sapura 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 | 12.58 |
It is essential to understand the difference between upside risk (as represented by Sapura Energy's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Sapura Energy's daily returns or price. Since the actual investment returns on holding a position in sapura 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 Sapura Energy.
Sapura Energy Bhd Stock Volatility Analysis
Volatility refers to the frequency at which Sapura Energy stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Sapura Energy's price changes. Investors will then calculate the volatility of Sapura Energy'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 Sapura Energy's volatility:
Historical Volatility
This type of stock volatility measures Sapura Energy's fluctuations based on previous trends. It's commonly used to predict Sapura Energy'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 Sapura Energy'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 Sapura Energy'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. Sapura Energy Bhd 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.
Sapura Energy Projected Return Density Against Market
Assuming the 90 days trading horizon Sapura Energy Bhd has a beta of -0.1325 . This suggests as returns on the benchmark increase, returns on holding Sapura Energy are expected to decrease at a much lower rate. During a bear market, however, Sapura Energy Bhd is likely to outperform the market.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 Sapura Energy or Sapura 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 Sapura Energy'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 Sapura 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.
Sapura Energy Bhd has an alpha of 0.7318, implying that it can generate a 0.73 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
Returns |
What Drives a Sapura Energy 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.Sapura Energy Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Sapura Energy is 1222.49. The daily returns are distributed with a variance of 158.26 and standard deviation of 12.58. The mean deviation of Sapura Energy Bhd is currently at 9.58. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.71
α | Alpha over Dow Jones | 0.73 | |
β | Beta against Dow Jones | -0.13 | |
σ | Overall volatility | 12.58 | |
Ir | Information ratio | 0.06 |
Sapura Energy Stock Return Volatility
Sapura Energy historical daily return volatility represents how much of Sapura Energy stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company accepts 12.5803% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7229% volatility on return distribution over the 90 days horizon. Performance |
Timeline |
Sapura Energy Investment Opportunity
Sapura Energy Bhd has a volatility of 12.58 and is 17.47 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of Sapura Energy Bhd is higher than 96 percent of all global equities and portfolios over the last 90 days. You can use Sapura Energy Bhd to enhance the returns of your portfolios. The stock experiences a very speculative upward sentiment. Check odds of Sapura Energy to be traded at 0.0438 in 90 days.Good diversification
The correlation between Sapura Energy Bhd and DJI is -0.01 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Sapura Energy Bhd and DJI in the same portfolio, assuming nothing else is changed.
Sapura Energy Additional Risk Indicators
The analysis of Sapura Energy'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 Sapura Energy's investment and either accepting that risk or mitigating it. Along with some common measures of Sapura Energy 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 | 0.0521 | |||
Market Risk Adjusted Performance | (5.50) | |||
Mean Deviation | 9.19 | |||
Semi Deviation | 9.29 | |||
Downside Deviation | 15.52 | |||
Coefficient Of Variation | 1668.08 | |||
Standard Deviation | 12.34 |
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.
Sapura Energy 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 Sapura Energy 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. Sapura Energy'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, Sapura Energy'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 Sapura Energy Bhd.