Epiroc AB (Sweden) Volatility
| EPI-A Stock | SEK 195.35 0.80 0.41% |
Epiroc AB secures Sharpe Ratio (or Efficiency) of -0.0079, which denotes the company had a -0.0079% return per unit of risk over the last 3 months. Epiroc AB exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Epiroc AB's Downside Deviation of 1.54, mean deviation of 1.22, and Coefficient Of Variation of 7549.09 to check the risk estimate we provide. Key indicators related to Epiroc AB's volatility include:
720 Days Market Risk | Chance Of Distress | 720 Days Economic Sensitivity |
Epiroc AB 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 Epiroc daily returns, and it is calculated using variance and standard deviation. We also use Epiroc's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Epiroc AB volatility.
Epiroc |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Epiroc AB can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Epiroc AB at lower prices. For example, an investor can purchase Epiroc stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Epiroc AB's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.
Moving together with Epiroc Stock
Moving against Epiroc Stock
| 0.63 | BIOA-B | BioArctic AB | PairCorr |
| 0.55 | SUS | Surgical Science Sweden | PairCorr |
| 0.53 | OSSD | OssDsign AB | PairCorr |
| 0.43 | BETS-B | Betsson AB | PairCorr |
| 0.41 | SECU-B | Securitas AB | PairCorr |
| 0.36 | SHB-B | Svenska Handelsbanken | PairCorr |
| 0.32 | SHB-A | Svenska Handelsbanken | PairCorr |
Epiroc AB Market Sensitivity And Downside Risk
Epiroc AB's beta coefficient measures the volatility of Epiroc 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 Epiroc stock's returns against your selected market. In other words, Epiroc AB's beta of 0.0663 provides an investor with an approximation of how much risk Epiroc AB stock can potentially add to one of your existing portfolios. Epiroc AB has relatively low volatility with skewness of 0.04 and kurtosis of 0.44. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Epiroc AB'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 Epiroc AB'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 Epiroc AB Demand TrendCheck current 90 days Epiroc AB correlation with market (Dow Jones Industrial)Epiroc Beta |
Epiroc 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 | 1.59 |
It is essential to understand the difference between upside risk (as represented by Epiroc AB's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Epiroc AB's daily returns or price. Since the actual investment returns on holding a position in epiroc 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 Epiroc AB.
Epiroc AB Stock Volatility Analysis
Volatility refers to the frequency at which Epiroc AB stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Epiroc AB's price changes. Investors will then calculate the volatility of Epiroc AB'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 Epiroc AB's volatility:
Historical Volatility
This type of stock volatility measures Epiroc AB's fluctuations based on previous trends. It's commonly used to predict Epiroc AB'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 Epiroc AB'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 Epiroc AB'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. Epiroc AB 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.
Epiroc AB Projected Return Density Against Market
Assuming the 90 days trading horizon Epiroc AB has a beta of 0.0663 suggesting as returns on the market go up, Epiroc AB average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Epiroc AB 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 Epiroc AB or Industrials 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 Epiroc AB'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 Epiroc 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.
Epiroc AB has an alpha of 0.0099, implying that it can generate a 0.0099 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives an Epiroc AB 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.Epiroc AB Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Epiroc AB is -12588.88. The daily returns are distributed with a variance of 2.53 and standard deviation of 1.59. The mean deviation of Epiroc AB is currently at 1.18. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.79
α | Alpha over Dow Jones | 0.01 | |
β | Beta against Dow Jones | 0.07 | |
σ | Overall volatility | 1.59 | |
Ir | Information ratio | -0.0067 |
Epiroc AB Stock Return Volatility
Epiroc AB historical daily return volatility represents how much of Epiroc AB stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm accepts 1.5898% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7982% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Epiroc AB Volatility
Volatility is a rate at which the price of Epiroc AB 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 Epiroc AB may increase or decrease. In other words, similar to Epiroc's beta indicator, it measures the risk of Epiroc AB and helps estimate the fluctuations that may happen in a short period of time. So if prices of Epiroc AB 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.Epiroc AB , together with its subsidiaries, develops and produces equipment, consumables, and service for use in surface and underground mining, infrastructure, civil works, well drilling and geotechnical applications worldwide. Epiroc AB was founded in 1873 and is headquartered in Nacka, Sweden. Epiroc AB is traded on Stockholm Stock Exchange in Sweden.
Epiroc AB's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Epiroc Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Epiroc AB's price varies over time.
3 ways to utilize Epiroc AB's volatility to invest better
Higher Epiroc AB's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Epiroc AB stock 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. Epiroc AB stock 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 Epiroc AB investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Epiroc AB's stock 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 Epiroc AB's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Epiroc AB Investment Opportunity
Epiroc AB has a volatility of 1.59 and is 1.99 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of Epiroc AB is lower than 14 percent of all global equities and portfolios over the last 90 days. You can use Epiroc AB to protect your portfolios against small market fluctuations. The stock experiences a normal downward trend and little activity. Check odds of Epiroc AB to be traded at kr193.4 in 90 days.Significant diversification
The correlation between Epiroc AB and DJI is 0.03 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Epiroc AB and DJI in the same portfolio, assuming nothing else is changed.
Epiroc AB Additional Risk Indicators
The analysis of Epiroc AB'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 Epiroc AB's investment and either accepting that risk or mitigating it. Along with some common measures of Epiroc AB 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 | 0.0156 | |||
| Market Risk Adjusted Performance | 0.1816 | |||
| Mean Deviation | 1.22 | |||
| Semi Deviation | 1.51 | |||
| Downside Deviation | 1.54 | |||
| Coefficient Of Variation | 7549.09 | |||
| Standard Deviation | 1.61 |
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.
Epiroc AB 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 Epiroc AB 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. Epiroc AB'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, Epiroc AB'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 Epiroc AB.
Additional Tools for Epiroc Stock Analysis
When running Epiroc AB's price analysis, check to measure Epiroc AB's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Epiroc AB is operating at the current time. Most of Epiroc AB's value examination focuses on studying past and present price action to predict the probability of Epiroc AB's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Epiroc AB's price. Additionally, you may evaluate how the addition of Epiroc AB to your portfolios can decrease your overall portfolio volatility.