Select Stoxx Europe Etf Volatility
| EUAD Etf | 25.62 0.43 1.71% |
At this point, Select STOXX is very steady. Select STOXX Europe owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0537, which indicates the etf had a 0.0537% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Select STOXX Europe, which you can use to evaluate the volatility of the etf. Please validate Select STOXX's Risk Adjusted Performance of 0.0452, coefficient of variation of 1833.43, and Semi Deviation of 1.06 to confirm if the risk estimate we provide is consistent with the expected return of 0.0624%. Key indicators related to Select STOXX's volatility include:
720 Days Market Risk | Chance Of Distress | 720 Days Economic Sensitivity |
Select STOXX 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 Select daily returns, and it is calculated using variance and standard deviation. We also use Select's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Select STOXX volatility.
Select |
Downward market volatility can be a perfect environment for investors who play the long game with Select STOXX. They may decide to buy additional shares of Select STOXX at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving against Select Etf
| 0.59 | SPAQ | Horizon Kinetics SPAC | PairCorr |
| 0.55 | JETS | US Global Jets | PairCorr |
| 0.45 | IYT | iShares Transportation | PairCorr |
| 0.45 | IYC | iShares Consumer Dis | PairCorr |
| 0.43 | VTI | Vanguard Total Stock | PairCorr |
| 0.39 | DRVN | Driven Brands Holdings | PairCorr |
| 0.39 | FXR | First Trust Industri | PairCorr |
| 0.37 | IYJ | iShares Industrials ETF | PairCorr |
| 0.35 | VIS | Vanguard Industrials | PairCorr |
Select STOXX Market Sensitivity And Downside Risk
Select STOXX's beta coefficient measures the volatility of Select 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 Select etf's returns against your selected market. In other words, Select STOXX's beta of 0.21 provides an investor with an approximation of how much risk Select STOXX etf can potentially add to one of your existing portfolios. Select STOXX Europe has relatively low volatility with skewness of 0.4 and kurtosis of -0.26. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Select STOXX'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 Select STOXX'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 Select STOXX Europe Demand TrendCheck current 90 days Select STOXX correlation with market (Dow Jones Industrial)Select Beta |
Select 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 | 1.16 |
It is essential to understand the difference between upside risk (as represented by Select STOXX's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Select STOXX's daily returns or price. Since the actual investment returns on holding a position in select 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 Select STOXX.
Select STOXX Europe Etf Volatility Analysis
Volatility refers to the frequency at which Select STOXX etf price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Select STOXX's price changes. Investors will then calculate the volatility of Select STOXX'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 Select STOXX's volatility:
Historical Volatility
This type of etf volatility measures Select STOXX's fluctuations based on previous trends. It's commonly used to predict Select STOXX'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 Select STOXX'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 Select STOXX'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 thirty-one. Select STOXX Europe 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.
Select STOXX Projected Return Density Against Market
Given the investment horizon of 90 days Select STOXX has a beta of 0.2055 suggesting as returns on the market go up, Select STOXX average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Select STOXX Europe 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 Select STOXX 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 Select STOXX'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 Select 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.
Select STOXX Europe has an alpha of 0.0333, implying that it can generate a 0.0333 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Select STOXX 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.Select STOXX Etf Risk Measures
Given the investment horizon of 90 days the coefficient of variation of Select STOXX is 1862.88. The daily returns are distributed with a variance of 1.35 and standard deviation of 1.16. The mean deviation of Select STOXX Europe is currently at 0.94. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | 0.03 | |
β | Beta against Dow Jones | 0.21 | |
σ | Overall volatility | 1.16 | |
Ir | Information ratio | -0.04 |
Select STOXX Etf Return Volatility
Select STOXX historical daily return volatility represents how much of Select STOXX etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund inherits 1.1627% risk (volatility on return distribution) over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7425% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Select STOXX Volatility
Volatility is a rate at which the price of Select STOXX 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 Select STOXX may increase or decrease. In other words, similar to Select's beta indicator, it measures the risk of Select STOXX and helps estimate the fluctuations that may happen in a short period of time. So if prices of Select STOXX 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 Select STOXX's volatility to invest better
Higher Select STOXX's etf volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Select STOXX Europe 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. Select STOXX Europe 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 Select STOXX Europe investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Select STOXX'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 Select STOXX's etf relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Select STOXX Investment Opportunity
Select STOXX Europe has a volatility of 1.16 and is 1.57 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of Select STOXX Europe is lower than 10 percent of all global equities and portfolios over the last 90 days. You can use Select STOXX Europe to enhance the returns of your portfolios. The etf experiences a large bullish trend. Check odds of Select STOXX to be traded at 28.18 in 90 days.Average diversification
The correlation between Select STOXX Europe and DJI is 0.14 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Select STOXX Europe and DJI in the same portfolio, assuming nothing else is changed.
Select STOXX Additional Risk Indicators
The analysis of Select STOXX'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 Select STOXX's investment and either accepting that risk or mitigating it. Along with some common measures of Select STOXX 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 | 0.0452 | |||
| Market Risk Adjusted Performance | 0.2752 | |||
| Mean Deviation | 0.9692 | |||
| Semi Deviation | 1.06 | |||
| Downside Deviation | 1.13 | |||
| Coefficient Of Variation | 1833.43 | |||
| Standard Deviation | 1.18 |
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.
Select STOXX 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 Select STOXX 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. Select STOXX'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, Select STOXX'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 Select STOXX Europe.
When determining whether Select STOXX Europe is a strong investment it is important to analyze Select STOXX's competitive position within its industry, examining market share, product or service uniqueness, and competitive advantages. Beyond financials and market position, potential investors should also consider broader economic conditions, industry trends, and any regulatory or geopolitical factors that may impact Select STOXX's future performance. For an informed investment choice regarding Select Etf, refer to the following important reports: Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Select STOXX Europe. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in nation. You can also try the CEOs Directory module to screen CEOs from public companies around the world.
The market value of Select STOXX Europe is measured differently than its book value, which is the value of Select that is recorded on the company's balance sheet. Investors also form their own opinion of Select STOXX's value that differs from its market value or its book value, called intrinsic value, which is Select STOXX'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 Select STOXX's market value can be influenced by many factors that don't directly affect Select STOXX'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 Select STOXX's value and its price as these two are different measures arrived at by different means. Investors typically determine if Select STOXX is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Select STOXX'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.