Keisei Electric (Germany) Volatility
| KEI Stock | EUR 25.20 0.20 0.79% |
Keisei Electric is unstable given 3 months investment horizon. Keisei Electric Railway has Sharpe Ratio of 0.0766, which conveys that the firm had a 0.0766% return per unit of risk over the last 3 months. We were able to interpolate twenty-one different technical indicators, which can help you to evaluate if expected returns of 2.05% are justified by taking the suggested risk. Use Keisei Electric Railway Standard Deviation of 2.67, mean deviation of 1.83, and Risk Adjusted Performance of (0.02) to evaluate company specific risk that cannot be diversified away. Key indicators related to Keisei Electric's volatility include:
30 Days Market Risk | Chance Of Distress | 30 Days Economic Sensitivity |
Keisei Electric 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 Keisei daily returns, and it is calculated using variance and standard deviation. We also use Keisei's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Keisei Electric volatility.
Keisei |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Keisei Electric can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game as hey may decide to buy additional stocks of Keisei Electric at lower prices to lower their average cost per share. Similarly, when the prices of Keisei Electric's stock rise, investors can sell out and invest the proceeds in other equities with better opportunities.
Moving against Keisei Stock
Keisei Electric Market Sensitivity And Downside Risk
Keisei Electric's beta coefficient measures the volatility of Keisei 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 Keisei stock's returns against your selected market. In other words, Keisei Electric's beta of -0.0303 provides an investor with an approximation of how much risk Keisei Electric stock can potentially add to one of your existing portfolios. Keisei Electric Railway exhibits very low volatility with skewness of 2.09 and kurtosis of 9.88. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Keisei Electric'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 Keisei Electric'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 Keisei Electric Railway Demand TrendCheck current 90 days Keisei Electric correlation with market (Dow Jones Industrial)Keisei Beta |
Keisei 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 | 26.73 |
It is essential to understand the difference between upside risk (as represented by Keisei Electric's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Keisei Electric's daily returns or price. Since the actual investment returns on holding a position in keisei 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 Keisei Electric.
Keisei Electric Railway Stock Volatility Analysis
Volatility refers to the frequency at which Keisei Electric stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Keisei Electric's price changes. Investors will then calculate the volatility of Keisei Electric'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 Keisei Electric's volatility:
Historical Volatility
This type of stock volatility measures Keisei Electric's fluctuations based on previous trends. It's commonly used to predict Keisei Electric'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 Keisei Electric'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 Keisei Electric'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. Keisei Electric Railway 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.
Keisei Electric Projected Return Density Against Market
Assuming the 90 days horizon Keisei Electric Railway has a beta of -0.0303 . This indicates as returns on the benchmark increase, returns on holding Keisei Electric are expected to decrease at a much lower rate. During a bear market, however, Keisei Electric Railway 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 Keisei Electric 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 Keisei Electric'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 Keisei 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.
Keisei Electric Railway 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 Keisei Electric 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.Keisei Electric Stock Risk Measures
Assuming the 90 days horizon the coefficient of variation of Keisei Electric is 1305.69. The daily returns are distributed with a variance of 714.36 and standard deviation of 26.73. The mean deviation of Keisei Electric Railway is currently at 6.77. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.79
α | Alpha over Dow Jones | -0.11 | |
β | Beta against Dow Jones | -0.03 | |
σ | Overall volatility | 26.73 | |
Ir | Information ratio | -0.05 |
Keisei Electric Stock Return Volatility
Keisei Electric historical daily return volatility represents how much of Keisei Electric stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company shows 26.7275% volatility of returns over 90 . By contrast, Dow Jones Industrial accepts 0.8065% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Keisei Electric Volatility
Volatility is a rate at which the price of Keisei Electric 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 Keisei Electric may increase or decrease. In other words, similar to Keisei's beta indicator, it measures the risk of Keisei Electric and helps estimate the fluctuations that may happen in a short period of time. So if prices of Keisei Electric 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.Keisei Electric Railway Co., Ltd. provides railway transportation services in Japan. The company was founded in 1909 and is headquartered in Ichikawa, Japan. Keisei Electric is traded on Frankfurt Stock Exchange in Germany.
Keisei Electric'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 Keisei Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Keisei Electric's price varies over time.
3 ways to utilize Keisei Electric's volatility to invest better
Higher Keisei Electric's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Keisei Electric Railway 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. Keisei Electric Railway 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 Keisei Electric Railway investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Keisei Electric'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 Keisei Electric's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Keisei Electric Investment Opportunity
Keisei Electric Railway has a volatility of 26.73 and is 33.0 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of Keisei Electric Railway is higher than 96 percent of all global equities and portfolios over the last 90 days. You can use Keisei Electric Railway to protect your portfolios against small market fluctuations. The stock experiences a moderate downward daily trend and can be a good diversifier. Check odds of Keisei Electric to be traded at €24.7 in 90 days.Good diversification
The correlation between Keisei Electric Railway 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 Keisei Electric Railway and DJI in the same portfolio, assuming nothing else is changed.
Keisei Electric Additional Risk Indicators
The analysis of Keisei Electric'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 Keisei Electric's investment and either accepting that risk or mitigating it. Along with some common measures of Keisei Electric 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 | (0.02) | |||
| Market Risk Adjusted Performance | 3.77 | |||
| Mean Deviation | 1.83 | |||
| Coefficient Of Variation | (2,569) | |||
| Standard Deviation | 2.67 | |||
| Variance | 7.11 | |||
| Information Ratio | (0.05) |
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.
Keisei Electric 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 Keisei Electric 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. Keisei Electric'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, Keisei Electric'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 Keisei Electric Railway.
Complementary Tools for Keisei Stock analysis
When running Keisei Electric's price analysis, check to measure Keisei Electric'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 Keisei Electric is operating at the current time. Most of Keisei Electric's value examination focuses on studying past and present price action to predict the probability of Keisei Electric's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Keisei Electric's price. Additionally, you may evaluate how the addition of Keisei Electric to your portfolios can decrease your overall portfolio volatility.
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