Murree Brewery (Pakistan) Volatility

MUREB Stock   690.37  1.64  0.24%   
Murree Brewery appears to be very steady, given 3 months investment horizon. Murree Brewery has Sharpe Ratio of 0.35, which conveys that the firm had a 0.35% return per unit of risk over the last 3 months. By analyzing Murree Brewery's technical indicators, you can evaluate if the expected return of 0.58% is justified by implied risk. Please exercise Murree Brewery's Mean Deviation of 1.29, risk adjusted performance of 0.2294, and Downside Deviation of 1.42 to check out if our risk estimates are consistent with your expectations.
  
Murree Brewery 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 Murree daily returns, and it is calculated using variance and standard deviation. We also use Murree's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Murree Brewery 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 Murree Brewery at lower prices. For example, an investor can purchase Murree 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.

Murree Brewery Market Sensitivity And Downside Risk

Murree Brewery's beta coefficient measures the volatility of Murree 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 Murree stock's returns against your selected market. In other words, Murree Brewery's beta of -0.36 provides an investor with an approximation of how much risk Murree Brewery stock can potentially add to one of your existing portfolios. Murree Brewery has relatively low volatility with skewness of 0.25 and kurtosis of 0.45. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Murree Brewery'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 Murree Brewery'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 Murree Brewery Demand Trend
Check current 90 days Murree Brewery correlation with market (Dow Jones Industrial)

Murree Beta

    
  -0.36  
Murree 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

    
  1.67  
It is essential to understand the difference between upside risk (as represented by Murree Brewery's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Murree Brewery's daily returns or price. Since the actual investment returns on holding a position in murree 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 Murree Brewery.

Murree Brewery Stock Volatility Analysis

Volatility refers to the frequency at which Murree Brewery stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Murree Brewery's price changes. Investors will then calculate the volatility of Murree Brewery'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 Murree Brewery's volatility:

Historical Volatility

This type of stock volatility measures Murree Brewery's fluctuations based on previous trends. It's commonly used to predict Murree Brewery'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 Murree Brewery'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 Murree Brewery'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. Murree Brewery 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.

Murree Brewery Projected Return Density Against Market

Assuming the 90 days trading horizon Murree Brewery has a beta of -0.3614 . This indicates as returns on the benchmark increase, returns on holding Murree Brewery are expected to decrease at a much lower rate. During a bear market, however, Murree Brewery 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 Murree Brewery or Beers 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 Murree Brewery'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 Murree 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.
Murree Brewery has an alpha of 0.5434, implying that it can generate a 0.54 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta).
   Predicted Return Density   
       Returns  
Murree Brewery's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how murree stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Murree Brewery 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.

Murree Brewery Stock Risk Measures

Assuming the 90 days trading horizon the coefficient of variation of Murree Brewery is 289.23. The daily returns are distributed with a variance of 2.79 and standard deviation of 1.67. The mean deviation of Murree Brewery is currently at 1.28. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.73
α
Alpha over Dow Jones
0.54
β
Beta against Dow Jones-0.36
σ
Overall volatility
1.67
Ir
Information ratio 0.25

Murree Brewery Stock Return Volatility

Murree Brewery historical daily return volatility represents how much of Murree Brewery stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company accepts 1.6712% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7299% volatility on return distribution over the 90 days horizon.
 Performance 
       Timeline  

Murree Brewery Investment Opportunity

Murree Brewery has a volatility of 1.67 and is 2.29 times more volatile than Dow Jones Industrial. 14 percent of all equities and portfolios are less risky than Murree Brewery. You can use Murree Brewery to protect your portfolios against small market fluctuations. The stock experiences a normal downward trend and little activity. Check odds of Murree Brewery to be traded at 683.47 in 90 days.

Good diversification

The correlation between Murree Brewery and DJI is -0.16 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Murree Brewery and DJI in the same portfolio, assuming nothing else is changed.

Murree Brewery Additional Risk Indicators

The analysis of Murree Brewery'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 Murree Brewery's investment and either accepting that risk or mitigating it. Along with some common measures of Murree Brewery 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.
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.

Murree Brewery 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 Murree Brewery 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. Murree Brewery'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, Murree Brewery'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 Murree Brewery.