Semtech Stock Volatility
| SMTC Stock | USD 64.04 0.16 0.25% |
Semtech appears to be very steady, given 3 months investment horizon. Semtech owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.19, which indicates the firm had a 0.19% return per unit of risk over the last 3 months. By inspecting Semtech's technical indicators, you can evaluate if the expected return of 0.76% is justified by implied risk. Please review Semtech's Risk Adjusted Performance of 0.1431, coefficient of variation of 566.12, and Semi Deviation of 2.87 to confirm if our risk estimates are consistent with your expectations. Key indicators related to Semtech's volatility include:
180 Days Market Risk | Chance Of Distress | 180 Days Economic Sensitivity |
Semtech 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 Semtech daily returns, and it is calculated using variance and standard deviation. We also use Semtech's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Semtech volatility.
Semtech |
ESG Sustainability
While most ESG disclosures are voluntary, Semtech's sustainability indicators can be used to identify proper investment strategies using environmental, social, and governance scores that are crucial to Semtech's managers and investors.Environmental | Governance | Social |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Semtech 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 Semtech at lower prices to lower their average cost per share. Similarly, when the prices of Semtech's stock rise, investors can sell out and invest the proceeds in other equities with better opportunities.
Moving together with Semtech Stock
| 0.78 | CAN | Canaan Inc Buyout Trend | PairCorr |
| 0.61 | INTC | Intel Fiscal Year End 23rd of January 2025 | PairCorr |
| 0.62 | LSCC | Lattice Semiconductor | PairCorr |
Moving against Semtech Stock
| 0.65 | MPWR | Monolithic Power Systems | PairCorr |
| 0.64 | QRVO | Qorvo Inc | PairCorr |
| 0.57 | SWKS | Skyworks Solutions | PairCorr |
| 0.52 | MCHP | Microchip Technology | PairCorr |
| 0.49 | AMKR | Amkor Technology | PairCorr |
| 0.46 | MX | MagnaChip Semiconductor Tech Boost | PairCorr |
Semtech Market Sensitivity And Downside Risk
Semtech's beta coefficient measures the volatility of Semtech 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 Semtech stock's returns against your selected market. In other words, Semtech's beta of 1.53 provides an investor with an approximation of how much risk Semtech stock can potentially add to one of your existing portfolios. Semtech shows above-average downside volatility for the selected time horizon. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Semtech'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 Semtech'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 Semtech Demand TrendCheck current 90 days Semtech correlation with market (Dow Jones Industrial)Semtech Beta |
Semtech 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 | 3.99 |
It is essential to understand the difference between upside risk (as represented by Semtech's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Semtech's daily returns or price. Since the actual investment returns on holding a position in semtech 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 Semtech.
Semtech Stock Volatility Analysis
Volatility refers to the frequency at which Semtech stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Semtech's price changes. Investors will then calculate the volatility of Semtech'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 Semtech's volatility:
Historical Volatility
This type of stock volatility measures Semtech's fluctuations based on previous trends. It's commonly used to predict Semtech'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 Semtech'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 Semtech'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. Semtech 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.
Semtech Projected Return Density Against Market
Given the investment horizon of 90 days the stock has the beta coefficient of 1.5343 . This usually implies as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Semtech will likely underperform.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 Semtech or Semiconductors & Semiconductor Equipment 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 Semtech'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 Semtech 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.
Semtech has an alpha of 0.4953, implying that it can generate a 0.5 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Semtech 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.Semtech Stock Risk Measures
Given the investment horizon of 90 days the coefficient of variation of Semtech is 522.14. The daily returns are distributed with a variance of 15.91 and standard deviation of 3.99. The mean deviation of Semtech is currently at 2.98. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | 0.50 | |
β | Beta against Dow Jones | 1.53 | |
σ | Overall volatility | 3.99 | |
Ir | Information ratio | 0.14 |
Semtech Stock Return Volatility
Semtech historical daily return volatility represents how much of Semtech stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm inherits 3.9883% risk (volatility on return distribution) over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7502% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Semtech Volatility
Volatility is a rate at which the price of Semtech 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 Semtech may increase or decrease. In other words, similar to Semtech's beta indicator, it measures the risk of Semtech and helps estimate the fluctuations that may happen in a short period of time. So if prices of Semtech 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.| Last Reported | Projected for Next Year | ||
| Selling And Marketing Expenses | 1.7 M | 1.8 M | |
| Market Cap | 1.4 B | 9.8 M |
Semtech'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 Semtech Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Semtech's price varies over time.
3 ways to utilize Semtech's volatility to invest better
Higher Semtech's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Semtech 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. Semtech 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 Semtech investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Semtech'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 Semtech's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Semtech Investment Opportunity
Semtech has a volatility of 3.99 and is 5.32 times more volatile than Dow Jones Industrial. 35 percent of all equities and portfolios are less risky than Semtech. You can use Semtech to protect your portfolios against small market fluctuations. The stock experiences a normal downward trend and little activity. Check odds of Semtech to be traded at $63.4 in 90 days.Weak diversification
The correlation between Semtech and DJI is 0.3 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Semtech and DJI in the same portfolio, assuming nothing else is changed.
Semtech Additional Risk Indicators
The analysis of Semtech'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 Semtech's investment and either accepting that risk or mitigating it. Along with some common measures of Semtech 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 | 0.1431 | |||
| Market Risk Adjusted Performance | 0.4604 | |||
| Mean Deviation | 2.96 | |||
| Semi Deviation | 2.87 | |||
| Downside Deviation | 3.23 | |||
| Coefficient Of Variation | 566.12 | |||
| Standard Deviation | 3.97 |
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.
Semtech 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.
| Microsoft vs. Semtech | ||
| GM vs. Semtech | ||
| Alphabet vs. Semtech | ||
| Visa vs. Semtech | ||
| Ford vs. Semtech | ||
| Citigroup vs. Semtech |
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 Semtech 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. Semtech'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, Semtech'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 Semtech.
Complementary Tools for Semtech Stock analysis
When running Semtech's price analysis, check to measure Semtech'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 Semtech is operating at the current time. Most of Semtech's value examination focuses on studying past and present price action to predict the probability of Semtech's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Semtech's price. Additionally, you may evaluate how the addition of Semtech to your portfolios can decrease your overall portfolio volatility.
| Cryptocurrency Center Build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency | |
| Portfolio Comparator Compare the composition, asset allocations and performance of any two portfolios in your account | |
| Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets |