SPARTAN STORES (Germany) Volatility
| SRJ Stock | EUR 18.50 0.10 0.54% |
At this point, SPARTAN STORES is not too volatile. SPARTAN STORES retains Efficiency (Sharpe Ratio) of 0.0109, which indicates the firm had a 0.0109 % return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for SPARTAN STORES, which you can use to evaluate the volatility of the company. Please validate SPARTAN STORES's risk adjusted performance of 0.0219, and Downside Deviation of 2.41 to confirm if the risk estimate we provide is consistent with the expected return of 0.0249%. Key indicators related to SPARTAN STORES's volatility include:
90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
SPARTAN STORES 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 SPARTAN daily returns, and it is calculated using variance and standard deviation. We also use SPARTAN's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of SPARTAN STORES volatility.
SPARTAN |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as SPARTAN STORES 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 SPARTAN STORES at lower prices to lower their average cost per share. Similarly, when the prices of SPARTAN STORES's stock rise, investors can sell out and invest the proceeds in other equities with better opportunities.
Moving against SPARTAN Stock
| 0.7 | DBPD | Xtrackers ShortDAX | PairCorr |
| 0.66 | KBIA | KB Financial Group | PairCorr |
| 0.61 | MSF | Microsoft | PairCorr |
| 0.61 | MSF | Microsoft | PairCorr |
| 0.61 | MSF | Microsoft | PairCorr |
| 0.6 | MSF | Microsoft | PairCorr |
| 0.6 | MSF | Microsoft | PairCorr |
| 0.6 | SID | State Bank | PairCorr |
| 0.57 | OIX | ORIX | PairCorr |
SPARTAN STORES Market Sensitivity And Downside Risk
SPARTAN STORES's beta coefficient measures the volatility of SPARTAN 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 SPARTAN stock's returns against your selected market. In other words, SPARTAN STORES's beta of 0.12 provides an investor with an approximation of how much risk SPARTAN STORES stock can potentially add to one of your existing portfolios. SPARTAN STORES currently demonstrates below-average downside deviation. It has Information Ratio of 0.05 and Jensen Alpha of 0.04. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure SPARTAN STORES'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 SPARTAN STORES'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 SPARTAN STORES Demand TrendCheck current 90 days SPARTAN STORES correlation with market (Dow Jones Industrial)SPARTAN Beta |
SPARTAN 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 | 2.27 |
It is essential to understand the difference between upside risk (as represented by SPARTAN STORES's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of SPARTAN STORES's daily returns or price. Since the actual investment returns on holding a position in spartan 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 SPARTAN STORES.
SPARTAN STORES Stock Volatility Analysis
Volatility refers to the frequency at which SPARTAN STORES stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with SPARTAN STORES's price changes. Investors will then calculate the volatility of SPARTAN STORES'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 SPARTAN STORES's volatility:
Historical Volatility
This type of stock volatility measures SPARTAN STORES's fluctuations based on previous trends. It's commonly used to predict SPARTAN STORES'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 SPARTAN STORES'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 SPARTAN STORES'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. SPARTAN STORES 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.
SPARTAN STORES Projected Return Density Against Market
Assuming the 90 days trading horizon SPARTAN STORES has a beta of 0.1181 . This usually implies as returns on the market go up, SPARTAN STORES average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding SPARTAN STORES 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 SPARTAN STORES or Other 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 SPARTAN STORES'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 SPARTAN 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.
SPARTAN STORES has an alpha of 0.0378, implying that it can generate a 0.0378 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a SPARTAN STORES 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.SPARTAN STORES Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of SPARTAN STORES is 9140.5. The daily returns are distributed with a variance of 5.16 and standard deviation of 2.27. The mean deviation of SPARTAN STORES is currently at 1.49. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.89
α | Alpha over Dow Jones | 0.04 | |
β | Beta against Dow Jones | 0.12 | |
σ | Overall volatility | 2.27 | |
Ir | Information ratio | 0.05 |
SPARTAN STORES Stock Return Volatility
SPARTAN STORES historical daily return volatility represents how much of SPARTAN STORES stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm assumes 2.272% volatility of returns over the 90 days investment horizon. By contrast, Dow Jones Industrial accepts 0.8516% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About SPARTAN STORES Volatility
Volatility is a rate at which the price of SPARTAN STORES 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 SPARTAN STORES may increase or decrease. In other words, similar to SPARTAN's beta indicator, it measures the risk of SPARTAN STORES and helps estimate the fluctuations that may happen in a short period of time. So if prices of SPARTAN STORES 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 SPARTAN STORES's volatility to invest better
Higher SPARTAN STORES's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of SPARTAN STORES 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. SPARTAN STORES 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 SPARTAN STORES investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in SPARTAN STORES'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 SPARTAN STORES's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
SPARTAN STORES Investment Opportunity
SPARTAN STORES has a volatility of 2.27 and is 2.67 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of SPARTAN STORES is lower than 20 percent of all global equities and portfolios over the last 90 days. You can use SPARTAN STORES 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 SPARTAN STORES to be traded at €18.13 in 90 days.Significant diversification
The correlation between SPARTAN STORES and DJI is 0.05 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SPARTAN STORES and DJI in the same portfolio, assuming nothing else is changed.
SPARTAN STORES Additional Risk Indicators
The analysis of SPARTAN STORES'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 SPARTAN STORES's investment and either accepting that risk or mitigating it. Along with some common measures of SPARTAN STORES 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 | 0.0219 | |||
| Market Risk Adjusted Performance | 0.2579 | |||
| Mean Deviation | 1.42 | |||
| Semi Deviation | 1.96 | |||
| Downside Deviation | 2.41 | |||
| Coefficient Of Variation | 5533.99 | |||
| Standard Deviation | 2.17 |
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.
SPARTAN STORES 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 SPARTAN STORES 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. SPARTAN STORES'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, SPARTAN STORES'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 SPARTAN STORES.
Complementary Tools for SPARTAN Stock analysis
When running SPARTAN STORES's price analysis, check to measure SPARTAN STORES'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 SPARTAN STORES is operating at the current time. Most of SPARTAN STORES's value examination focuses on studying past and present price action to predict the probability of SPARTAN STORES's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move SPARTAN STORES's price. Additionally, you may evaluate how the addition of SPARTAN STORES to your portfolios can decrease your overall portfolio volatility.
| Equity Analysis Research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities | |
| Fundamentals Comparison Compare fundamentals across multiple equities to find investing opportunities | |
| Options Analysis Analyze and evaluate options and option chains as a potential hedge for your portfolios | |
| Correlation Analysis Reduce portfolio risk simply by holding instruments which are not perfectly correlated | |
| My Watchlist Analysis Analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like | |
| Companies Directory Evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals | |
| Piotroski F Score Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals |