Standard Supply (Norway) Volatility
| STSU Stock | 22.95 2.90 14.46% |
Standard Supply AS owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.12, which indicates the firm had a -0.12% return per unit of risk over the last 3 months. Standard Supply AS exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Standard Supply's Coefficient Of Variation of (832.32), variance of 122.69, and Risk Adjusted Performance of (0.08) to confirm the risk estimate we provide.
Standard |
Standard Supply 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 Standard daily returns, and it is calculated using variance and standard deviation. We also use Standard's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Standard Supply 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 Standard Supply at lower prices. For example, an investor can purchase Standard 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.
Moving against Standard Stock
| 0.89 | DNB | DnB ASA | PairCorr |
| 0.78 | MOWI | Mowi ASA | PairCorr |
| 0.65 | VAR | Var Energi ASA | PairCorr |
| 0.5 | AUTO | AutoStore Holdings | PairCorr |
| 0.47 | NHY | Norsk Hydro ASA | PairCorr |
Standard Supply Market Sensitivity And Downside Risk
Standard Supply's beta coefficient measures the volatility of Standard 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 Standard stock's returns against your selected market. In other words, Standard Supply's beta of 0.61 provides an investor with an approximation of how much risk Standard Supply stock can potentially add to one of your existing portfolios. Standard Supply AS is displaying above-average volatility over the selected time horizon. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Standard Supply'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 Standard Supply'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 Standard Supply AS Demand TrendCheck current 90 days Standard Supply correlation with market (Dow Jones Industrial)Standard Beta |
Standard 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 | 11.16 |
It is essential to understand the difference between upside risk (as represented by Standard Supply's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Standard Supply's daily returns or price. Since the actual investment returns on holding a position in standard 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 Standard Supply.
Standard Supply AS Stock Volatility Analysis
Volatility refers to the frequency at which Standard Supply stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Standard Supply's price changes. Investors will then calculate the volatility of Standard Supply'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 Standard Supply's volatility:
Historical Volatility
This type of stock volatility measures Standard Supply's fluctuations based on previous trends. It's commonly used to predict Standard Supply'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 Standard Supply'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 Standard Supply'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. Standard Supply AS 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.
Standard Supply Projected Return Density Against Market
Assuming the 90 days trading horizon Standard Supply has a beta of 0.6089 . This usually implies as returns on the market go up, Standard Supply average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Standard Supply AS 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 Standard Supply or Standard 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 Standard Supply'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 Standard 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.
Standard Supply AS 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 Standard Supply 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.Standard Supply Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Standard Supply is -825.99. The daily returns are distributed with a variance of 124.58 and standard deviation of 11.16. The mean deviation of Standard Supply AS is currently at 5.57. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.73
α | Alpha over Dow Jones | -1.4 | |
β | Beta against Dow Jones | 0.61 | |
σ | Overall volatility | 11.16 | |
Ir | Information ratio | -0.13 |
Standard Supply Stock Return Volatility
Standard Supply historical daily return volatility represents how much of Standard Supply stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company accepts 11.1615% 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 |
Standard Supply Investment Opportunity
Standard Supply AS has a volatility of 11.16 and is 15.29 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of Standard Supply AS is higher than 96 percent of all global equities and portfolios over the last 90 days. You can use Standard Supply AS to enhance the returns of your portfolios. The stock experiences a very speculative upward sentiment. Check odds of Standard Supply to be traded at 28.69 in 90 days.Significant diversification
The correlation between Standard Supply AS and DJI is 0.04 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Standard Supply AS and DJI in the same portfolio, assuming nothing else is changed.
Standard Supply Additional Risk Indicators
The analysis of Standard Supply'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 Standard Supply's investment and either accepting that risk or mitigating it. Along with some common measures of Standard Supply 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 | (0.08) | |||
| Market Risk Adjusted Performance | (2.19) | |||
| Mean Deviation | 5.5 | |||
| Coefficient Of Variation | (832.32) | |||
| Standard Deviation | 11.08 | |||
| Variance | 122.69 | |||
| Information Ratio | (0.13) |
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.
Standard Supply 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 Standard Supply 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. Standard Supply'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, Standard Supply'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 Standard Supply AS.