GASBCM 6129 23 FEB 38 Volatility
| 39541EAA1 | 104.15 0.00 0.00% |
GASBCM 6129 23 holds Efficiency (Sharpe) Ratio of -0.19, which attests that the bond had a -0.19% return per unit of volatility over the last 3 months. GASBCM 6129 23 exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out GASBCM's market risk adjusted performance of (0.08), and Semi Deviation of 0.7987 to validate the risk estimate we provide.
GASBCM |
GASBCM Bond 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 GASBCM daily returns, and it is calculated using variance and standard deviation. We also use GASBCM's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of GASBCM volatility.
Downward market volatility can be a perfect environment for investors who play the long game with GASBCM. They may decide to buy additional shares of GASBCM at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving against GASBCM Bond
| 0.61 | MCD | McDonalds Fiscal Year End 3rd of February 2025 | PairCorr |
| 0.46 | KO | Coca Cola Fiscal Year End 11th of February 2025 | PairCorr |
| 0.42 | MRK | Merck Company Fiscal Year End 6th of February 2025 | PairCorr |
| 0.38 | IBM | International Business Fiscal Year End 22nd of January 2025 | PairCorr |
| 0.35 | KOSS | Koss | PairCorr |
| 0.35 | JNJ | Johnson Johnson Fiscal Year End 28th of January 2025 | PairCorr |
| 0.34 | DD | Dupont De Nemours Fiscal Year End 4th of February 2025 | PairCorr |
GASBCM Market Sensitivity And Downside Risk
GASBCM's beta coefficient measures the volatility of GASBCM bond 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 GASBCM bond's returns against your selected market. In other words, GASBCM's beta of -0.36 provides an investor with an approximation of how much risk GASBCM bond can potentially add to one of your existing portfolios. GASBCM 6129 23 FEB 38 has low volatility with Treynor Ratio of -0.09, Maximum Drawdown of 5.5 and kurtosis of 8.08. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure GASBCM's bond risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact GASBCM's bond 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 GASBCM 6129 23 Demand TrendCheck current 90 days GASBCM correlation with market (Dow Jones Industrial)GASBCM Beta |
GASBCM 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 | 0.94 |
It is essential to understand the difference between upside risk (as represented by GASBCM's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of GASBCM's daily returns or price. Since the actual investment returns on holding a position in gasbcm bond 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 GASBCM.
GASBCM 6129 23 Bond Volatility Analysis
Volatility refers to the frequency at which GASBCM bond price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with GASBCM's price changes. Investors will then calculate the volatility of GASBCM's bond to predict their future moves. A bond that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A bond with relatively stable price changes has low volatility. A highly volatile bond 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 GASBCM's volatility:
Historical Volatility
This type of bond volatility measures GASBCM's fluctuations based on previous trends. It's commonly used to predict GASBCM's future behavior based on its past. However, it cannot conclusively determine the future direction of the bond.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for GASBCM's current market price. This means that the bond will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on GASBCM'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. GASBCM 6129 23 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.
GASBCM Projected Return Density Against Market
Assuming the 90 days trading horizon GASBCM 6129 23 FEB 38 has a beta of -0.3646 . This usually implies as returns on the benchmark increase, returns on holding GASBCM are expected to decrease at a much lower rate. During a bear market, however, GASBCM 6129 23 FEB 38 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 GASBCM or GASBCM 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 GASBCM's price will be affected by overall bond 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 GASBCM bond'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.
GASBCM 6129 23 FEB 38 has an alpha of 0.041, implying that it can generate a 0.041 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a GASBCM Price Volatility?
Several factors can influence a bond'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.GASBCM Bond Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of GASBCM is -528.66. The daily returns are distributed with a variance of 0.88 and standard deviation of 0.94. The mean deviation of GASBCM 6129 23 FEB 38 is currently at 0.66. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.79
α | Alpha over Dow Jones | 0.04 | |
β | Beta against Dow Jones | -0.36 | |
σ | Overall volatility | 0.94 | |
Ir | Information ratio | 0.01 |
GASBCM Bond Return Volatility
GASBCM historical daily return volatility represents how much of GASBCM bond's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. GASBCM 6129 23 FEB 38 accepts 0.9394% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7978% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About GASBCM Volatility
Volatility is a rate at which the price of GASBCM 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 GASBCM may increase or decrease. In other words, similar to GASBCM's beta indicator, it measures the risk of GASBCM and helps estimate the fluctuations that may happen in a short period of time. So if prices of GASBCM 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 GASBCM's volatility to invest better
Higher GASBCM's bond volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of GASBCM 6129 23 bond 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. GASBCM 6129 23 bond 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 GASBCM 6129 23 investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in GASBCM's bond 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 GASBCM's bond relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
GASBCM Investment Opportunity
GASBCM 6129 23 FEB 38 has a volatility of 0.94 and is 1.17 times more volatile than Dow Jones Industrial. 8 percent of all equities and portfolios are less risky than GASBCM. You can use GASBCM 6129 23 FEB 38 to protect your portfolios against small market fluctuations. The bond experiences a normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of GASBCM to be traded at 103.11 in 90 days.Very good diversification
The correlation between GASBCM 6129 23 FEB 38 and DJI is -0.29 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding GASBCM 6129 23 FEB 38 and DJI in the same portfolio, assuming nothing else is changed.
GASBCM Additional Risk Indicators
The analysis of GASBCM'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 GASBCM's investment and either accepting that risk or mitigating it. Along with some common measures of GASBCM bond'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 | 0.0368 | |||
| Market Risk Adjusted Performance | (0.08) | |||
| Mean Deviation | 0.6753 | |||
| Semi Deviation | 0.7987 | |||
| Downside Deviation | 0.8391 | |||
| Coefficient Of Variation | 2295.39 | |||
| Standard Deviation | 1.01 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential bonds, we recommend comparing similar bonds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
GASBCM 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 GASBCM 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. GASBCM'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, GASBCM'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 GASBCM 6129 23 FEB 38.
Other Information on Investing in GASBCM Bond
GASBCM financial ratios help investors to determine whether GASBCM Bond is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in GASBCM with respect to the benefits of owning GASBCM security.