Sepatu Bata (Indonesia) Volatility
| BATA Stock | IDR 96.00 1.00 1.03% |
Sepatu Bata Tbk owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0659, which indicates the firm had a -0.0659% return per unit of risk over the last 3 months. Sepatu Bata Tbk exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Sepatu Bata's Coefficient Of Variation of (522.22), variance of 8.41, and Risk Adjusted Performance of (0.11) to confirm the risk estimate we provide. Key indicators related to Sepatu Bata's volatility include:
180 Days Market Risk | Chance Of Distress | 180 Days Economic Sensitivity |
Sepatu Bata 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 Sepatu daily returns, and it is calculated using variance and standard deviation. We also use Sepatu's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Sepatu Bata volatility.
Sepatu |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Sepatu Bata can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Sepatu Bata at lower prices. For example, an investor can purchase Sepatu stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Sepatu Bata's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.
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Sepatu Bata Market Sensitivity And Downside Risk
Sepatu Bata's beta coefficient measures the volatility of Sepatu 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 Sepatu stock's returns against your selected market. In other words, Sepatu Bata's beta of 0.0645 provides an investor with an approximation of how much risk Sepatu Bata stock can potentially add to one of your existing portfolios. Sepatu Bata Tbk exhibits very low volatility with skewness of -5.2 and kurtosis of 35.61. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Sepatu Bata'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 Sepatu Bata'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 Sepatu Bata Tbk Demand TrendCheck current 90 days Sepatu Bata correlation with market (NYSE Composite)Sepatu Beta |
Sepatu 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 | 1.32 |
It is essential to understand the difference between upside risk (as represented by Sepatu Bata's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Sepatu Bata's daily returns or price. Since the actual investment returns on holding a position in sepatu 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 Sepatu Bata.
Sepatu Bata Tbk Stock Volatility Analysis
Volatility refers to the frequency at which Sepatu Bata stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Sepatu Bata's price changes. Investors will then calculate the volatility of Sepatu Bata'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 Sepatu Bata's volatility:
Historical Volatility
This type of stock volatility measures Sepatu Bata's fluctuations based on previous trends. It's commonly used to predict Sepatu Bata'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 Sepatu Bata'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 Sepatu Bata's to be redeemed at a future date.Transformation |
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Sepatu Bata Projected Return Density Against Market
Assuming the 90 days trading horizon Sepatu Bata has a beta of 0.0645 suggesting as returns on the market go up, Sepatu Bata average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Sepatu Bata Tbk 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 Sepatu Bata or Textiles, Apparel & Luxury Goods 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 Sepatu Bata'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 Sepatu 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.
Sepatu Bata Tbk has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming the NYSE Composite. Predicted Return Density |
| Returns |
What Drives a Sepatu Bata 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.Sepatu Bata Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Sepatu Bata is -1516.99. The daily returns are distributed with a variance of 1.75 and standard deviation of 1.32. The mean deviation of Sepatu Bata Tbk is currently at 0.95. For similar time horizon, the selected benchmark (NYSE Composite) has volatility of 0.63
α | Alpha over NYSE Composite | -0.57 | |
β | Beta against NYSE Composite | 0.06 | |
σ | Overall volatility | 1.32 | |
Ir | Information ratio | -0.21 |
Sepatu Bata Stock Return Volatility
Sepatu Bata historical daily return volatility represents how much of Sepatu Bata stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company accepts 1.3221% volatility on return distribution over the 90 days horizon. By contrast, NYSE Composite accepts 0.6215% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Sepatu Bata Volatility
Volatility is a rate at which the price of Sepatu Bata 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 Sepatu Bata may increase or decrease. In other words, similar to Sepatu's beta indicator, it measures the risk of Sepatu Bata and helps estimate the fluctuations that may happen in a short period of time. So if prices of Sepatu Bata 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 Sepatu Bata's volatility to invest better
Higher Sepatu Bata's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Sepatu Bata Tbk 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. Sepatu Bata Tbk 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 Sepatu Bata Tbk investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Sepatu Bata'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 Sepatu Bata's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Sepatu Bata Investment Opportunity
Sepatu Bata Tbk has a volatility of 1.32 and is 2.13 times more volatile than NYSE Composite. 11 percent of all equities and portfolios are less risky than Sepatu Bata. You can use Sepatu Bata Tbk to protect your portfolios against small market fluctuations. The stock experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Sepatu Bata to be traded at 93.12 in 90 days.Significant diversification
The correlation between Sepatu Bata Tbk and NYA is 0.01 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Sepatu Bata Tbk and NYA in the same portfolio, assuming nothing else is changed.
Sepatu Bata Additional Risk Indicators
The analysis of Sepatu Bata'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 Sepatu Bata's investment and either accepting that risk or mitigating it. Along with some common measures of Sepatu Bata 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 | (0.11) | |||
| Market Risk Adjusted Performance | (8.76) | |||
| Mean Deviation | 1.5 | |||
| Coefficient Of Variation | (522.22) | |||
| Standard Deviation | 2.9 | |||
| Variance | 8.41 | |||
| Information Ratio | (0.21) |
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.
Sepatu Bata 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 Sepatu Bata 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. Sepatu Bata'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, Sepatu Bata'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 Sepatu Bata Tbk.
Check out Trending Equities to better understand how to build diversified portfolios. Also, note that the market value of any company could be tightly coupled with the direction of predictive economic indicators such as signals in board of governors. You can also try the Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
Complementary Tools for Sepatu Stock analysis
When running Sepatu Bata's price analysis, check to measure Sepatu Bata'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 Sepatu Bata is operating at the current time. Most of Sepatu Bata's value examination focuses on studying past and present price action to predict the probability of Sepatu Bata's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Sepatu Bata's price. Additionally, you may evaluate how the addition of Sepatu Bata to your portfolios can decrease your overall portfolio volatility.
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