Annaly Capital Management Stock Volatility
| NLY Stock | USD 18.33 0.10 0.55% |
Annaly Capital Management secures Sharpe Ratio (or Efficiency) of -0.0239, which signifies that the company had a -0.0239% return per unit of risk over the last 3 months. Annaly Capital Management exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Annaly Capital's Standard Deviation of 1.36, mean deviation of 1.03, and Risk Adjusted Performance of (0.01) to double-check the risk estimate we provide. Key indicators related to Annaly Capital's volatility include:
30 Days Market Risk | Chance Of Distress | 30 Days Economic Sensitivity |
Annaly Capital 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 Annaly daily returns, and it is calculated using variance and standard deviation. We also use Annaly's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Annaly Capital volatility.
Annaly |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Annaly Capital 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 Annaly Capital at lower prices. For example, an investor can purchase Annaly 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 Annaly Capital'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.
Moving together with Annaly Stock
| 0.75 | AB | AllianceBernstein Earnings Call This Week | PairCorr |
| 0.7 | BK | Bank of New York Financial Report 16th of July 2024 | PairCorr |
| 0.63 | BN | Brookfield Corp | PairCorr |
Annaly Capital Market Sensitivity And Downside Risk
Annaly Capital's beta coefficient measures the volatility of Annaly 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 Annaly stock's returns against your selected market. In other words, Annaly Capital's beta of 1.5 provides an investor with an approximation of how much risk Annaly Capital stock can potentially add to one of your existing portfolios. Annaly Capital Management exhibits very low volatility with skewness of -0.91 and kurtosis of 1.19. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Annaly Capital'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 Annaly Capital'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 Annaly Capital Management Demand TrendCheck current 90 days Annaly Capital correlation with market (NYSE Composite)Annaly Beta |
Annaly 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 | 1.36 |
It is essential to understand the difference between upside risk (as represented by Annaly Capital's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Annaly Capital's daily returns or price. Since the actual investment returns on holding a position in annaly 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 Annaly Capital.
Annaly Capital Management Stock Volatility Analysis
Volatility refers to the frequency at which Annaly Capital stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Annaly Capital's price changes. Investors will then calculate the volatility of Annaly Capital'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 Annaly Capital's volatility:
Historical Volatility
This type of stock volatility measures Annaly Capital's fluctuations based on previous trends. It's commonly used to predict Annaly Capital'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 Annaly Capital'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 Annaly Capital'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. Annaly Capital Management 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.
Annaly Capital Projected Return Density Against Market
Considering the 90-day investment horizon the stock has the beta coefficient of 1.495 . This indicates as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Annaly Capital 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 Annaly Capital or Mortgage Real Estate Investment Trusts (REITs) 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 Annaly Capital'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 Annaly 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.
Annaly Capital Management 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 an Annaly Capital 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.Annaly Capital Stock Risk Measures
Considering the 90-day investment horizon the coefficient of variation of Annaly Capital is -4188.38. The daily returns are distributed with a variance of 1.85 and standard deviation of 1.36. The mean deviation of Annaly Capital Management is currently at 1.03. For similar time horizon, the selected benchmark (NYSE Composite) has volatility of 0.62
α | Alpha over NYSE Composite | -0.16 | |
β | Beta against NYSE Composite | 1.50 | |
σ | Overall volatility | 1.36 | |
Ir | Information ratio | -0.09 |
Annaly Capital Stock Return Volatility
Annaly Capital historical daily return volatility represents how much of Annaly Capital stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company has volatility of 1.3612% on return distribution over 90 days investment horizon. By contrast, NYSE Composite accepts 0.6294% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Annaly Capital Volatility
Volatility is a rate at which the price of Annaly Capital 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 Annaly Capital may increase or decrease. In other words, similar to Annaly's beta indicator, it measures the risk of Annaly Capital and helps estimate the fluctuations that may happen in a short period of time. So if prices of Annaly Capital 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.Annaly Capital Management, Inc., a diversified capital manager, engages in mortgage finance and corporate middle market lending. The company was founded in 1996 and is based in New York, New York. Annaly Capital operates under REITMortgage classification in the United States and is traded on New York Stock Exchange. It employs 171 people.
Annaly Capital'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 Annaly Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Annaly Capital's price varies over time.
3 ways to utilize Annaly Capital's volatility to invest better
Higher Annaly Capital's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Annaly Capital Management 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. Annaly Capital Management 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 Annaly Capital Management investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Annaly Capital'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 Annaly Capital's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Annaly Capital Investment Opportunity
Annaly Capital Management has a volatility of 1.36 and is 2.16 times more volatile than NYSE Composite. 12 percent of all equities and portfolios are less risky than Annaly Capital. You can use Annaly Capital Management to enhance the returns of your portfolios. The stock experiences a moderate upward volatility. Check odds of Annaly Capital to be traded at $20.16 in 90 days.Poor diversification
The correlation between Annaly Capital Management and NYA is 0.69 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Annaly Capital Management and NYA in the same portfolio, assuming nothing else is changed.
Annaly Capital Additional Risk Indicators
The analysis of Annaly Capital'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 Annaly Capital's investment and either accepting that risk or mitigating it. Along with some common measures of Annaly Capital 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 | (0.01) | |||
| Market Risk Adjusted Performance | (0.02) | |||
| Mean Deviation | 1.03 | |||
| Coefficient Of Variation | (4,188) | |||
| Standard Deviation | 1.36 | |||
| Variance | 1.85 | |||
| Information Ratio | (0.09) |
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.
Annaly Capital 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 Annaly Capital 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. Annaly Capital'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, Annaly Capital'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 Annaly Capital Management.
When determining whether Annaly Capital Management offers a strong return on investment in its stock, a comprehensive analysis is essential. The process typically begins with a thorough review of Annaly Capital's financial statements, including income statements, balance sheets, and cash flow statements, to assess its financial health. Key financial ratios are used to gauge profitability, efficiency, and growth potential of Annaly Capital Management Stock. Outlined below are crucial reports that will aid in making a well-informed decision on Annaly Capital Management Stock: Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Annaly Capital Management. Also, note that the market value of any company could be tightly coupled with the direction of predictive economic indicators such as signals in bureau of economic analysis. You can also try the Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
Complementary Tools for Annaly Stock analysis
When running Annaly Capital's price analysis, check to measure Annaly Capital'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 Annaly Capital is operating at the current time. Most of Annaly Capital's value examination focuses on studying past and present price action to predict the probability of Annaly Capital's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Annaly Capital's price. Additionally, you may evaluate how the addition of Annaly Capital to your portfolios can decrease your overall portfolio volatility.
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Is Annaly Capital's industry expected to grow? Or is there an opportunity to expand the business' product line in the future? Factors like these will boost the valuation of Annaly Capital. If investors know Annaly will grow in the future, the company's valuation will be higher. The financial industry is built on trying to define current growth potential and future valuation accurately. All the valuation information about Annaly Capital listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.
The market value of Annaly Capital Management is measured differently than its book value, which is the value of Annaly that is recorded on the company's balance sheet. Investors also form their own opinion of Annaly Capital's value that differs from its market value or its book value, called intrinsic value, which is Annaly Capital's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Annaly Capital's market value can be influenced by many factors that don't directly affect Annaly Capital's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Annaly Capital's value and its price as these two are different measures arrived at by different means. Investors typically determine if Annaly Capital is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Annaly Capital's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.