Sparindex INDEX (Denmark) Volatility
| SPIC25KL | DKK 276.30 3.40 1.22% |
Sparindex INDEX OMX owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0476, which indicates the fund had a -0.0476% return per unit of risk over the last 3 months. Sparindex INDEX OMX exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Sparindex INDEX's Risk Adjusted Performance of (0.04), coefficient of variation of (1,429), and Variance of 1.3 to confirm the risk estimate we provide.
Sparindex |
Sparindex INDEX Fund 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 Sparindex daily returns, and it is calculated using variance and standard deviation. We also use Sparindex's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Sparindex INDEX volatility.
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Sparindex INDEX 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 Sparindex INDEX at lower prices. For example, an investor can purchase Sparindex 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 Sparindex INDEX'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.
Sparindex INDEX Market Sensitivity And Downside Risk
Sparindex INDEX's beta coefficient measures the volatility of Sparindex fund 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 Sparindex fund's returns against your selected market. In other words, Sparindex INDEX's beta of -0.0111 provides an investor with an approximation of how much risk Sparindex INDEX fund can potentially add to one of your existing portfolios. Sparindex INDEX OMX exhibits very low volatility with skewness of -4.17 and kurtosis of 27.22. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Sparindex INDEX's fund risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Sparindex INDEX's fund 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 Sparindex INDEX OMX Demand TrendCheck current 90 days Sparindex INDEX correlation with market (NYSE Composite)Sparindex Beta |
Sparindex 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 | 1.16 |
It is essential to understand the difference between upside risk (as represented by Sparindex INDEX's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Sparindex INDEX's daily returns or price. Since the actual investment returns on holding a position in sparindex fund 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 Sparindex INDEX.
Sparindex INDEX OMX Fund Volatility Analysis
Volatility refers to the frequency at which Sparindex INDEX fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Sparindex INDEX's price changes. Investors will then calculate the volatility of Sparindex INDEX's fund to predict their future moves. A fund that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A fund with relatively stable price changes has low volatility. A highly volatile fund 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 Sparindex INDEX's volatility:
Historical Volatility
This type of fund volatility measures Sparindex INDEX's fluctuations based on previous trends. It's commonly used to predict Sparindex INDEX's future behavior based on its past. However, it cannot conclusively determine the future direction of the fund.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Sparindex INDEX's current market price. This means that the fund will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Sparindex INDEX'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. Sparindex INDEX OMX 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.
Sparindex INDEX Projected Return Density Against Market
Assuming the 90 days trading horizon Sparindex INDEX OMX has a beta of -0.0111 . This usually implies as returns on the benchmark increase, returns on holding Sparindex INDEX are expected to decrease at a much lower rate. During a bear market, however, Sparindex INDEX OMX 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 Sparindex INDEX or Commodities Funds 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 Sparindex INDEX's price will be affected by overall fund 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 Sparindex fund'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.
Sparindex INDEX OMX 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 Sparindex INDEX Price Volatility?
Several factors can influence a fund'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.Sparindex INDEX Fund Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Sparindex INDEX is -2100.38. The daily returns are distributed with a variance of 1.34 and standard deviation of 1.16. The mean deviation of Sparindex INDEX OMX is currently at 0.62. For similar time horizon, the selected benchmark (NYSE Composite) has volatility of 0.63
α | Alpha over NYSE Composite | -0.09 | |
β | Beta against NYSE Composite | -0.01 | |
σ | Overall volatility | 1.16 | |
Ir | Information ratio | -0.12 |
Sparindex INDEX Fund Return Volatility
Sparindex INDEX historical daily return volatility represents how much of Sparindex INDEX fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund accepts 1.1558% 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 Sparindex INDEX Volatility
Volatility is a rate at which the price of Sparindex INDEX 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 Sparindex INDEX may increase or decrease. In other words, similar to Sparindex's beta indicator, it measures the risk of Sparindex INDEX and helps estimate the fluctuations that may happen in a short period of time. So if prices of Sparindex INDEX 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 Sparindex INDEX's volatility to invest better
Higher Sparindex INDEX's fund volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Sparindex INDEX OMX fund 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. Sparindex INDEX OMX fund 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 Sparindex INDEX OMX investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Sparindex INDEX's fund 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 Sparindex INDEX's fund relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Sparindex INDEX Investment Opportunity
Sparindex INDEX OMX has a volatility of 1.16 and is 1.87 times more volatile than NYSE Composite. 10 percent of all equities and portfolios are less risky than Sparindex INDEX. You can use Sparindex INDEX OMX to protect your portfolios against small market fluctuations. The fund experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Sparindex INDEX to be traded at kr268.01 in 90 days.Good diversification
The correlation between Sparindex INDEX OMX and NYA is -0.01 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Sparindex INDEX OMX and NYA in the same portfolio, assuming nothing else is changed.
Sparindex INDEX Additional Risk Indicators
The analysis of Sparindex INDEX'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 Sparindex INDEX's investment and either accepting that risk or mitigating it. Along with some common measures of Sparindex INDEX fund'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 | (0.04) | |||
| Market Risk Adjusted Performance | 8.09 | |||
| Mean Deviation | 0.6359 | |||
| Coefficient Of Variation | (1,429) | |||
| Standard Deviation | 1.14 | |||
| Variance | 1.3 | |||
| Information Ratio | (0.12) |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential funds, we recommend comparing similar funds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Sparindex INDEX 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 Sparindex INDEX 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. Sparindex INDEX'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, Sparindex INDEX'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 Sparindex INDEX OMX.
Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Sparindex INDEX OMX. Also, note that the market value of any fund could be tightly coupled with the direction of predictive economic indicators such as signals in nation. Note that the Sparindex INDEX OMX information on this page should be used as a complementary analysis to other Sparindex INDEX's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
Please note, there is a significant difference between Sparindex INDEX's value and its price as these two are different measures arrived at by different means. Investors typically determine if Sparindex INDEX is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Sparindex INDEX'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.