Stock Volatility

Stock volatility is calculated from the historical prices of equity instruments and shows the degree of variability in the returns. In the context of Modern Portfolio Theory, the risk-return relationship is the theoretical association between the performance expected from investment and the amount of risk assumed in that investment. The more returns investors expect from the market, the more risk they should undertake to achieve that return. In the context of efficient markets, volatility usually associated with swings in either direction of the market. As the stock market goes up or down, most securities will react, and volatility will change, causing a shift in investor risk-return utility function. Stock volatility is a key factor when analyzing investments or derivatives.
Volatility is one of the many essential indicators in analyzing individual financial instruments or portfolios of assets. Volatility does not measure the direction of price or price changes; rather, it measures their dispersion over a given investment horizon. When calculating variance, all differences are squared to combine negative and positive differences into one quantity. Two instruments with different volatilities may have the same expected return, but the asset with higher volatility will have larger swings in values over a given period.

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 Daily Expected Return (%) 
      Risk (%) 

Assets Rated by Market Efficiency

Many investors optimize their portfolios to maintain a risk-return balance that meets their personal investing preferences and liquidity needs. Understanding the relationship between the Sharpe ratio, risk, and expected return will help you build an optimal portfolio out of your selected theme. The Sharpe ratios describe how much excess return you receive for the extra volatility you endure for holding a position in a themed portfolio. Below are the essential efficiency ratios that can help you quickly create a reliable input to your portfolio optimization process.
Efficiency (Sharpe Ratio)Risk (Volatility)Expected ReturnCurrent Price
* Advice is based on 90 days investment horizon and default level of risk. Use Portfolio Analizer to fine-tune all your assumptions. Check your current assumptions here

Technical Analysis of Total Daily Returns

The below table shows technical indicators of the assets from the current unweighted theme. These indicators can be significantly improved after the theme is optimized. So, by diversifying this theme into an optimal portfolio, it is possible to reduce not only its total risk but also increase alpha, improve the information ratio and and increase the potential upside.
Risk Adjusted Performance0.0Market Risk Adjusted Performance0.0
Mean Deviation0.0Semi Deviation0.0
Downside Deviation0.0Coefficient Of Variation0.0
Standard Deviation0.0Variance0.0
Information Ratio0.0Jensen Alpha0.0
Total Risk Alpha0.0Sortino Ratio0.0
Treynor Ratio0.0Maximum Drawdown0.0
Value At Risk0.0Potential Upside0.0
Downside Variance0.0Semi Variance0.0
Expected Short fall0.0Skewness0.0
Kurtosis0.0Cryptocurrency DirectoryCorrelation Matrix

How to measure stock volatility?

Before comparing or considering investments, it is better to perform a stock volatility calculation that will adjust the returns according to how risky the stakes are. The riskier they are, the more the returns are lowered before any comparison. Technically risk refers to mean stock volatility, which measures how returns vary over a given period. An investment or a portfolio that grows steadily has low risk, and another investment with a value that jumps up and down unpredictably has high risk.

To create risk and return landscape specify valid comma-separated symbols and hit Analyze Watchlist button.

Please note, the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX) have recently merged. Although Macroaxis has implemented solutions to handle this transition gracefully, you may still find some securities that may not be fully transferred from one exchange to another.