Enalyzer Volatility

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ENALYZ -- Denmark Stock  

DKK 3.90  0.04  1.02%

Enalyzer appears to be very risky, given 3 months investment horizon. Enalyzer AS secures Sharpe Ratio (or Efficiency) of 0.0336, which denotes the company had 0.0336% of return per unit of standard deviation over the last 3 months. Our philosophy in predicting the volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Enalyzer AS, which you can use to evaluate future volatility of the firm. Please utilize Enalyzer AS downside deviation of 14.09, mean deviation of 5.93, and semi deviation of 6.9 to check if our risk estimates are consistent with your expectations.

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Enalyzer 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 Enalyzer daily returns, and it is calculated using variance and standard deviation. We also use Enalyzer's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Enalyzer volatility.

90 Days Market Risk

Very risky

Chance of Distress

Quite High

90 Days Economic Sensitivity

Moves totally opposite to the market

Enalyzer Market Sensitivity And Downside Risk

Enalyzer AS beta coefficient measures the volatility of Enalyzer stock compared to the systematic risk of the entire stock 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 Enalyzer stock's returns against your selected market. In other words, Enalyzer's beta of -1.2543 provides an investor with an approximation of how much risk Enalyzer stock can potentially add to one of your existing portfolios. Let's try to break down what Enalyzer's beta means in this case. As returns on the market increase, returns on owning Enalyzer are expected to decrease by larger amounts. On the other hand, during market turmoil, Enalyzer is expected to outperform it.
3 Months Beta |Analyze Enalyzer AS Demand Trend
Check current 30 days Enalyzer correlation with market (DOW)
β

Current Enalyzer Beta Coefficient

 = 

Enalyzer Central Daily Price Deviations

It is essential to understand the difference between upside risk (as represented by Enalyzer's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Enalyzer stock's daily returns or price. Since the actual investment returns on holding a position in Enalyzer 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 Enalyzer.

Enalyzer AS Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Enalyzer AS 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. View also all equity analysis or get more info about average price price transform indicator.

Enalyzer Projected Return Density Against Market

Assuming the 30 trading days horizon, Enalyzer AS has a beta of -1.2543 suggesting as returns on its benchmark rise, returns on holding Enalyzer AS are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Enalyzer is expected to outperform its benchmark. In addition to that, 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 Enalyzer or Enalyzer AS 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 Enalyzer stock'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 Enalyzer 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. The company has an alpha of 1.4594, implying that it can generate a 1.46 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Enalyzer Risk Measures

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 Enalyzer or Enalyzer AS 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 Enalyzer stock'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 Enalyzer 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. Assuming the 30 trading days horizon, the coefficient of variation of Enalyzer is 2980.17. The daily returns are destributed with a variance of 47.35 and standard deviation of 6.88. The mean deviation of Enalyzer AS is currently at 2.92. For similar time horizon, the selected benchmark (DOW) has volatility of 2.14
α
Alpha over DOW
=1.46
β
Beta against DOW=-1.25
σ
Overall volatility
=6.88
Ir
Information ratio =0.06

Enalyzer Return Volatility

Enalyzer historical daily return volatility represents how much Enalyzer stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The company accepts 6.881% volatility on return distribution over the 30 days horizon. By contrast, DOW inherits 1.8495% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About Enalyzer Volatility

Volatility is a rate at which the price of Enalyzer 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 Enalyzer may increase or decrease. In other words, similar to Enalyzer's beta indicator, it measures the risk of Enalyzer and helps estimate the fluctuations that may happen in a short period of time. So if prices of Enalyzer 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.
Enalyzer AS provides solutions for the measurement and analysis of employee satisfaction, and customer and citizen views on various topics worldwide. The company was founded in 2000 and is based in Copenhagen, Denmark. Enalyzer is traded on Copenhagen Stock Exchange in Denmark.

Enalyzer Investment Opportunity

Enalyzer AS has a volatility of 6.88 and is 3.72 times more volatile than DOW. 59  of all equities and portfolios are less risky than Enalyzer. Compared to the overall equity markets, volatility of historical daily returns of Enalyzer AS is higher than 59 () of all global equities and portfolios over the last 30 days. Use Enalyzer AS to protect your portfolios against small markets fluctuations. The stock experiences a somewhat bearish sentiment, but market may correct it shortly. Check odds of Enalyzer to be traded at kr3.78 in 30 days. . Let's try to break down what Enalyzer's beta means in this case. As returns on the market increase, returns on owning Enalyzer are expected to decrease by larger amounts. On the other hand, during market turmoil, Enalyzer is expected to outperform it.

Enalyzer correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Enalyzer AS and equity matching DJI index in the same portfolio.

Enalyzer Additional Risk Indicators

The analysis of various secondary risk indicators of Enalyzer is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Enalyzer investment, and either accepting that risk or mitigating it. Along with some common measures of Enalyzer stock 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 your existing portfolio. Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing the like to determine which investment holds the most risk.
Risk Adjusted Performance0.1878
Market Risk Adjusted Performance(0.89)
Mean Deviation5.93
Semi Deviation6.9
Downside Deviation14.09
Coefficient Of Variation1191.55
Standard Deviation13.6

Enalyzer 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.
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Continue to Investing Opportunities. Please also try Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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