Academy Sports OutdoorsInc Volatility

ASODelisted Stock  USD 51.83  1.18  2.33%   
Academy Sports appears to be very steady, given 3 months investment horizon. Academy Sports Outdo secures Sharpe Ratio (or Efficiency) of 0.15, which signifies that the company had 0.15% of return per unit of standard deviation over the last 3 months. Our philosophy in foreseeing the volatility of a stock is to use all available market data together with stock-specific technical indicators that cannot be diversified away. By analyzing Academy Sports Outdo technical indicators you can presently evaluate if the expected return of 0.52% is justified by implied risk. Please makes use of Academy Sports' risk adjusted performance of 0.1317, and Mean Deviation of 2.38 to double-check if our risk estimates are consistent with your expectations.
  
Academy Sports 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 Academy daily returns, and it is calculated using variance and standard deviation. We also use Academy's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Academy Sports volatility.

60 Days Market Risk

Very steady

Chance of Distress

Below Average

60 Days Economic Sensitivity

Moves indifferently to market moves
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Academy Sports 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 Academy Sports at lower prices. For example, an investor can purchase Academy 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 Academy Sports' 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 Academy Sports

+0.85KAKZFKaspi Bank JointPairCorr
+0.64NVRNVR IncPairCorr

Moving against Academy Sports

-0.78PSGTFPT Semen IndonesiaPairCorr
-0.62AZOAutoZonePairCorr
-0.55BACBank Of America Aggressive PushPairCorr

Academy Sports Market Sensitivity And Downside Risk

Academy Sports' beta coefficient measures the volatility of Academy 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 Academy stock's returns against your selected market. In other words, Academy Sports's beta of -0.11 provides an investor with an approximation of how much risk Academy Sports stock can potentially add to one of your existing portfolios.
Academy Sports OutdoorsInc currently demonstrates below-average downside deviation. It has Information Ratio of 0.07 and Jensen Alpha of 0.37. However, we advise investors to further question Academy Sports OutdoorsInc expected returns to ensure all indicators are consistent with the current outlook about its relatively low value at risk. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Academy Sports' stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Academy Sports' 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 stocks as prices fall.
3 Months Beta |Analyze Academy Sports Outdo Demand Trend
Check current 90 days Academy Sports correlation with market (NYSE Composite)

Academy Beta

    
  -0.11  
Academy standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity 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

    
  3.58  
It is essential to understand the difference between upside risk (as represented by Academy Sports's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Academy Sports' daily returns or price. Since the actual investment returns on holding a position in academy 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 Academy Sports.

Academy Sports Outdo Stock Volatility Analysis

Volatility refers to the frequency at which Academy Sports stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Academy Sports' price changes. Investors will then calculate the volatility of Academy Sports' 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 Academy Sports' volatility:

Historical Volatility

This type of stock volatility measures Academy Sports' fluctuations based on previous trends. It's commonly used to predict Academy Sports' 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 Academy Sports' 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 Academy Sports' to be redeemed at a future date.
Transformation
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Academy Sports Projected Return Density Against Market

Considering the 90-day investment horizon Academy Sports OutdoorsInc has a beta of -0.1101 . This suggests as returns on benchmark increase, returns on holding Academy Sports are expected to decrease at a much lower rate. During the bear market, however, Academy Sports OutdoorsInc 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 Academy Sports or Specialty Retail 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 Academy Sports' 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 Academy 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 0.3696, implying that it can generate a 0.37 percent excess return over NYSE Composite after adjusting for the inherited market risk (beta).
   Predicted Return Density   
       Returns  
Academy Sports' volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how academy stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives an Academy Sports 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.

Academy Sports Stock 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 Academy Sports or Specialty Retail 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 Academy Sports' 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 Academy 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. Considering the 90-day investment horizon the coefficient of variation of Academy Sports is 687.04. The daily returns are distributed with a variance of 12.81 and standard deviation of 3.58. The mean deviation of Academy Sports OutdoorsInc is currently at 2.56. For similar time horizon, the selected benchmark (NYSE Composite) has volatility of 1.11
α
Alpha over NYSE Composite
0.37
β
Beta against NYSE Composite-0.11
σ
Overall volatility
3.58
Ir
Information ratio 0.07

Academy Sports Stock Return Volatility

Academy Sports historical daily return volatility represents how much of Academy Sports stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company has volatility of 3.5796% on return distribution over 90 days investment horizon. By contrast, NYSE Composite accepts 1.1131% volatility on return distribution over the 90 days horizon.
 Performance (%) 
       Timeline  

About Academy Sports Volatility

Volatility is a rate at which the price of Academy Sports 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 Academy Sports may increase or decrease. In other words, similar to Academy's beta indicator, it measures the risk of Academy Sports and helps estimate the fluctuations that may happen in a short period of time. So if prices of Academy Sports 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.
Academy Sports and Outdoors, Inc., through its subsidiaries, operates as a sporting goods and outdoor recreational products retailer in the United States. Academy Sports and Outdoors, Inc. was founded in 1938 and is headquartered in Katy, Texas. Academy Sports operates under Specialty Retail classification in the United States and is traded on NASDAQ Exchange. It employs 22000 people.

Academy Sports Investment Opportunity

Academy Sports OutdoorsInc has a volatility of 3.58 and is 3.23 times more volatile than NYSE Composite. 31  of all equities and portfolios are less risky than Academy Sports. Compared to the overall equity markets, volatility of historical daily returns of Academy Sports OutdoorsInc is lower than 31 () of all global equities and portfolios over the last 90 days. Use Academy Sports OutdoorsInc to enhance the returns of your portfolios. Benchmarks are essential to demonstrate the utility of optimization algorithms. The stock experiences an unexpected upward trend. Watch out for market signals. Check odds of Academy Sports to be traded at $62.2 in 90 days.

Good diversification

The correlation between Academy Sports OutdoorsInc and NYA is -0.04 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Academy Sports OutdoorsInc and NYA in the same portfolio, assuming nothing else is changed.

Academy Sports Additional Risk Indicators

The analysis of Academy Sports' 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 Academy Sports' investment and either accepting that risk or mitigating it. Along with some common measures of Academy Sports 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.
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.

Academy Sports 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 Academy Sports 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. Academy Sports' 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, Academy Sports' 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 Academy Sports OutdoorsInc.
Please continue to Trending Equities. You can also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.

Other Consideration for investing in Academy Stock

If you are still planning to invest in Academy Sports Outdo check if it may still be traded through OTC markets such as Pink Sheets or OTC Bulletin Board. You may also purchase it directly from the company, but this is not always possible and may require contacting the company directly. Please note that delisted stocks are often considered to be more risky investments, as they are no longer subject to the same regulatory and reporting requirements as listed stocks. Therefore, it is essential to carefully research the Academy Sports' history and understand the potential risks before investing.
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