Astec Stock Volatility

ASTE -  USA Stock  

USD 59.40  0.58  0.97%

Astec Inds secures Sharpe Ratio (or Efficiency) of -0.14, which signifies that the company had -0.14% of return per unit of risk over the last 3 months. Macroaxis standpoint towards foreseeing the risk of any stock is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. Astec Inds exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Astec Inds risk adjusted performance of (0.09), and Mean Deviation of 1.94 to double-check the risk estimate we provide.

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

90 Days Market Risk

Very steady

Chance of Distress

Average

90 Days Economic Sensitivity

Actively responds to the market

Astec Inds Market Sensitivity And Downside Risk

Astec Inds' beta coefficient measures the volatility of Astec 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 Astec stock's returns against your selected market. In other words, Astec Inds's beta of 1.61 provides an investor with an approximation of how much risk Astec Inds stock can potentially add to one of your existing portfolios.
Let's try to break down what Astec's beta means in this case. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Astec Inds will likely underperform.
3 Months Beta |Analyze Astec Inds Demand Trend
Check current 90 days Astec Inds correlation with market (DOW)

Astec Beta

    
  1.61  
Astec 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

    
  2.77  
It is essential to understand the difference between upside risk (as represented by Astec Inds's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Astec Inds stock's daily returns or price. Since the actual investment returns on holding a position in Astec Inds 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 Astec Inds.

Astec Inds Stock Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Astec Inds 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.

Astec Inds Projected Return Density Against Market

Given the investment horizon of 90 days the stock has the beta coefficient of 1.6058 . This suggests as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Astec Inds 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 Astec Inds or Industrials 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 Astec Inds 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 Astec 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 a negative alpha, implying that the risk taken by holding this instrument is not justified. Astec Inds is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

Astec Inds 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 Astec Inds or Industrials 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 Astec Inds 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 Astec 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.
Given the investment horizon of 90 days the coefficient of variation of Astec Inds is -708.77. The daily returns are distributed with a variance of 7.67 and standard deviation of 2.77. The mean deviation of Astec Inds is currently at 1.98. For similar time horizon, the selected benchmark (DOW) has volatility of 0.73
α
Alpha over DOW
-0.45
β
Beta against DOW1.61
σ
Overall volatility
2.77
Ir
Information ratio -0.16

Astec Inds Stock Return Volatility

Astec Inds historical daily return volatility represents how much Astec Inds stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The firm inherits 2.7691% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.7475% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Astec Inds Volatility

Volatility is a rate at which the price of Astec Inds 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 Astec Inds may increase or decrease. In other words, similar to Astec's beta indicator, it measures the risk of Astec Inds and helps estimate the fluctuations that may happen in a short period of time. So if prices of Astec Inds 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.
Last ReportedProjected for 2021
Market Capitalization1.3 B1.3 B
Astec Industries, Inc. designs, engineers, manufactures, and markets equipment and components used primarily in road building and related construction activities in the United States and internationally. Astec Industries, Inc. was founded in 1972 and is based in Chattanooga, Tennessee. Astec Inds operates under Farm Heavy Construction Machinery classification in the United States and is traded on NASDAQ Exchange. It employs 3537 people.

Nearest Astec long CALL Option Payoff at Expiration

Astec Inds' implied volatility is one of the determining factors in the pricing options written on Astec Inds. Implied volatility approximates the future value of Astec Indsusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Astec Inds over a specific time period.
View All Astec options
ASTE210820C00030000 is a CALL option contract on Astec Inds' common stock with a strick price of 30.0 expiring on 2021-08-20. The contract was not traded in recent days and, as of today, has 24 days remaining before the expiration. The option is currently trading at a bid price of $27.0, and an ask price of $31.9. The implied volatility as of the 27th of July is 121.2112.
 Profit 
Share
      Astec Inds Price At Expiration 

Astec Inds Investment Opportunity

Astec Inds has a volatility of 2.77 and is 3.69 times more volatile than DOW. 23  of all equities and portfolios are less risky than Astec Inds. Compared to the overall equity markets, volatility of historical daily returns of Astec Inds is lower than 23 () of all global equities and portfolios over the last 90 days. Use Astec Inds to protect your portfolios against small market fluctuations. The stock experiences a moderate downward daily trend and can be a good diversifier. Check odds of Astec Inds to be traded at $58.21 in 90 days. . Let's try to break down what Astec's beta means in this case. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Astec Inds will likely underperform.

Very weak diversification

The correlation between Astec Inds and DJI is Very weak diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Astec Inds and DJI in the same portfolio assuming nothing else is changed.

Astec Inds Additional Risk Indicators

The analysis of Astec Inds' 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 Astec Inds' investment and either accepting that risk or mitigating it. Along with some common measures of Astec Inds 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 the risk of your existing portfolios.
Risk Adjusted Performance(0.09)
Market Risk Adjusted Performance(0.23)
Mean Deviation1.94
Coefficient Of Variation(723.36)
Standard Deviation2.72
Variance7.38
Information Ratio(0.16)
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 similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Astec Inds 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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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 Astec Inds 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. Astec Inds' 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, Astec Inds' 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 Astec Inds.
Please continue to Trending Equities. Note that the Astec Inds information on this page should be used as a complementary analysis to other Astec Inds' 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.

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The market value of Astec Inds is measured differently than its book value, which is the value of Astec that is recorded on the company's balance sheet. Investors also form their own opinion of Astec Inds' value that differs from its market value or its book value, called intrinsic value, which is Astec Inds' 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 Astec Inds' market value can be influenced by many factors that don't directly affect Astec Inds underlying business (such as pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Astec Inds' value and its price as these two are different measures arrived at by different means. Investors typically determine Astec Inds value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Astec Inds' 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.