Atkore Stock Volatility

ATKR -  USA Stock  

USD 71.25  0.66  0.92%

Atkore appears to be very steady, given 13 months investment horizon. Atkore Inc 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 13 months. Our standpoint towards foreseeing 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-eight technical indicators for Atkore Inc, which you can use to evaluate the future volatility of the firm. Please makes use of Atkore's Risk Adjusted Performance of 0.1222, mean deviation of 2.32, and Downside Deviation of 2.66 to double-check if our risk estimates are consistent with your expectations.

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

690 Days Market Risk

Very steady

Chance of Distress

Below Average

690 Days Economic Sensitivity

Hyperactively responds to market trends

Atkore Market Sensitivity And Downside Risk

Atkore's beta coefficient measures the volatility of Atkore 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 Atkore stock's returns against your selected market. In other words, Atkore's beta of 1.89 provides an investor with an approximation of how much risk Atkore stock can potentially add to one of your existing portfolios.
Let's try to break down what Atkore'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, Atkore will likely underperform.
13 Months Beta |Analyze Atkore Inc Demand Trend
Check current 90 days Atkore correlation with market (DOW)

Atkore Beta

    
  1.89  
Atkore 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

    
  3.0  
It is essential to understand the difference between upside risk (as represented by Atkore's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Atkore stock's daily returns or price. Since the actual investment returns on holding a position in Atkore 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 Atkore.

Atkore Inc Stock Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of two hundred eighty-one. Atkore Inc 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.

Atkore Projected Return Density Against Market

Given the investment horizon of 90 days the stock has the beta coefficient of 1.8892 . 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, Atkore 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 Atkore 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 Atkore 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 Atkore 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 0.1816, implying that it can generate a 0.18 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Atkore 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 Atkore 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 Atkore 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 Atkore 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 Atkore is 0.0. The daily returns are distributed with a variance of 0.0 and standard deviation of 0.0. The mean deviation of Atkore Inc is currently at 0.0. For similar time horizon, the selected benchmark (DOW) has volatility of 1.04
α
Alpha over DOW
0.18
β
Beta against DOW1.89
σ
Overall volatility
3.00
Ir
Information ratio 0.08

Atkore Stock Return Volatility

Atkore historical daily return volatility represents how much Atkore stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The enterprise inherits 2.9992% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.9067% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Atkore Volatility

Volatility is a rate at which the price of Atkore 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 Atkore may increase or decrease. In other words, similar to Atkore's beta indicator, it measures the risk of Atkore and helps estimate the fluctuations that may happen in a short period of time. So if prices of Atkore 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 Capitalization966.8 MB
Atkore Inc. manufactures and distributes electrical raceway products, and mechanical products and solutions in the United States and internationally. Atkore Inc. was founded in 1959 and is headquartered in Harvey, Illinois. Atkore operates under Electrical Equipment Parts classification in the United States and is traded on New York Stock Exchange. It employs 3256 people.

Nearest Atkore long CALL Option Payoff at Expiration

Atkore's implied volatility is one of the determining factors in the pricing options written on Atkore Inc. Implied volatility approximates the future value of Atkoreusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Atkore Inc over a specific time period.
View All Atkore options
ATKR210820C00040000 is a CALL option contract on Atkore's common stock with a strick price of 40.0 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 $30.1, and an ask price of $32.9. The implied volatility as of the 28th of July is 125.5907.
 Profit 
Share
      Atkore Price At Expiration 

Atkore Investment Opportunity

Atkore Inc has a volatility of 3.0 and is 3.3 times more volatile than DOW. 25  of all equities and portfolios are less risky than Atkore. Compared to the overall equity markets, volatility of historical daily returns of Atkore Inc is lower than 25 () of all global equities and portfolios over the last 90 days. Use Atkore Inc 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 Atkore to be traded at $69.83 in 90 days. . Let's try to break down what Atkore'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, Atkore will likely underperform.

Poor diversification

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

Atkore Additional Risk Indicators

The analysis of Atkore'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 Atkore's investment and either accepting that risk or mitigating it. Along with some common measures of Atkore 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 Performance0.1222
Market Risk Adjusted Performance0.1894
Mean Deviation2.32
Semi Deviation2.4
Downside Deviation2.66
Coefficient Of Variation897.32
Standard Deviation3.13
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.

Atkore 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 Atkore 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. Atkore'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, Atkore'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 Atkore Inc.
Please continue to Trending Equities. Note that the Atkore Inc information on this page should be used as a complementary analysis to other Atkore'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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.

Complementary Tools for Atkore Stock analysis

When running Atkore Inc price analysis, check to measure Atkore's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Atkore is operating at the current time. Most of Atkore's value examination focuses on studying past and present price action to predict the probability of Atkore's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Atkore's price. Additionally, you may evaluate how the addition of Atkore to your portfolios can decrease your overall portfolio volatility.
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The market value of Atkore Inc is measured differently than its book value, which is the value of Atkore that is recorded on the company's balance sheet. Investors also form their own opinion of Atkore's value that differs from its market value or its book value, called intrinsic value, which is Atkore's 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 Atkore's market value can be influenced by many factors that don't directly affect Atkore Inc 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 Atkore's value and its price as these two are different measures arrived at by different means. Investors typically determine Atkore value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Atkore'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.