BASF SE (Germany) Volatility

BAS -  Germany Stock  

EUR 66.22  0.54  0.81%

BASF SE NA secures Sharpe Ratio (or Efficiency) of -0.0107, which signifies that the company had -0.0107% of return per unit of risk over the last 3 months. Macroaxis approach 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. BASF SE NA exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm BASF SE NA coefficient of variation of (1,991), and Mean Deviation of 1.04 to double-check the risk estimate we provide.

Search Volatility 

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

30 Days Market Risk

Very steady

Chance of Distress

Below Average

30 Days Economic Sensitivity

Barely shadows the market

BASF SE Market Sensitivity And Downside Risk

BASF SE's beta coefficient measures the volatility of BASF SE 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 BASF SE stock's returns against your selected market. In other words, BASF SE's beta of 0.64 provides an investor with an approximation of how much risk BASF SE stock can potentially add to one of your existing portfolios.
Let's try to break down what BASF SE's beta means in this case. As returns on the market increase, BASF SE returns are expected to increase less than the market. However, during the bear market, the loss on holding BASF SE will be expected to be smaller as well.
3 Months Beta |Analyze BASF SE NA Demand Trend
Check current 90 days BASF SE correlation with market (DOW)

BASF SE Beta

    
  0.64  
BASF SE 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

    
  1.23  
It is essential to understand the difference between upside risk (as represented by BASF SE's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of BASF SE stock's daily returns or price. Since the actual investment returns on holding a position in BASF SE 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 BASF SE.

BASF SE NA Stock Volatility Analysis

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

BASF SE Projected Return Density Against Market

Assuming the 90 days trading horizon BASF SE has a beta of 0.6365 suggesting as returns on the market go up, BASF SE average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding BASF SE NA will be expected to be much smaller as well.
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 BASF SE or Basic Materials 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 BASF SE 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 BASF SE 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. BASF SE NA is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

BASF SE 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 BASF SE or Basic Materials 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 BASF SE 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 BASF SE 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 90 days trading horizon the coefficient of variation of BASF SE is -9346.21. The daily returns are distributed with a variance of 1.52 and standard deviation of 1.23. The mean deviation of BASF SE NA is currently at 0.86. For similar time horizon, the selected benchmark (DOW) has volatility of 0.74
α
Alpha over DOW
-0.12
β
Beta against DOW0.64
σ
Overall volatility
1.23
Ir
Information ratio -0.08

BASF SE Stock Return Volatility

BASF SE historical daily return volatility represents how much BASF SE stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The firm assumes 1.2331% volatility of returns over the 90 days investment horizon. By contrast, DOW inherits 0.7344% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About BASF SE Volatility

Volatility is a rate at which the price of BASF SE 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 BASF SE may increase or decrease. In other words, similar to BASF SE's beta indicator, it measures the risk of BASF SE and helps estimate the fluctuations that may happen in a short period of time. So if prices of BASF SE 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.
It operates through six segments Chemicals, Materials, Industrial Solutions, Surface Technologies, Nutrition Care, and Agricultural Solutions. BASF SE was founded in 1865 and is headquartered in Ludwigshafen am Rhein, Germany. BASF SE operates under Chemicals classification in Germany and is traded on XETRA Stock Exchange. It employs 110261 people.

BASF SE Investment Opportunity

BASF SE NA has a volatility of 1.23 and is 1.68 times more volatile than DOW. 10  of all equities and portfolios are less risky than BASF SE. Compared to the overall equity markets, volatility of historical daily returns of BASF SE NA is lower than 10 () of all global equities and portfolios over the last 90 days. Use BASF SE NA 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 BASF SE to be traded at €64.9 in 90 days. . Let's try to break down what BASF SE's beta means in this case. As returns on the market increase, BASF SE returns are expected to increase less than the market. However, during the bear market, the loss on holding BASF SE will be expected to be smaller as well.

Modest diversification

The correlation between BASF SE NA O N and DJI is Modest diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding BASF SE NA O N and DJI in the same portfolio assuming nothing else is changed.

BASF SE Additional Risk Indicators

The analysis of BASF SE'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 BASF SE's investment and either accepting that risk or mitigating it. Along with some common measures of BASF SE 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(0.031565)
Market Risk Adjusted Performance(0.13)
Mean Deviation1.04
Coefficient Of Variation(1,991)
Standard Deviation1.6
Variance2.56
Information Ratio(0.08)
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.

BASF SE 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.
Moderna vs. BASF SE
Professional Holding vs. BASF SE
Northeast Bank vs. BASF SE
Icici Bank vs. BASF SE
Red Violet vs. BASF SE
Intuit vs. BASF SE
Ternium SA vs. BASF SE
Arcelormittal ADR vs. BASF SE
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 BASF SE 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. BASF SE'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, BASF SE'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 BASF SE NA.
Continue to Trending Equities. Note that the BASF SE NA information on this page should be used as a complementary analysis to other BASF SE'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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.

Other Tools for BASF SE Stock

When running BASF SE NA price analysis, check to measure BASF SE'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 BASF SE is operating at the current time. Most of BASF SE's value examination focuses on studying past and present price action to predict the probability of BASF SE's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move BASF SE's price. Additionally, you may evaluate how the addition of BASF SE to your portfolios can decrease your overall portfolio volatility.
Price Transformation
Use Price Transformation models to analyze depth of different equity instruments across global markets
Go
Performance Analysis
Check effects of mean-variance optimization against your current asset allocation
Go
Money Flow Index
Determine momentum by analyzing Money Flow Index and other technical indicators
Go
Portfolio Manager
State of the art Portfolio Manager to monitor and improve performance of your invested capital
Go
Theme Ratings
Determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance
Go