Cromwell Property (Australia) Volatility

CMW -  Australia Stock  

AUD 0.86  0.02  2.27%

Cromwell Property secures Sharpe Ratio (or Efficiency) of -0.0388, which signifies that the company had -0.0388% 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. Cromwell Property Group exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Cromwell Property mean deviation of 0.879, and Risk Adjusted Performance of (0.025859) to double-check the risk estimate we provide.

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

720 Days Market Risk

Very risky

Chance of Distress

Below Average

720 Days Economic Sensitivity

Moves indifferently to market moves

Cromwell Property Market Sensitivity And Downside Risk

Cromwell Property's beta coefficient measures the volatility of Cromwell 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 Cromwell stock's returns against your selected market. In other words, Cromwell Property's beta of -0.0977 provides an investor with an approximation of how much risk Cromwell Property stock can potentially add to one of your existing portfolios.
Let's try to break down what Cromwell's beta means in this case. As returns on the market increase, returns on owning Cromwell Property are expected to decrease at a much lower rate. During the bear market, Cromwell Property is likely to outperform the market.
3 Months Beta |Analyze Cromwell Property Demand Trend
Check current 90 days Cromwell Property correlation with market (DOW)

Cromwell Beta

    
  -0.0977  
Cromwell 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

    
  1.46  
It is essential to understand the difference between upside risk (as represented by Cromwell Property's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Cromwell Property stock's daily returns or price. Since the actual investment returns on holding a position in Cromwell Property 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 Cromwell Property.

Cromwell Property Stock Volatility Analysis

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

Cromwell Property Projected Return Density Against Market

Assuming the 90 days trading horizon Cromwell Property Group has a beta of -0.0977 suggesting as returns on benchmark increase, returns on holding Cromwell Property are expected to decrease at a much lower rate. During the bear market, however, Cromwell Property Group 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 Cromwell Property or Real Estate 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 Cromwell Property 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 Cromwell 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. Cromwell Property is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

Cromwell Property 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 Cromwell Property or Real Estate 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 Cromwell Property 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 Cromwell 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 Cromwell Property is -2578.51. The daily returns are distributed with a variance of 2.14 and standard deviation of 1.46. The mean deviation of Cromwell Property Group is currently at 0.98. For similar time horizon, the selected benchmark (DOW) has volatility of 0.69
α
Alpha over DOW
-0.07
β
Beta against DOW-0.1
σ
Overall volatility
1.46
Ir
Information ratio -0.06

Cromwell Property Stock Return Volatility

Cromwell Property historical daily return volatility represents how much Cromwell Property stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The company assumes 1.4623% volatility of returns over the 90 days investment horizon. By contrast, DOW inherits 0.6347% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Cromwell Property Volatility

Volatility is a rate at which the price of Cromwell Property 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 Cromwell Property may increase or decrease. In other words, similar to Cromwell's beta indicator, it measures the risk of Cromwell Property and helps estimate the fluctuations that may happen in a short period of time. So if prices of Cromwell Property 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.
Cromwell Property Group is a diversified real estate investor and manager with operations on three continents and a global investor base. As at 30 June 2020, Cromwell had a market capitalisation of 2.4 billion, a direct property investment portfolio valued at 3.0 billion and total assets under management of 11.5 billion across Australia, New Zealand and Europe. Cromwell Property operates under REITOffice classification in Australia and is traded on Australian Securities Exchange.

Cromwell Property Investment Opportunity

Cromwell Property Group has a volatility of 1.46 and is 2.32 times more volatile than DOW. 12  of all equities and portfolios are less risky than Cromwell Property. Compared to the overall equity markets, volatility of historical daily returns of Cromwell Property Group is lower than 12 () of all global equities and portfolios over the last 90 days. Use Cromwell Property Group to protect your portfolios against small market fluctuations. The stock experiences an unexpected downward movement. The market is reacting to new fundamentals. Check odds of Cromwell Property to be traded at A$0.8256 in 90 days. . Let's try to break down what Cromwell's beta means in this case. As returns on the market increase, returns on owning Cromwell Property are expected to decrease at a much lower rate. During the bear market, Cromwell Property is likely to outperform the market.

Good diversification

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

Cromwell Property Additional Risk Indicators

The analysis of Cromwell Property'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 Cromwell Property's investment and either accepting that risk or mitigating it. Along with some common measures of Cromwell Property 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(0.025859)
Market Risk Adjusted Performance0.7256
Mean Deviation0.879
Coefficient Of Variation(2,248)
Standard Deviation1.35
Variance1.81
Information Ratio(0.06)
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.

Cromwell Property 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 Cromwell Property 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. Cromwell Property'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, Cromwell Property'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 Cromwell Property Group.
Continue to Trending Equities. Note that the Cromwell Property information on this page should be used as a complementary analysis to other Cromwell Property'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 Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.

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When running Cromwell Property price analysis, check to measure Cromwell Property'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 Cromwell Property is operating at the current time. Most of Cromwell Property's value examination focuses on studying past and present price action to predict the probability of Cromwell Property's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Cromwell Property's price. Additionally, you may evaluate how the addition of Cromwell Property to your portfolios can decrease your overall portfolio volatility.
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Please note, there is a significant difference between Cromwell Property's value and its price as these two are different measures arrived at by different means. Investors typically determine Cromwell Property value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Cromwell Property'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.