Disney Stock Volatility

DIS -  USA Stock  

USD 176.02  2.33  1.31%

We consider Disney very steady. Walt Disney secures Sharpe Ratio (or Efficiency) of 0.0892, which denotes the company had 0.0892% of return per unit of risk over the last 12 months. Our standpoint towards predicting 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-one technical indicators for Walt Disney, which you can use to evaluate the future volatility of the firm. Please confirm Walt Disney Downside Deviation of 1.42, semi deviation of 1.29, and Risk Adjusted Performance of 0.0798 to check if the risk estimate we provide is consistent with the expected return of 0.18%.

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

90 Days Market Risk

Very steady

Chance of Distress

Below Average

90 Days Economic Sensitivity

Almost mirrors the market

Disney Market Sensitivity And Downside Risk

Disney's beta coefficient measures the volatility of Disney 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 Disney stock's returns against your selected market. In other words, Disney's beta of 1.09 provides an investor with an approximation of how much risk Disney stock can potentially add to one of your existing portfolios.
Let's try to break down what Disney's beta means in this case. Disney returns are very sensitive to returns on the market. As the market goes up or down, Disney is expected to follow.
12 Months Beta |Analyze Walt Disney Demand Trend
Check current 90 days Disney correlation with market (DOW)

Disney Beta

    
  1.09  
Disney 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

    
  2.04  
It is essential to understand the difference between upside risk (as represented by Disney's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Disney stock's daily returns or price. Since the actual investment returns on holding a position in Disney 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 Disney.

Walt Disney Stock Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of two hundred fifty-nine. Walt Disney 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.

Disney Projected Return Density Against Market

Considering the 90-day investment horizon the stock has the beta coefficient of 1.091 suggesting Walt Disney market returns are sensible to returns on the market. As the market goes up or down, Disney is expected to follow.
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 Disney or Communication Services 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 Disney 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 Disney 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 0.0543, implying that it can generate a 0.0543 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Disney 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 Disney or Communication Services 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 Disney 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 Disney 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 Disney is 1121.47. The daily returns are distributed with a variance of 4.16 and standard deviation of 2.04. The mean deviation of Walt Disney is currently at 1.31. For similar time horizon, the selected benchmark (DOW) has volatility of 0.89
α
Alpha over DOW
0.05
β
Beta against DOW1.09
σ
Overall volatility
2.04
Ir
Information ratio 0.0314

Disney Stock Return Volatility

Disney historical daily return volatility represents how much Disney stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The enterprise has volatility of 2.0407% on return distribution over 90 days investment horizon. By contrast, DOW inherits 0.9022% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Disney Volatility

Volatility is a rate at which the price of Disney 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 Disney may increase or decrease. In other words, similar to Disney's beta indicator, it measures the risk of Disney and helps estimate the fluctuations that may happen in a short period of time. So if prices of Disney 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 Capitalization152.1 B163.6 B
The Walt Disney Company, together with its subsidiaries, operates as an entertainment company worldwide. The company was founded in 1923 and is based in Burbank, California. Disney operates under Entertainment classification in the United States and is traded on New York Stock Exchange. It employs 170000 people.

Nearest Disney long CALL Option Payoff at Expiration

Disney's implied volatility is one of the determining factors in the pricing options written on Walt Disney. Implied volatility approximates the future value of Disneyusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Walt Disney over a specific time period.
View All Disney options
DIS210730C00095000 is a CALL option contract on Disney's common stock with a strick price of 95.0 expiring on 2021-07-30. The contract was last traded on 2021-07-22 at 10:54:40 for $79.5 and, as of today, has 0 days remaining before the expiration. The option is currently trading at a bid price of $83.1, and an ask price of $83.95. The implied volatility as of the 30th of July is 544.3703.
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      Disney Price At Expiration 

Disney Investment Opportunity

Walt Disney has a volatility of 2.04 and is 2.27 times more volatile than DOW. 17  of all equities and portfolios are less risky than Disney. Compared to the overall equity markets, volatility of historical daily returns of Walt Disney is lower than 17 () of all global equities and portfolios over the last 90 days. Use Walt Disney to protect your portfolios against small market fluctuations. The stock experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Disney to be traded at $170.74 in 90 days. . Let's try to break down what Disney's beta means in this case. Disney returns are very sensitive to returns on the market. As the market goes up or down, Disney is expected to follow.

Very weak diversification

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

Disney Additional Risk Indicators

The analysis of Disney'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 Disney's investment and either accepting that risk or mitigating it. Along with some common measures of Disney 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 Performance0.0798
Market Risk Adjusted Performance0.1532
Mean Deviation1.28
Semi Deviation1.29
Downside Deviation1.42
Coefficient Of Variation1201.58
Standard Deviation2.0
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.

Disney 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 Disney 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. Disney'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, Disney'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 Walt Disney.
Continue to Investing Opportunities. Note that the Walt Disney information on this page should be used as a complementary analysis to other Disney'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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.

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