New Oriental Stock Volatility

EDU -  USA Stock  

USD 2.06  0.87  29.69%

New Oriental Education has Sharpe Ratio of -0.25, which conveys that the firm had -0.25% of return per unit of risk over the last 3 months. Macroaxis standpoint towards estimating 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. New Oriental exposes twenty-seven different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify New Oriental Education risk adjusted performance of (0.16), and Mean Deviation of 5.08 to check out the risk estimate we provide.

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

90 Days Market Risk

Risky

Chance of Distress

90 Days Economic Sensitivity

Hyperactively responds to market trends

New Oriental Market Sensitivity And Downside Risk

New Oriental's beta coefficient measures the volatility of New Oriental 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 New Oriental stock's returns against your selected market. In other words, New Oriental's beta of 0.74 provides an investor with an approximation of how much risk New Oriental stock can potentially add to one of your existing portfolios.
Let's try to break down what New Oriental's beta means in this case. As returns on the market increase, New Oriental returns are expected to increase less than the market. However, during the bear market, the loss on holding New Oriental will be expected to be smaller as well.
3 Months Beta |Analyze New Oriental Education Demand Trend
Check current 90 days New Oriental correlation with market (DOW)

New Oriental Beta

    
  0.74  
New Oriental 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

    
  9.14  
It is essential to understand the difference between upside risk (as represented by New Oriental's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of New Oriental stock's daily returns or price. Since the actual investment returns on holding a position in New Oriental 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 New Oriental.

New Oriental Education Stock Volatility Analysis

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

New Oriental Projected Return Density Against Market

Considering the 90-day investment horizon New Oriental has a beta of 0.7449 suggesting as returns on the market go up, New Oriental average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding New Oriental Education 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 New Oriental or Consumer Defensive 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 New Oriental 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 New Oriental 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. New Oriental Education is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

New Oriental 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 New Oriental or Consumer Defensive 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 New Oriental 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 New Oriental 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 New Oriental is -400.93. The daily returns are distributed with a variance of 83.56 and standard deviation of 9.14. The mean deviation of New Oriental Education is currently at 5.38. For similar time horizon, the selected benchmark (DOW) has volatility of 0.75
α
Alpha over DOW
-2.09
β
Beta against DOW0.74
σ
Overall volatility
9.14
Ir
Information ratio -0.24

New Oriental Stock Return Volatility

New Oriental historical daily return volatility represents how much New Oriental stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The firm has volatility of 9.141% on return distribution over 90 days investment horizon. By contrast, DOW inherits 0.7437% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About New Oriental Volatility

Volatility is a rate at which the price of New Oriental 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 New Oriental may increase or decrease. In other words, similar to New Oriental's beta indicator, it measures the risk of New Oriental and helps estimate the fluctuations that may happen in a short period of time. So if prices of New Oriental 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 Capitalization21.8 B23.5 B
New Oriental Education Technology Group Inc. provides private educational services under the New Oriental brand in the Peoples Republic of China. The company was founded in 1993 and is headquartered in Beijing, the Peoples Republic of China. New Oriental operates under Education Training Services classification in the United States and is traded on New York Stock Exchange. It employs 69438 people.

Nearest New Oriental long CALL Option Payoff at Expiration

New Oriental's implied volatility is one of the determining factors in the pricing options written on New Oriental Education. Implied volatility approximates the future value of New Orientalusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in New Oriental Education over a specific time period.
View All New Oriental options
EDU210820C00002500 is a CALL option contract on New Oriental's common stock with a strick price of 2.5 expiring on 2021-08-20. The contract was last traded on 2021-07-23 at 15:59:58 for $0.8 and, as of today, has 25 days remaining before the expiration. The option is currently trading at a bid price of $0.8, and an ask price of $0.9. The implied volatility as of the 26th of July is 188.7924.
 Profit 
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      New Oriental Price At Expiration 

New Oriental Investment Opportunity

New Oriental Education has a volatility of 9.14 and is 12.35 times more volatile than DOW. 78  of all equities and portfolios are less risky than New Oriental. Compared to the overall equity markets, volatility of historical daily returns of New Oriental Education is higher than 78 () of all global equities and portfolios over the last 90 days. Use New Oriental Education to protect your portfolios against small market fluctuations. The stock experiences a very speculative upward sentiment. Check odds of New Oriental to be traded at $1.957 in 90 days. . Let's try to break down what New Oriental's beta means in this case. As returns on the market increase, New Oriental returns are expected to increase less than the market. However, during the bear market, the loss on holding New Oriental will be expected to be smaller as well.

Significant diversification

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

New Oriental Additional Risk Indicators

The analysis of New Oriental'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 New Oriental's investment and either accepting that risk or mitigating it. Along with some common measures of New Oriental 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(0.16)
Market Risk Adjusted Performance(2.77)
Mean Deviation5.08
Coefficient Of Variation(431.68)
Standard Deviation8.89
Variance79.05
Information Ratio(0.24)
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.

New Oriental 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 New Oriental 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. New Oriental'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, New Oriental'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 New Oriental Education.
Continue to Investing Opportunities. Note that the New Oriental Education information on this page should be used as a complementary analysis to other New Oriental'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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.

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