INFOMEDIA FPO (Australia) Volatility

IFM -  Australia Stock  

AUD 1.67  0.01  0.60%

INFOMEDIA FPO appears to be unstable, given 3 months investment horizon. INFOMEDIA FPO holds Efficiency (Sharpe) Ratio of 0.0957, which attests that the entity had 0.0957% of return per unit of return volatility over the last 3 months. Our approach to determining 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 INFOMEDIA FPO, which you can use to evaluate the future volatility of the firm. Please utilize INFOMEDIA FPO's Market Risk Adjusted Performance of 1.38, risk adjusted performance of 0.0913, and Semi Deviation of 1.93 to validate if our risk estimates are consistent with your expectations.

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

30 Days Market Risk

Unstable

Chance of Distress

Very Small

30 Days Economic Sensitivity

Slowly supersedes the market

INFOMEDIA FPO Market Sensitivity And Downside Risk

INFOMEDIA FPO's beta coefficient measures the volatility of INFOMEDIA 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 INFOMEDIA stock's returns against your selected market. In other words, INFOMEDIA FPO's beta of 0.23 provides an investor with an approximation of how much risk INFOMEDIA FPO stock can potentially add to one of your existing portfolios.
Let's try to break down what INFOMEDIA's beta means in this case. As returns on the market increase, INFOMEDIA FPO returns are expected to increase less than the market. However, during the bear market, the loss on holding INFOMEDIA FPO will be expected to be smaller as well.
3 Months Beta |Analyze INFOMEDIA FPO Demand Trend
Check current 90 days INFOMEDIA FPO correlation with market (DOW)

INFOMEDIA Beta

    
  0.23  
INFOMEDIA 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

    
  2.17  
It is essential to understand the difference between upside risk (as represented by INFOMEDIA FPO's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of INFOMEDIA FPO stock's daily returns or price. Since the actual investment returns on holding a position in INFOMEDIA FPO 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 INFOMEDIA FPO.

INFOMEDIA FPO Stock Volatility Analysis

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

INFOMEDIA FPO Projected Return Density Against Market

Assuming the 90 days trading horizon INFOMEDIA FPO has a beta of 0.2287 . This usually indicates as returns on the market go up, INFOMEDIA FPO average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding INFOMEDIA FPO 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 INFOMEDIA FPO or Technology 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 INFOMEDIA FPO 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 INFOMEDIA 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 0.3101, implying that it can generate a 0.31 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

INFOMEDIA FPO 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 INFOMEDIA FPO or Technology 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 INFOMEDIA FPO 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 INFOMEDIA 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 INFOMEDIA FPO is 1045.24. The daily returns are distributed with a variance of 4.7 and standard deviation of 2.17. The mean deviation of INFOMEDIA FPO is currently at 1.71. For similar time horizon, the selected benchmark (DOW) has volatility of 0.69
α
Alpha over DOW
0.31
β
Beta against DOW0.23
σ
Overall volatility
2.17
Ir
Information ratio 0.11

INFOMEDIA FPO Stock Return Volatility

INFOMEDIA FPO historical daily return volatility represents how much INFOMEDIA FPO 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 2.1683% 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 INFOMEDIA FPO Volatility

Volatility is a rate at which the price of INFOMEDIA FPO 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 INFOMEDIA FPO may increase or decrease. In other words, similar to INFOMEDIA's beta indicator, it measures the risk of INFOMEDIA FPO and helps estimate the fluctuations that may happen in a short period of time. So if prices of INFOMEDIA FPO 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.
Infomedia Ltd, a technology company, develops and supplies electronic parts catalogues and service quoting software systems for the parts and service sectors of the automotive industry worldwide. The company was founded in 1987 and is headquartered in Sydney, Australia. INFOMEDIA FPO operates under SoftwareApplication classification in Australia and is traded on Australian Securities Exchange. It employs 300 people.

INFOMEDIA FPO Investment Opportunity

INFOMEDIA FPO has a volatility of 2.17 and is 3.44 times more volatile than DOW. 18  of all equities and portfolios are less risky than INFOMEDIA FPO. Compared to the overall equity markets, volatility of historical daily returns of INFOMEDIA FPO is lower than 18 () of all global equities and portfolios over the last 90 days. Use INFOMEDIA FPO 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 INFOMEDIA FPO to be traded at A$1.6366 in 90 days. . Let's try to break down what INFOMEDIA's beta means in this case. As returns on the market increase, INFOMEDIA FPO returns are expected to increase less than the market. However, during the bear market, the loss on holding INFOMEDIA FPO will be expected to be smaller as well.

Significant diversification

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

INFOMEDIA FPO Additional Risk Indicators

The analysis of INFOMEDIA FPO'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 INFOMEDIA FPO's investment and either accepting that risk or mitigating it. Along with some common measures of INFOMEDIA FPO 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 Performance0.0913
Market Risk Adjusted Performance1.38
Mean Deviation1.89
Semi Deviation1.93
Downside Deviation2.4
Coefficient Of Variation822.92
Standard Deviation2.67
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.

INFOMEDIA FPO 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 INFOMEDIA FPO 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. INFOMEDIA FPO'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, INFOMEDIA FPO'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 INFOMEDIA FPO.
Please see Risk vs Return Analysis. Note that the INFOMEDIA FPO information on this page should be used as a complementary analysis to other INFOMEDIA FPO'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 CEO Directory module to screen CEOs from public companies around the world.

Complementary Tools for INFOMEDIA Stock analysis

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