Integrated Stock Volatility

IMTE -  USA Stock  

USD 5.00  0.01  0.20%

Integrated Media appears to be moderately volatile, given 3 months investment horizon. Integrated Media Tec holds Efficiency (Sharpe) Ratio of 0.14, which attests that the entity had 0.14% of return per unit of risk over the last 3 months. Our standpoint towards 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 Integrated Media Tec, which you can use to evaluate the future volatility of the firm. Please utilize Integrated Media's Downside Deviation of 4.22, risk adjusted performance of 0.1013, and Market Risk Adjusted Performance of 1.12 to validate if our risk estimates are consistent with your expectations.

Integrated Volatility 

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

720 Days Market Risk

Moderately volatile

Chance of Distress

720 Days Economic Sensitivity

Slowly supersedes the market

Integrated Media Market Sensitivity And Downside Risk

Integrated Media's beta coefficient measures the volatility of Integrated 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 Integrated stock's returns against your selected market. In other words, Integrated Media's beta of 0.35 provides an investor with an approximation of how much risk Integrated Media stock can potentially add to one of your existing portfolios.
Let's try to break down what Integrated's beta means in this case. As returns on the market increase, Integrated Media returns are expected to increase less than the market. However, during the bear market, the loss on holding Integrated Media will be expected to be smaller as well.
3 Months Beta |Analyze Integrated Media Tec Demand Trend
Check current 90 days Integrated Media correlation with market (DOW)

Integrated Beta

    
  0.35  
Integrated 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

    
  3.25  
It is essential to understand the difference between upside risk (as represented by Integrated Media's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Integrated Media stock's daily returns or price. Since the actual investment returns on holding a position in Integrated Media 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 Integrated Media.

Integrated Media Tec Stock Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. The Median Price line plots median indexes of Integrated Media Tec price series. View also all equity analysis or get more info about median price price transform indicator.

Integrated Media Projected Return Density Against Market

Given the investment horizon of 90 days Integrated Media has a beta of 0.3504 . This usually indicates as returns on the market go up, Integrated Media average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Integrated Media Technology 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 Integrated Media 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 Integrated Media 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 Integrated 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 0.3874, implying that it can generate a 0.39 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Integrated Media 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 Integrated Media 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 Integrated Media 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 Integrated 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.
Given the investment horizon of 90 days the coefficient of variation of Integrated Media is 709.82. The daily returns are distributed with a variance of 10.57 and standard deviation of 3.25. The mean deviation of Integrated Media Technology is currently at 2.33. For similar time horizon, the selected benchmark (DOW) has volatility of 0.79
α
Alpha over DOW
0.39
β
Beta against DOW0.35
σ
Overall volatility
3.25
Ir
Information ratio 0.11

Integrated Media Stock Return Volatility

Integrated Media historical daily return volatility represents how much Integrated Media stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The firm inherits 3.2517% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.7351% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Integrated Media Volatility

Volatility is a rate at which the price of Integrated Media 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 Integrated Media may increase or decrease. In other words, similar to Integrated's beta indicator, it measures the risk of Integrated Media and helps estimate the fluctuations that may happen in a short period of time. So if prices of Integrated Media 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 Capitalization14.3 M18.7 M
Integrated Media Technology Limited develops, sells, and distributes 3D autostereoscopic display technology products and services in Hong Kong, China, Korea, Singapore, and Australia. Integrated Media Technology Limited was incorporated in 2008 and is headquartered in Wan Chai, Hong Kong. Integrated Media operates under Electronic Gaming Multimedia classification in the United States and is traded on NASDAQ Exchange. It employs 15 people.

Integrated Media Investment Opportunity

Integrated Media Technology has a volatility of 3.25 and is 4.39 times more volatile than DOW. 27  of all equities and portfolios are less risky than Integrated Media. Compared to the overall equity markets, volatility of historical daily returns of Integrated Media Technology is lower than 27 () of all global equities and portfolios over the last 90 days. Use Integrated Media Technology to enhance returns of your portfolios. The stock experiences a normal upward fluctuation. Check odds of Integrated Media to be traded at $5.25 in 90 days. . Let's try to break down what Integrated's beta means in this case. As returns on the market increase, Integrated Media returns are expected to increase less than the market. However, during the bear market, the loss on holding Integrated Media will be expected to be smaller as well.

Significant diversification

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

Integrated Media Additional Risk Indicators

The analysis of Integrated Media'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 Integrated Media's investment and either accepting that risk or mitigating it. Along with some common measures of Integrated Media 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 Performance0.1013
Market Risk Adjusted Performance1.12
Mean Deviation2.43
Semi Deviation3.92
Downside Deviation4.22
Coefficient Of Variation842.59
Standard Deviation3.37
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.

Integrated Media 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 Integrated Media 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. Integrated Media'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, Integrated Media'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 Integrated Media Technology.
Please see Risk vs Return Analysis. Note that the Integrated Media Tec information on this page should be used as a complementary analysis to other Integrated Media'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.

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