Immunocellular OTC Stock Volatility

IMUC -  USA Stock  

USD 0.63  0.08  14.55%

Immunocellular Therapeutics is out of control given 3 months investment horizon. Immunocellular Therapeutics holds Efficiency (Sharpe) Ratio of 0.0817, which attests that the entity had 0.0817% of return per unit of risk over the last 3 months. Our standpoint towards determining the risk of a stock is to use both market data as well as company specific technical data. We are able to break down and analyze data for twenty-eight different technical indicators, which can help you to evaluate if expected returns of 1.66% are justified by taking the suggested risk. Use Immunocellular Therapeutics Downside Deviation of 16.05, risk adjusted performance of 0.083, and Market Risk Adjusted Performance of (1.35) to evaluate company specific risk that cannot be diversified away.

Immunocellular Volatility 

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

720 Days Market Risk

Out of control

Chance of Distress

High

720 Days Economic Sensitivity

Very regressive towards the market

Immunocellular Therapeutics Market Sensitivity And Downside Risk

Immunocellular Therapeutics' beta coefficient measures the volatility of Immunocellular otc 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 Immunocellular otc stock's returns against your selected market. In other words, Immunocellular Therapeutics's beta of -1.39 provides an investor with an approximation of how much risk Immunocellular Therapeutics otc stock can potentially add to one of your existing portfolios.
Let's try to break down what Immunocellular's beta means in this case. As returns on the market increase, returns on owning Immunocellular Therapeutics are expected to decrease by larger amounts. On the other hand, during market turmoil, Immunocellular Therapeutics is expected to outperform it.
3 Months Beta |Analyze Immunocellular Therapeutics Demand Trend
Check current 90 days Immunocellular Therapeutics correlation with market (DOW)

Immunocellular Beta

    
  -1.39  
Immunocellular 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

    
  20.33  
It is essential to understand the difference between upside risk (as represented by Immunocellular Therapeutics's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Immunocellular Therapeutics stock's daily returns or price. Since the actual investment returns on holding a position in Immunocellular Therapeutics 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 Immunocellular Therapeutics.

Immunocellular Therapeutics OTC 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 Immunocellular Therapeutics price series. View also all equity analysis or get more info about median price price transform indicator.

Immunocellular Therapeutics Projected Return Density Against Market

Given the investment horizon of 90 days Immunocellular Therapeutics has a beta of -1.3882 . This usually indicates as returns on its benchmark rise, returns on holding Immunocellular Therapeutics are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Immunocellular Therapeutics is expected to outperform its benchmark.
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 Immunocellular Therapeutics or Healthcare 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 Immunocellular Therapeutics 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 Immunocellular 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 1.9103, implying that it can generate a 1.91 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Immunocellular Therapeutics OTC 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 Immunocellular Therapeutics or Healthcare 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 Immunocellular Therapeutics 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 Immunocellular 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 Immunocellular Therapeutics is 1223.27. The daily returns are distributed with a variance of 413.24 and standard deviation of 20.33. The mean deviation of Immunocellular Therapeutics is currently at 12.27. For similar time horizon, the selected benchmark (DOW) has volatility of 0.78
α
Alpha over DOW
1.91
β
Beta against DOW-1.39
σ
Overall volatility
20.33
Ir
Information ratio 0.09

Immunocellular Therapeutics OTC Stock Return Volatility

Immunocellular Therapeutics historical daily return volatility represents how much Immunocellular Therapeutics stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The company inherits 20.3284% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.7144% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Immunocellular Therapeutics Volatility

Volatility is a rate at which the price of Immunocellular Therapeutics 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 Immunocellular Therapeutics may increase or decrease. In other words, similar to Immunocellular's beta indicator, it measures the risk of Immunocellular Therapeutics and helps estimate the fluctuations that may happen in a short period of time. So if prices of Immunocellular Therapeutics 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.
ImmunoCellular Therapeutics, Ltd., a clinical-stage biotechnology company, develops immune-based therapies for the treatment of various cancers. ImmunoCellular Therapeutics, Ltd. is based in Westlake Village, California. Immunocellular Therapeutics operates under Biotechnology classification in the United States and is traded on OTC Exchange. It employs 3 people.

Immunocellular Therapeutics Investment Opportunity

Immunocellular Therapeutics has a volatility of 20.33 and is 28.63 times more volatile than DOW. 96  of all equities and portfolios are less risky than Immunocellular Therapeutics. Compared to the overall equity markets, volatility of historical daily returns of Immunocellular Therapeutics is higher than 96 () of all global equities and portfolios over the last 90 days. Use Immunocellular Therapeutics to enhance returns of your portfolios. The otc stock experiences a very speculative upward sentiment. The trend is possibly hyped up. Check odds of Immunocellular Therapeutics to be traded at $0.7875 in 90 days. . Let's try to break down what Immunocellular's beta means in this case. As returns on the market increase, returns on owning Immunocellular Therapeutics are expected to decrease by larger amounts. On the other hand, during market turmoil, Immunocellular Therapeutics is expected to outperform it.

Good diversification

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

Immunocellular Therapeutics Additional Risk Indicators

The analysis of Immunocellular Therapeutics' 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 Immunocellular Therapeutics' investment and either accepting that risk or mitigating it. Along with some common measures of Immunocellular Therapeutics 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 Performance0.083
Market Risk Adjusted Performance(1.35)
Mean Deviation12.52
Semi Deviation12.73
Downside Deviation16.05
Coefficient Of Variation1065.31
Standard Deviation20.19
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.

Immunocellular Therapeutics 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 Immunocellular Therapeutics 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. Immunocellular Therapeutics' 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, Immunocellular Therapeutics' 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 Immunocellular Therapeutics.
Please see Risk vs Return Analysis. Note that the Immunocellular Therapeutics information on this page should be used as a complementary analysis to other Immunocellular Therapeutics' 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 Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.

Complementary Tools for Immunocellular OTC Stock analysis

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