Johnson Stock Volatility

JOUT -  USA Stock  

USD 105.76  0.25  0.24%

Johnson Outdoors holds Efficiency (Sharpe) Ratio of -0.13, which attests that the entity had -0.13% of return per unit of risk over the last 3 months. Macroaxis standpoint towards determining 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. Johnson Outdoors exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Johnson Outdoors risk adjusted performance of (0.07), and Market Risk Adjusted Performance of (1.50) to validate the risk estimate we provide.

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

720 Days Market Risk

Very steady

Chance of Distress

Very Small

720 Days Economic Sensitivity

Barely shadows the market

Johnson Outdoors Market Sensitivity And Downside Risk

Johnson Outdoors' beta coefficient measures the volatility of Johnson 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 Johnson stock's returns against your selected market. In other words, Johnson Outdoors's beta of 0.12 provides an investor with an approximation of how much risk Johnson Outdoors stock can potentially add to one of your existing portfolios.
Let's try to break down what Johnson's beta means in this case. As returns on the market increase, Johnson Outdoors returns are expected to increase less than the market. However, during the bear market, the loss on holding Johnson Outdoors will be expected to be smaller as well.
3 Months Beta |Analyze Johnson Outdoors Demand Trend
Check current 90 days Johnson Outdoors correlation with market (DOW)

Johnson Beta

    
  0.12  
Johnson 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

    
  1.55  
It is essential to understand the difference between upside risk (as represented by Johnson Outdoors's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Johnson Outdoors stock's daily returns or price. Since the actual investment returns on holding a position in Johnson Outdoors 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 Johnson Outdoors.

Johnson Outdoors Stock Volatility Analysis

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

Johnson Outdoors Projected Return Density Against Market

Given the investment horizon of 90 days Johnson Outdoors has a beta of 0.1212 . This indicates as returns on the market go up, Johnson Outdoors average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Johnson Outdoors 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 Johnson Outdoors or Consumer Cyclical 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 Johnson Outdoors 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 Johnson 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. Johnson Outdoors is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

Johnson Outdoors 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 Johnson Outdoors or Consumer Cyclical 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 Johnson Outdoors 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 Johnson 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 Johnson Outdoors is -756.36. The daily returns are distributed with a variance of 2.41 and standard deviation of 1.55. The mean deviation of Johnson Outdoors is currently at 1.24. For similar time horizon, the selected benchmark (DOW) has volatility of 0.69
α
Alpha over DOW
-0.19
β
Beta against DOW0.12
σ
Overall volatility
1.55
Ir
Information ratio -0.14

Johnson Outdoors Stock Return Volatility

Johnson Outdoors historical daily return volatility represents how much Johnson Outdoors 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 1.5521% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.7173% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Johnson Outdoors Volatility

Volatility is a rate at which the price of Johnson Outdoors 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 Johnson Outdoors may increase or decrease. In other words, similar to Johnson's beta indicator, it measures the risk of Johnson Outdoors and helps estimate the fluctuations that may happen in a short period of time. So if prices of Johnson Outdoors 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 Capitalization364.8 M440.1 M
Johnson Outdoors Inc. designs, manufactures, and markets camping, diving, watercraft, and marine electronics products worldwide. Johnson Outdoors Inc. was founded in 1970 and is headquartered in Racine, Wisconsin. Johnson Outdoors operates under Leisure classification in the United States and is traded on NASDAQ Exchange. It employs 1200 people.

Johnson Outdoors Investment Opportunity

Johnson Outdoors has a volatility of 1.55 and is 2.15 times more volatile than DOW. 13  of all equities and portfolios are less risky than Johnson Outdoors. Compared to the overall equity markets, volatility of historical daily returns of Johnson Outdoors is lower than 13 () of all global equities and portfolios over the last 90 days. Use Johnson Outdoors to enhance returns of your portfolios. The stock experiences a normal upward fluctuation. Check odds of Johnson Outdoors to be traded at $111.05 in 90 days. . Let's try to break down what Johnson's beta means in this case. As returns on the market increase, Johnson Outdoors returns are expected to increase less than the market. However, during the bear market, the loss on holding Johnson Outdoors will be expected to be smaller as well.

Significant diversification

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

Johnson Outdoors Additional Risk Indicators

The analysis of Johnson Outdoors' 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 Johnson Outdoors' investment and either accepting that risk or mitigating it. Along with some common measures of Johnson Outdoors 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(0.07)
Market Risk Adjusted Performance(1.50)
Mean Deviation1.23
Coefficient Of Variation(880.33)
Standard Deviation1.53
Variance2.33
Information Ratio(0.14)
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.

Johnson Outdoors 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 Johnson Outdoors 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. Johnson Outdoors' 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, Johnson Outdoors' 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 Johnson Outdoors.
Please see Risk vs Return Analysis. Note that the Johnson Outdoors information on this page should be used as a complementary analysis to other Johnson Outdoors' 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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.

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