James Stock Volatility

JRVR -  USA Stock  

USD 33.78  0.46  1.38%

James River Gp holds Efficiency (Sharpe) Ratio of -0.0593, which attests that the entity had -0.0593% of return per unit of risk over the last 6 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. James River Gp exposes twenty-eight different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out James River risk adjusted performance of (0.046145), and Market Risk Adjusted Performance of (0.27) to validate the risk estimate we provide.

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

720 Days Market Risk

Very steady

Chance of Distress

Below Average

720 Days Economic Sensitivity

Follows the market closely

James River Market Sensitivity And Downside Risk

James River's beta coefficient measures the volatility of James 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 James stock's returns against your selected market. In other words, James River's beta of 0.87 provides an investor with an approximation of how much risk James River stock can potentially add to one of your existing portfolios.
Let's try to break down what James's beta means in this case. James River returns are very sensitive to returns on the market. As the market goes up or down, James River is expected to follow.
6 Months Beta |Analyze James River Gp Demand Trend
Check current 90 days James River correlation with market (DOW)

James Beta

    
  0.87  
James 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

    
  3.01  
It is essential to understand the difference between upside risk (as represented by James River's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of James River stock's daily returns or price. Since the actual investment returns on holding a position in James River 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 James River.

James River Gp Stock Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of one hundred twenty-seven. James River Gp 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.

James River Projected Return Density Against Market

Given the investment horizon of 90 days James River has a beta of 0.8652 . This indicates James River Gp market returns are sensible to returns on the market. As the market goes up or down, James River is expected to follow.
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 James River or Financial Services 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 James River 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 James 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. James River Gp is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

James River 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 James River or Financial Services 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 James River 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 James 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 James River is -1685.28. The daily returns are distributed with a variance of 9.07 and standard deviation of 3.01. The mean deviation of James River Gp is currently at 1.57. For similar time horizon, the selected benchmark (DOW) has volatility of 0.68
α
Alpha over DOW
-0.26
β
Beta against DOW0.87
σ
Overall volatility
3.01
Ir
Information ratio -0.09

James River Stock Return Volatility

James River historical daily return volatility represents how much James River stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The enterprise inherits 3.012% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.6814% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About James River Volatility

Volatility is a rate at which the price of James River 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 James River may increase or decrease. In other words, similar to James's beta indicator, it measures the risk of James River and helps estimate the fluctuations that may happen in a short period of time. So if prices of James River 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 Capitalization1.5 B1.4 B
James River Group Holdings, Ltd., through its subsidiaries, provides specialty insurance and reinsurance services in the United States. James River Group Holdings, Ltd. was founded in 2002 and is headquartered in Pembroke, Bermuda. James River operates under InsuranceSpecialty classification in the United States and is traded on NASDAQ Exchange. It employs 683 people.

James River Investment Opportunity

James River Gp has a volatility of 3.01 and is 4.43 times more volatile than DOW. 25  of all equities and portfolios are less risky than James River. Compared to the overall equity markets, volatility of historical daily returns of James River Gp is lower than 25 () of all global equities and portfolios over the last 90 days. Use James River Gp to enhance returns of your portfolios. The stock experiences a large bullish trend. Check odds of James River to be traded at $37.16 in 90 days. . Let's try to break down what James's beta means in this case. James River returns are very sensitive to returns on the market. As the market goes up or down, James River is expected to follow.

Modest diversification

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

James River Additional Risk Indicators

The analysis of James River'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 James River's investment and either accepting that risk or mitigating it. Along with some common measures of James River 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(0.046145)
Market Risk Adjusted Performance(0.27)
Mean Deviation1.55
Coefficient Of Variation(1,259)
Standard Deviation2.94
Variance8.66
Information Ratio(0.09)
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.

James River 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 James River 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. James River'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, James River'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 James River Gp.
Please see Risk vs Return Analysis. Note that the James River Gp information on this page should be used as a complementary analysis to other James River'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 Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.

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