Kempharm Stock Volatility

KMPH -  USA Stock  

USD 10.75  0.24  2.18%

Kempharm appears to be somewhat reliable, given 3 months investment horizon. Kempharm has Sharpe Ratio of 0.0724, which conveys that the firm had 0.0724% of return per unit of risk over the last 3 months. Our standpoint towards estimating 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 Kempharm, which you can use to evaluate the future volatility of the firm. Please exercise Kempharm's Risk Adjusted Performance of 0.0721, mean deviation of 2.64, and Downside Deviation of 3.77 to check out if our risk estimates are consistent with your expectations.

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

720 Days Market Risk

Somewhat reliable

Chance of Distress

Very Low

720 Days Economic Sensitivity

Follows the market closely

Kempharm Market Sensitivity And Downside Risk

Kempharm's beta coefficient measures the volatility of Kempharm 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 Kempharm stock's returns against your selected market. In other words, Kempharm's beta of 0.79 provides an investor with an approximation of how much risk Kempharm stock can potentially add to one of your existing portfolios.
Let's try to break down what Kempharm's beta means in this case. As returns on the market increase, Kempharm returns are expected to increase less than the market. However, during the bear market, the loss on holding Kempharm will be expected to be smaller as well.
3 Months Beta |Analyze Kempharm Demand Trend
Check current 90 days Kempharm correlation with market (DOW)

Kempharm Beta

    
  0.79  
Kempharm 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

    
  3.61  
It is essential to understand the difference between upside risk (as represented by Kempharm's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Kempharm stock's daily returns or price. Since the actual investment returns on holding a position in Kempharm 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 Kempharm.

Kempharm Stock Volatility Analysis

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

Kempharm Projected Return Density Against Market

Given the investment horizon of 90 days Kempharm has a beta of 0.7881 . This indicates as returns on the market go up, Kempharm average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Kempharm 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 Kempharm 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 Kempharm 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 Kempharm 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 0.2689, implying that it can generate a 0.27 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Kempharm 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 Kempharm 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 Kempharm 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 Kempharm 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 Kempharm is 1381.2. The daily returns are distributed with a variance of 13.0 and standard deviation of 3.61. The mean deviation of Kempharm is currently at 2.74. For similar time horizon, the selected benchmark (DOW) has volatility of 0.73
α
Alpha over DOW
0.27
β
Beta against DOW0.79
σ
Overall volatility
3.61
Ir
Information ratio 0.07

Kempharm Stock Return Volatility

Kempharm historical daily return volatility represents how much Kempharm 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 3.6051% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.7469% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Kempharm Volatility

Volatility is a rate at which the price of Kempharm 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 Kempharm may increase or decrease. In other words, similar to Kempharm's beta indicator, it measures the risk of Kempharm and helps estimate the fluctuations that may happen in a short period of time. So if prices of Kempharm 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 Capitalization50.8 M61.8 M
KemPharm, Inc., a specialty pharmaceutical company, discovers and develops various proprietary prodrugs to treat serious medical conditions in the United States. The company was incorporated in 2006 and is headquartered in Celebration, Florida. Kempharm operates under Biotechnology classification in the United States and is traded on NASDAQ Exchange. It employs 22 people.

Nearest Kempharm long CALL Option Payoff at Expiration

Kempharm's implied volatility is one of the determining factors in the pricing options written on Kempharm. Implied volatility approximates the future value of Kempharmusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Kempharm over a specific time period.
View All Kempharm options
KMPH210820C00002500 is a CALL option contract on Kempharm's common stock with a strick price of 2.5 expiring on 2021-08-20. The contract was last traded on 2021-07-14 at 10:02:31 for $9.3 and, as of today, has 22 days remaining before the expiration. The option is currently trading at a bid price of $8.2, and an ask price of $8.8. The implied volatility as of the 29th of July is 250.4264.
 Profit 
Share
      Kempharm Price At Expiration 

Kempharm Investment Opportunity

Kempharm has a volatility of 3.61 and is 4.81 times more volatile than DOW. 30  of all equities and portfolios are less risky than Kempharm. Compared to the overall equity markets, volatility of historical daily returns of Kempharm is lower than 30 () of all global equities and portfolios over the last 90 days. Use Kempharm to protect your portfolios against small market fluctuations. The stock experiences an unexpected downward movement. The market is reacting to new fundamentals. Check odds of Kempharm to be traded at $10.32 in 90 days. . Let's try to break down what Kempharm's beta means in this case. As returns on the market increase, Kempharm returns are expected to increase less than the market. However, during the bear market, the loss on holding Kempharm will be expected to be smaller as well.

Average diversification

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

Kempharm Additional Risk Indicators

The analysis of Kempharm'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 Kempharm's investment and either accepting that risk or mitigating it. Along with some common measures of Kempharm 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 Performance0.0721
Market Risk Adjusted Performance0.3856
Mean Deviation2.64
Semi Deviation3.37
Downside Deviation3.77
Coefficient Of Variation1144.4
Standard Deviation3.5
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.

Kempharm 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 Kempharm 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. Kempharm'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, Kempharm'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 Kempharm.
Please see Stocks Correlation. Note that the Kempharm information on this page should be used as a complementary analysis to other Kempharm'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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.

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