Nephros Stock Volatility

NEPH
 Stock
  

USD 1.47  0.03  2.00%   

Nephros has Sharpe Ratio of -0.22, which conveys that the firm had -0.22% of return per unit of risk over the last 3 months. Macroaxis standpoint towards estimating 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. Nephros exposes twenty-eight different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Nephros mean deviation of 3.73, and Risk Adjusted Performance of (0.32) to check out the risk estimate we provide.
  
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Nephros 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 Nephros daily returns, and it is calculated using variance and standard deviation. We also use Nephros's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Nephros volatility.

30 Days Market Risk

Risky

Chance of Distress

Significantly High

30 Days Economic Sensitivity

Responds to the market
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Nephros can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Nephros at lower prices. For example, an investor can purchase Nephros stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Nephros' stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

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Moving against Nephros

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Nephros Market Sensitivity And Downside Risk

Nephros' beta coefficient measures the volatility of Nephros 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 Nephros stock's returns against your selected market. In other words, Nephros's beta of 0.18 provides an investor with an approximation of how much risk Nephros stock can potentially add to one of your existing portfolios.
Let's try to break down what Nephros's beta means in this case. As returns on the market increase, Nephros returns are expected to increase less than the market. However, during the bear market, the loss on holding Nephros will be expected to be smaller as well.
3 Months Beta |Analyze Nephros Demand Trend
Check current 90 days Nephros correlation with market (DOW)

Nephros Beta

    
  0.18  
Nephros 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

    
  6.57  
It is essential to understand the difference between upside risk (as represented by Nephros's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Nephros stock's daily returns or price. Since the actual investment returns on holding a position in Nephros 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 Nephros.

Nephros Stock Volatility Analysis

Volatility refers to the frequency at which Nephros stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Nephros' price changes. Investors will then calculate the volatility of Nephros' stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Nephros' volatility:

Historical Volatility

This type of stock volatility measures Nephros' fluctuations based on previous trends. It's commonly used to predict Nephros' future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for Nephros' current market price. This means that the stock will return to its initially predicted market price.
Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Nephros 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.
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Nephros Projected Return Density Against Market

Given the investment horizon of 90 days Nephros has a beta of 0.1834 . This indicates as returns on the market go up, Nephros average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Nephros 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 Nephros 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 Nephros 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 Nephros 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. Nephros is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Nephros' volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Nephros stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Company's Stock Price Volatility?

Several factors can influence a company's stock volatility:

Industry

Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.

Political and Economic environment

When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.

The Company's Performance

Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.

Nephros 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 Nephros 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 Nephros 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 Nephros 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 Nephros is -450.66. The daily returns are distributed with a variance of 43.2 and standard deviation of 6.57. The mean deviation of Nephros is currently at 3.78. For similar time horizon, the selected benchmark (DOW) has volatility of 1.42
α
Alpha over DOW
-1.47
β
Beta against DOW0.18
σ
Overall volatility
6.57
Ir
Information ratio -0.2

Nephros Stock Return Volatility

Nephros historical daily return volatility represents how much Nephros 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 6.5726% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 1.4395% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Nephros Volatility

Volatility is a rate at which the price of Nephros 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 Nephros may increase or decrease. In other words, similar to Nephros's beta indicator, it measures the risk of Nephros and helps estimate the fluctuations that may happen in a short period of time. So if prices of Nephros 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.
Nephros, Inc. develops and sells high performance water solutions to the medical and commercial markets in the United States. The company operates in three segments Water Filtration, Pathogen Detection, and Renal Products. It offers ultrafiltration products that are used in dialysis centers for the removal of biological contaminants from water and bicarbonate concentrate and in hospitals for the prevention of infection from waterborne pathogens, such as legionella and pseudomonas, as well as in military and outdoor recreation, commercial, and other healthcare facilities. The company also develops and sells real-time water testing systems to provide actionable data on waterborne pathogens and medical device products for patients with renal disease, including a 2nd generation hemodiafiltration system for the treatment of patients with end stage renal disease. In addition, it offers water filters that improve the taste and odor of water, as well as reduce biofilm, bacteria, and scale build-up in downstream equipment under the Nephros and AETHER brands for the food service, hospitality, convenience store, and health care markets. The company was incorporated in 1997 and is headquartered in South Orange, New Jersey.

Nephros Investment Opportunity

Nephros has a volatility of 6.57 and is 4.56 times more volatile than DOW. 56  of all equities and portfolios are less risky than Nephros. Compared to the overall equity markets, volatility of historical daily returns of Nephros is higher than 56 () of all global equities and portfolios over the last 90 days. Use Nephros to protect your portfolios against small market fluctuations. The stock experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Nephros to be traded at $1.4259 in 90 days. . Let's try to break down what Nephros's beta means in this case. As returns on the market increase, Nephros returns are expected to increase less than the market. However, during the bear market, the loss on holding Nephros will be expected to be smaller as well.

Significant diversification

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

Nephros Additional Risk Indicators

The analysis of Nephros' 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 Nephros' investment and either accepting that risk or mitigating it. Along with some common measures of Nephros 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(0.32)
Market Risk Adjusted Performance(8.20)
Mean Deviation3.73
Coefficient Of Variation(429.11)
Standard Deviation6.42
Variance41.18
Information Ratio(0.20)
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.

Nephros 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 Nephros 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. Nephros' 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, Nephros' 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 Nephros.
Additionally, see Stocks Correlation. Note that the Nephros information on this page should be used as a complementary analysis to other Nephros' 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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.

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When running Nephros price analysis, check to measure Nephros' 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 Nephros is operating at the current time. Most of Nephros' value examination focuses on studying past and present price action to predict the probability of Nephros' future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Nephros' price. Additionally, you may evaluate how the addition of Nephros to your portfolios can decrease your overall portfolio volatility.
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Is Nephros' industry expected to grow? Or is there an opportunity to expand the business' product line in the future? Factors like these will boost the valuation of Nephros. If investors know Nephros will grow in the future, the company's valuation will be higher. The financial industry is built on trying to define current growth potential and future valuation accurately. All the valuation information about Nephros listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.
Market Capitalization
15.8 M
Quarterly Revenue Growth YOY
-0.2
Return On Assets
-0.2
Return On Equity
-0.37
The market value of Nephros is measured differently than its book value, which is the value of Nephros that is recorded on the company's balance sheet. Investors also form their own opinion of Nephros' value that differs from its market value or its book value, called intrinsic value, which is Nephros' 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 Nephros' market value can be influenced by many factors that don't directly affect Nephros' underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Nephros' value and its price as these two are different measures arrived at by different means. Investors typically determine Nephros value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Nephros' 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.