Revlon Stock Volatility

REV -  USA Stock  

USD 10.87  0.22  1.98%

Revlon Inc maintains Sharpe Ratio (i.e., Efficiency) of -0.0298, which implies the firm had -0.0298% of return per unit of risk over the last 3 months. Macroaxis standpoint towards forecasting 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. Revlon Inc exposes twenty-eight different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Revlon Inc coefficient of variation of (7,640), and Risk Adjusted Performance of (0.001526) to confirm the risk estimate we provide.

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

720 Days Market Risk

Somewhat reliable

Chance of Distress

Above Average

720 Days Economic Sensitivity

Almost mirrors the market

Revlon Market Sensitivity And Downside Risk

Revlon's beta coefficient measures the volatility of Revlon 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 Revlon stock's returns against your selected market. In other words, Revlon's beta of 1.17 provides an investor with an approximation of how much risk Revlon stock can potentially add to one of your existing portfolios.
Let's try to break down what Revlon's beta means in this case. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Revlon will likely underperform.
3 Months Beta |Analyze Revlon Inc Demand Trend
Check current 90 days Revlon correlation with market (DOW)

Revlon Beta

    
  1.17  
Revlon 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

    
  3.82  
It is essential to understand the difference between upside risk (as represented by Revlon's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Revlon stock's daily returns or price. Since the actual investment returns on holding a position in Revlon 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 Revlon.

Revlon Inc Stock Volatility Analysis

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

Revlon Projected Return Density Against Market

Considering the 90-day investment horizon the stock has the beta coefficient of 1.1665 indicating as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Revlon will likely underperform.
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 Revlon or Consumer Defensive 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 Revlon 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 Revlon 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. Revlon Inc is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

Revlon 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 Revlon or Consumer Defensive 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 Revlon 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 Revlon 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.
Considering the 90-day investment horizon the coefficient of variation of Revlon is -3353.0. The daily returns are distributed with a variance of 14.62 and standard deviation of 3.82. The mean deviation of Revlon Inc is currently at 2.76. For similar time horizon, the selected benchmark (DOW) has volatility of 0.73
α
Alpha over DOW
-0.1
β
Beta against DOW1.17
σ
Overall volatility
3.82
Ir
Information ratio -0.03

Revlon Stock Return Volatility

Revlon historical daily return volatility represents how much Revlon stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The venture has volatility of 3.8239% on return distribution over 90 days investment horizon. By contrast, DOW inherits 0.749% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Revlon Volatility

Volatility is a rate at which the price of Revlon 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 Revlon may increase or decrease. In other words, similar to Revlon's beta indicator, it measures the risk of Revlon and helps estimate the fluctuations that may happen in a short period of time. So if prices of Revlon 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 Capitalization1.3 B1.1 B
Revlon, Inc., through its subsidiaries, develops, manufactures, markets, distributes, and sells beauty and personal care products worldwide. Revlon, Inc. was founded in 1932 and is based in New York, New York. Revlon operates under Household Personal Products classification in the United States and is traded on New York Stock Exchange. It employs 6000 people.

Nearest Revlon long CALL Option Payoff at Expiration

Revlon's implied volatility is one of the determining factors in the pricing options written on Revlon Inc. Implied volatility approximates the future value of Revlonusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Revlon Inc over a specific time period.
View All Revlon options
REV210820C00003-0.5 is a CALL option contract on Revlon's common stock with a strick price of 2.5 expiring on 2021-08-20. The contract was not traded in recent days and, as of today, has 24 days remaining before the expiration. The option is currently trading at a bid price of $7.7, and an ask price of $8.6. The implied volatility as of the 28th of July is 435.4372.
 Profit 
Share
      Revlon Price At Expiration 

Revlon Investment Opportunity

Revlon Inc has a volatility of 3.82 and is 5.09 times more volatile than DOW. 32  of all equities and portfolios are less risky than Revlon. Compared to the overall equity markets, volatility of historical daily returns of Revlon Inc is lower than 32 () of all global equities and portfolios over the last 90 days. Use Revlon Inc 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 Revlon to be traded at $10.54 in 90 days. . Let's try to break down what Revlon's beta means in this case. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Revlon will likely underperform.

Modest diversification

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

Revlon Additional Risk Indicators

The analysis of Revlon'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 Revlon's investment and either accepting that risk or mitigating it. Along with some common measures of Revlon 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(0.001526)
Market Risk Adjusted Performance(0.041411)
Mean Deviation2.76
Coefficient Of Variation(7,640)
Standard Deviation3.82
Variance14.57
Information Ratio(0.025448)
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.

Revlon 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 Revlon 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. Revlon'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, Revlon'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 Revlon Inc.
Additionally, take a look at Your Equity Center. Note that the Revlon Inc information on this page should be used as a complementary analysis to other Revlon'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 Commodity Channel Index module to use Commodity Channel Index to analyze current equity momentum.

Complementary Tools for Revlon Stock analysis

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