Safeguard Stock Volatility

SFE -  USA Stock  

USD 7.59  0.14  1.81%

Safeguard Scientifics appears to be not too volatile, given 3 months investment horizon. Safeguard Scientifics owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.14, which indicates the firm had 0.14% of return per unit of risk over the last 3 months. Our standpoint towards measuring 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 Safeguard Scientifics, which you can use to evaluate the future volatility of the company. Please review Safeguard Scientifics' Coefficient Of Variation of 594.04, semi deviation of 1.34, and Risk Adjusted Performance of 0.13 to confirm if our risk estimates are consistent with your expectations.

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

720 Days Market Risk

Not too volatile

Chance of Distress

Very Low

720 Days Economic Sensitivity

Almost mirrors the market

Safeguard Scientifics Market Sensitivity And Downside Risk

Safeguard Scientifics' beta coefficient measures the volatility of Safeguard 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 Safeguard stock's returns against your selected market. In other words, Safeguard Scientifics's beta of 1.05 provides an investor with an approximation of how much risk Safeguard Scientifics stock can potentially add to one of your existing portfolios.
Let's try to break down what Safeguard's beta means in this case. Safeguard Scientifics returns are very sensitive to returns on the market. As the market goes up or down, Safeguard Scientifics is expected to follow.
3 Months Beta |Analyze Safeguard Scientifics Demand Trend
Check current 90 days Safeguard Scientifics correlation with market (DOW)

Safeguard Beta

    
  1.05  
Safeguard 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

    
  2.0  
It is essential to understand the difference between upside risk (as represented by Safeguard Scientifics's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Safeguard Scientifics stock's daily returns or price. Since the actual investment returns on holding a position in Safeguard Scientifics 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 Safeguard Scientifics.

Safeguard Scientifics Stock Volatility Analysis

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

Safeguard Scientifics Projected Return Density Against Market

Considering the 90-day investment horizon the stock has the beta coefficient of 1.0546 . This usually implies Safeguard Scientifics market returns are highly-sensitive to returns on the market. As the market goes up or down, Safeguard Scientifics 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 Safeguard Scientifics 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 Safeguard Scientifics 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 Safeguard 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 0.2764, implying that it can generate a 0.28 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Safeguard Scientifics 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 Safeguard Scientifics 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 Safeguard Scientifics 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 Safeguard 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 Safeguard Scientifics is 726.19. The daily returns are distributed with a variance of 4.01 and standard deviation of 2.0. The mean deviation of Safeguard Scientifics is currently at 1.51. For similar time horizon, the selected benchmark (DOW) has volatility of 0.73
α
Alpha over DOW
0.28
β
Beta against DOW1.05
σ
Overall volatility
2.00
Ir
Information ratio 0.14

Safeguard Scientifics Stock Return Volatility

Safeguard Scientifics historical daily return volatility represents how much Safeguard Scientifics stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The firm has volatility of 2.0021% on return distribution over 90 days investment horizon. By contrast, DOW inherits 0.747% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Safeguard Scientifics Volatility

Volatility is a rate at which the price of Safeguard Scientifics 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 Safeguard Scientifics may increase or decrease. In other words, similar to Safeguard's beta indicator, it measures the risk of Safeguard Scientifics and helps estimate the fluctuations that may happen in a short period of time. So if prices of Safeguard Scientifics 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 Capitalization269.7 M267.4 M
It is a private equity and venture capital firm specializing in expansion financings, growth capital, management buyouts, recapitalizations, industry consolidations, corporate spinouts, growth stage, and early stage financings. Safeguard Scientifics, Inc. is based in Radnor, Pennsylvania with additional office in Weston, Massachusetts. Safeguard Scientifics operates under Asset Management classification in the United States and is traded on New York Stock Exchange.

Nearest Safeguard long CALL Option Payoff at Expiration

Safeguard Scientifics' implied volatility is one of the determining factors in the pricing options written on Safeguard Scientifics. Implied volatility approximates the future value of Safeguard Scientificsusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Safeguard Scientifics over a specific time period.
View All Safeguard options
SFE210820C00005000 is a CALL option contract on Safeguard Scientifics' common stock with a strick price of 5.0 expiring on 2021-08-20. The contract was not traded in recent days and, as of today, has 17 days remaining before the expiration. The option is currently trading at a bid price of $2.15, and an ask price of $3.1. The implied volatility as of the 3rd of August is 237.8128.
 Profit 
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      Safeguard Scientifics Price At Expiration 

Safeguard Scientifics Investment Opportunity

Safeguard Scientifics has a volatility of 2.0 and is 2.67 times more volatile than DOW. 17  of all equities and portfolios are less risky than Safeguard Scientifics. Compared to the overall equity markets, volatility of historical daily returns of Safeguard Scientifics is lower than 17 () of all global equities and portfolios over the last 90 days. Use Safeguard Scientifics 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 Safeguard Scientifics to be traded at $7.36 in 90 days. . Let's try to break down what Safeguard's beta means in this case. Safeguard Scientifics returns are very sensitive to returns on the market. As the market goes up or down, Safeguard Scientifics is expected to follow.

Weak diversification

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

Safeguard Scientifics Additional Risk Indicators

The analysis of Safeguard Scientifics' 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 Safeguard Scientifics' investment and either accepting that risk or mitigating it. Along with some common measures of Safeguard Scientifics 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 Performance0.13
Market Risk Adjusted Performance0.3193
Mean Deviation1.52
Semi Deviation1.34
Downside Deviation1.65
Coefficient Of Variation594.04
Standard Deviation2.0
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.

Safeguard Scientifics 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 Safeguard Scientifics 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. Safeguard Scientifics' 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, Safeguard Scientifics' 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 Safeguard Scientifics.
Additionally, take a look at World Market Map. Note that the Safeguard Scientifics information on this page should be used as a complementary analysis to other Safeguard Scientifics' 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 Piotroski F Score module to get Piotroski F Score based on binary analysis strategy of nine different fundamentals.

Complementary Tools for Safeguard Stock analysis

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