AUSTRALIA NEW ZEALAND Volatility
05253JAL5 | 97.39 0.00 0.00% |
AUSTRALIA NEW ZEALAND secures Sharpe Ratio (or Efficiency) of -0.12, which signifies that the bond had a -0.12% return per unit of risk over the last 3 months. AUSTRALIA NEW ZEALAND exposes eighteen different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm AUSTRALIA's mean deviation of 0.147, and Risk Adjusted Performance of (0.09) to double-check the risk estimate we provide. Key indicators related to AUSTRALIA's volatility include:
720 Days Market Risk | Chance Of Default | 720 Days Economic Sensitivity |
AUSTRALIA Bond 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 AUSTRALIA daily returns, and it is calculated using variance and standard deviation. We also use AUSTRALIA's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of AUSTRALIA volatility.
AUSTRALIA |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as AUSTRALIA 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 AUSTRALIA at lower prices. For example, an investor can purchase AUSTRALIA 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 AUSTRALIA's 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.
Moving together with AUSTRALIA Bond
0.74 | TM | Toyota Motor Financial Report 8th of May 2024 | PairCorr |
0.77 | MUSA | Murphy USA Financial Report 7th of May 2024 | PairCorr |
0.71 | KBH | KB Home Financial Report 19th of June 2024 | PairCorr |
0.73 | TOL | Toll Brothers Financial Report 28th of May 2024 | PairCorr |
AUSTRALIA Market Sensitivity And Downside Risk
AUSTRALIA's beta coefficient measures the volatility of AUSTRALIA bond compared to the systematic risk of the entire 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 AUSTRALIA bond's returns against your selected market. In other words, AUSTRALIA's beta of 0.0092 provides an investor with an approximation of how much risk AUSTRALIA bond can potentially add to one of your existing portfolios. AUSTRALIA NEW ZEALAND exhibits very low volatility with skewness of -0.74 and kurtosis of 1.65. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure AUSTRALIA's bond risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact AUSTRALIA's bond price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze AUSTRALIA NEW ZEALAND Demand TrendCheck current 90 days AUSTRALIA correlation with market (NYSE Composite)AUSTRALIA Beta |
AUSTRALIA standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity 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 | 0.21 |
It is essential to understand the difference between upside risk (as represented by AUSTRALIA's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of AUSTRALIA's daily returns or price. Since the actual investment returns on holding a position in australia bond 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 AUSTRALIA.
AUSTRALIA NEW ZEALAND Bond Volatility Analysis
Volatility refers to the frequency at which AUSTRALIA bond price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with AUSTRALIA's price changes. Investors will then calculate the volatility of AUSTRALIA's bond to predict their future moves. A bond that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A bond with relatively stable price changes has low volatility. A highly volatile bond 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 AUSTRALIA's volatility:
Historical Volatility
This type of bond volatility measures AUSTRALIA's fluctuations based on previous trends. It's commonly used to predict AUSTRALIA's future behavior based on its past. However, it cannot conclusively determine the future direction of the bond.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for AUSTRALIA's current market price. This means that the bond will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on AUSTRALIA's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. AUSTRALIA NEW ZEALAND 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.
AUSTRALIA Projected Return Density Against Market
Assuming the 90 days trading horizon AUSTRALIA has a beta of 0.0092 . This usually implies as returns on the market go up, AUSTRALIA average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding AUSTRALIA NEW ZEALAND 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 AUSTRALIA or Banking 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 AUSTRALIA's price will be affected by overall bond 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 AUSTRALIA bond'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.
AUSTRALIA NEW ZEALAND has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming NYSE Composite. Predicted Return Density |
Returns |
What Drives an AUSTRALIA Price Volatility?
Several factors can influence a bond's market 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.AUSTRALIA Bond Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of AUSTRALIA is -808.35. The daily returns are distributed with a variance of 0.04 and standard deviation of 0.21. The mean deviation of AUSTRALIA NEW ZEALAND is currently at 0.15. For similar time horizon, the selected benchmark (NYSE Composite) has volatility of 0.56
α | Alpha over NYSE Composite | -0.04 | |
β | Beta against NYSE Composite | 0.01 | |
σ | Overall volatility | 0.21 | |
Ir | Information ratio | -0.77 |
AUSTRALIA Bond Return Volatility
AUSTRALIA historical daily return volatility represents how much of AUSTRALIA bond's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. AUSTRALIA NEW ZEALAND accepts 0.2083% volatility on return distribution over the 90 days horizon. By contrast, NYSE Composite accepts 0.573% volatility on return distribution over the 90 days horizon. Performance |
Timeline |
About AUSTRALIA Volatility
Volatility is a rate at which the price of AUSTRALIA 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 AUSTRALIA may increase or decrease. In other words, similar to AUSTRALIA's beta indicator, it measures the risk of AUSTRALIA and helps estimate the fluctuations that may happen in a short period of time. So if prices of AUSTRALIA 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.3 ways to utilize AUSTRALIA's volatility to invest better
Higher AUSTRALIA's bond volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of AUSTRALIA NEW ZEALAND bond is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. AUSTRALIA NEW ZEALAND bond volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of AUSTRALIA NEW ZEALAND investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in AUSTRALIA's bond can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of AUSTRALIA's bond relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
AUSTRALIA Investment Opportunity
NYSE Composite has a standard deviation of returns of 0.57 and is 2.71 times more volatile than AUSTRALIA NEW ZEALAND. 1 percent of all equities and portfolios are less risky than AUSTRALIA. You can use AUSTRALIA NEW ZEALAND to protect your portfolios against small market fluctuations. The bond experiences a normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of AUSTRALIA to be traded at 96.42 in 90 days.Significant diversification
The correlation between AUSTRALIA & NEW ZEALAND BKG GR and NYA is 0.02 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding AUSTRALIA & NEW ZEALAND BKG GR and NYA in the same portfolio, assuming nothing else is changed.
AUSTRALIA Additional Risk Indicators
The analysis of AUSTRALIA'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 AUSTRALIA's investment and either accepting that risk or mitigating it. Along with some common measures of AUSTRALIA bond's 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 | (0.09) | |||
Market Risk Adjusted Performance | (3.88) | |||
Mean Deviation | 0.147 | |||
Coefficient Of Variation | (808.35) | |||
Standard Deviation | 0.2083 | |||
Variance | 0.0434 | |||
Information Ratio | (0.77) |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential bonds, we recommend comparing similar bonds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
AUSTRALIA 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.
Alphabet vs. AUSTRALIA | ||
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Ford vs. AUSTRALIA | ||
Bank of America vs. AUSTRALIA | ||
Citigroup vs. AUSTRALIA | ||
Cazoo vs. AUSTRALIA | ||
Microsoft vs. AUSTRALIA |
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 AUSTRALIA 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. AUSTRALIA'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, AUSTRALIA'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 AUSTRALIA NEW ZEALAND.
Check out World Market Map to better understand how to build diversified portfolios, which includes a position in AUSTRALIA NEW ZEALAND. Also, note that the market value of any corporate bond could be tightly coupled with the direction of predictive economic indicators such as signals in nation. Note that the AUSTRALIA NEW ZEALAND information on this page should be used as a complementary analysis to other AUSTRALIA'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 the Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
Complementary Tools for AUSTRALIA Bond analysis
When running AUSTRALIA's price analysis, check to measure AUSTRALIA'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 AUSTRALIA is operating at the current time. Most of AUSTRALIA's value examination focuses on studying past and present price action to predict the probability of AUSTRALIA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move AUSTRALIA's price. Additionally, you may evaluate how the addition of AUSTRALIA to your portfolios can decrease your overall portfolio volatility.
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