MMC NORILSK Volatility

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GMKN -- Russia Stock  

RUB 18,940  314.00  1.69%

MMC NORILSK NICKEL retains Efficiency (Sharpe Ratio) of -0.0548, which conveys that the firm had -0.0548% 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. MMC NORILSK exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify MMC NORILSK NICKEL market risk adjusted performance of (29.84), mean deviation of 1.97, and semi deviation of 2.26 to check out the risk estimate we provide.

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

90 Days Market Risk

Very steady

Chance of Distress

Close to Average

90 Days Economic Sensitivity

Moves indifferently to market moves

MMC NORILSK Market Sensitivity And Downside Risk

MMC NORILSK NICKEL beta coefficient measures the volatility of MMC NORILSK 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 MMC NORILSK stock's returns against your selected market. In other words, MMC NORILSK's beta of -0.0088 provides an investor with an approximation of how much risk MMC NORILSK stock can potentially add to one of your existing portfolios. Let's try to break down what MMC NORILSK's beta means in this case. As returns on the market increase, returns on owning MMC NORILSK are expected to decrease at a much lower rate. During the bear market, MMC NORILSK is likely to outperform the market.
3 Months Beta |Analyze MMC NORILSK NICKEL Demand Trend
Check current 30 days MMC NORILSK correlation with market (DOW)
β

Current MMC NORILSK Beta Coefficient

 = 

MMC NORILSK Central Daily Price Deviations

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

MMC NORILSK NICKEL Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. MMC NORILSK Typical Price indicator is an average of each day price and can be used instead of closing price when creating different MMC NORILSK NICKEL moving average lines. View also all equity analysis or get more info about typical price price transform indicator.

MMC NORILSK Projected Return Density Against Market

Assuming the 30 trading days horizon, MMC NORILSK NICKEL has a beta of -0.0088 . This usually indicates as returns on benchmark increase, returns on holding MMC NORILSK are expected to decrease at a much lower rate. During the bear market, however, MMC NORILSK NICKEL is likely to outperform the market. Moreover, 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 MMC NORILSK or Investor Favorites 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 MMC NORILSK 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 MMC NORILSK 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 0.264, implying that it can generate a 0.26 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

MMC NORILSK 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 MMC NORILSK or Investor Favorites 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 MMC NORILSK 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 MMC NORILSK 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. Assuming the 30 trading days horizon, the coefficient of variation of MMC NORILSK is -1824.4. The daily returns are destributed with a variance of 6.45 and standard deviation of 2.54. The mean deviation of MMC NORILSK NICKEL is currently at 1.63. For similar time horizon, the selected benchmark (DOW) has volatility of 1.82
α
Alpha over DOW
=0.26
β
Beta against DOW=-0.0088
σ
Overall volatility
=2.54
Ir
Information ratio =0.0321

MMC NORILSK Return Volatility

MMC NORILSK historical daily return volatility represents how much MMC NORILSK stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The firm accepts 2.5389% volatility on return distribution over the 30 days horizon. By contrast, DOW inherits 1.8264% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About MMC NORILSK Volatility

Volatility is a rate at which the price of MMC NORILSK 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 MMC NORILSK may increase or decrease. In other words, similar to MMC NORILSK's beta indicator, it measures the risk of MMC NORILSK and helps estimate the fluctuations that may happen in a short period of time. So if prices of MMC NORILSK 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.
Public Joint Stock Company Mining and Metallurgical Company Norilsk Nickel, together with its subsidiaries, operates as a metals and mining company in Europe, Asia, North and South America, Russia, and the CIS countries. Public Joint Stock Company Mining and Metallurgical Company Norilsk Nickel was incorporated in 1997 and is based in Moscow, Russia. MMC NORILSK is traded on Moscow Interbank Currency Exchange in Russia.

MMC NORILSK Investment Opportunity

MMC NORILSK NICKEL has a volatility of 2.54 and is 1.39 times more volatile than DOW. 22  of all equities and portfolios are less risky than MMC NORILSK. Compared to the overall equity markets, volatility of historical daily returns of MMC NORILSK NICKEL is lower than 22 () of all global equities and portfolios over the last 30 days.

MMC NORILSK Additional Risk Indicators

The analysis of various secondary risk indicators of MMC NORILSK is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in MMC NORILSK investment, and either accepting that risk or mitigating it. Along with some common measures of MMC NORILSK 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 your existing portfolio. 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 the like to determine which investment holds the most risk.
Risk Adjusted Performance0.1569
Market Risk Adjusted Performance(29.84)
Mean Deviation1.97
Semi Deviation2.26
Downside Deviation2.82
Coefficient Of Variation1193.03
Standard Deviation3.25

MMC NORILSK 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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Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page