GoPro Volatility

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GPRO -- USA Stock  

Report: 6th of August 2020  

GoPro appears to be unstable, given 3 months investment horizon. GoPro Inc holds Efficiency (Sharpe) Ratio of 0.19, which attests that the entity had 0.19% of return per unit of volatility over the last 3 months. Our approach into determining the volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By evaluating GoPro Inc technical indicators you can presently evaluate if the expected return of 0.82% is justified by implied risk. Please utilize GoPro risk adjusted performance of 0.4418, and market risk adjusted performance of (28.85) to validate if our risk estimates are consistent with your expectations.

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

  GoPro Interest Expense

90 Days Market Risk

Unstable

Chance of Distress

Below Average

90 Days Economic Sensitivity

Moves indifferently to market moves

GoPro Market Sensitivity And Downside Risk

GoPro Inc beta coefficient measures the volatility of GoPro 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 GoPro stock's returns against your selected market. In other words, GoPro's beta of -0.0376 provides an investor with an approximation of how much risk GoPro stock can potentially add to one of your existing portfolios. Let's try to break down what GoPro's beta means in this case. As returns on the market increase, returns on owning GoPro are expected to decrease at a much lower rate. During the bear market, GoPro is likely to outperform the market.
3 Months Beta |Analyze GoPro Inc Demand Trend
Check current 30 days GoPro correlation with market (DOW)
β

Current GoPro Beta Coefficient

 = 

GoPro Central Daily Price Deviations

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

GoPro Inc Volatility Analysis

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

GoPro Projected Return Density Against Market

Given the investment horizon of 30 days, GoPro Inc has a beta of -0.0376 . This usually indicates as returns on benchmark increase, returns on holding GoPro are expected to decrease at a much lower rate. During the bear market, however, GoPro Inc is likely to outperform the market. In addition to that, 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 GoPro or Robots And Drones 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 GoPro 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 GoPro 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 1.091, implying that it can generate a 1.09 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

GoPro 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 GoPro or Robots And Drones 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 GoPro 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 GoPro 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 30 days, the coefficient of variation of GoPro is 530.69. The daily returns are destributed with a variance of 19.11 and standard deviation of 4.37. The mean deviation of GoPro Inc is currently at 3.1. For similar time horizon, the selected benchmark (DOW) has volatility of 1.78
α
Alpha over DOW
=1.09
β
Beta against DOW=-0.04
σ
Overall volatility
=4.37
Ir
Information ratio =0.21

GoPro Return Volatility

GoPro historical daily return volatility represents how much GoPro 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 4.3719% risk (volatility on return distribution) over the 30 days horizon. By contrast, DOW inherits 1.7842% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About GoPro Volatility

Volatility is a rate at which the price of GoPro 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 GoPro may increase or decrease. In other words, similar to GoPro's beta indicator, it measures the risk of GoPro and helps estimate the fluctuations that may happen in a short period of time. So if prices of GoPro 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 2020
Market Capitalization676 M693.8 M
GoPro, Inc. develops and sells cameras, drones, and mountable and wearable accessories in the United States and internationally. GoPro, Inc. was founded in 2004 and is headquartered in San Mateo, California. GoPro operates under Consumer Electronics classification in the United States and is traded on BATS Exchange. It employs 926 people.

GoPro Investment Opportunity

GoPro Inc has a volatility of 4.37 and is 2.46 times more volatile than DOW. 38  of all equities and portfolios are less risky than GoPro. Compared to the overall equity markets, volatility of historical daily returns of GoPro Inc is lower than 38 () of all global equities and portfolios over the last 30 days. Use GoPro Inc to enhance returns of your portfolios. The stock experiences a large bullish trend. Check odds of GoPro to be traded at $5.39 in 30 days. . Let's try to break down what GoPro's beta means in this case. As returns on the market increase, returns on owning GoPro are expected to decrease at a much lower rate. During the bear market, GoPro is likely to outperform the market.

GoPro correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding GoPro Inc and equity matching DJI index in the same portfolio.

GoPro Additional Risk Indicators

The analysis of various secondary risk indicators of GoPro is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in GoPro investment, and either accepting that risk or mitigating it. Along with some common measures of GoPro 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 Performance0.4418
Market Risk Adjusted Performance(28.85)
Mean Deviation3.26
Semi Deviation4.15
Downside Deviation4.99
Coefficient Of Variation409.43
Standard Deviation4.48

GoPro 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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Please check Risk vs Return Analysis. Please also try Analyst Recommendations module to analyst recommendations and target price estimates broken down by several categories.
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