Novartis Volatility

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NVS -- USA Stock  

Report: 21st of July 2020  

We consider Novartis very steady. Novartis AG has Sharpe Ratio of 0.0443, which conveys that the firm had 0.0443% of return per unit of risk over the last 3 months. Our standpoint towards estimating 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-eight technical indicators for Novartis, which you can use to evaluate future volatility of the firm. Please verify Novartis AG risk adjusted performance of 0.0462, downside deviation of 1.41, and mean deviation of 1.07 to check out if the risk estimate we provide is consistent with the expected return of 0.0605%.

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

  Novartis Interest Expense

90 Days Market Risk

Very steady

Chance of Distress

Below Average

90 Days Economic Sensitivity

Moves indifferently to market moves

Novartis Market Sensitivity And Downside Risk

Novartis AG beta coefficient measures the volatility of Novartis 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 Novartis stock's returns against your selected market. In other words, Novartis's beta of -0.1501 provides an investor with an approximation of how much risk Novartis stock can potentially add to one of your existing portfolios. Let's try to break down what Novartis's beta means in this case. As returns on the market increase, returns on owning Novartis are expected to decrease at a much lower rate. During the bear market, Novartis is likely to outperform the market.
3 Months Beta |Analyze Novartis AG Demand Trend
Check current 30 days Novartis correlation with market (DOW)
β

Current Novartis Beta Coefficient

 = 

Novartis Central Daily Price Deviations

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

Novartis AG Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of Novartis AG high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Novartis closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

Novartis Projected Return Density Against Market

Considering the 30-days investment horizon, Novartis AG has a beta of -0.1501 . This indicates as returns on benchmark increase, returns on holding Novartis are expected to decrease at a much lower rate. During the bear market, however, Novartis AG 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 Novartis or Healthcare 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 Novartis 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 Novartis 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 0.0516, implying that it can generate a 0.0516 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Novartis 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 Novartis or Healthcare 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 Novartis 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 Novartis 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 30-days investment horizon, the coefficient of variation of Novartis is 2256.25. The daily returns are destributed with a variance of 1.86 and standard deviation of 1.36. The mean deviation of Novartis AG is currently at 1.02. For similar time horizon, the selected benchmark (DOW) has volatility of 1.82
α
Alpha over DOW
=0.05
β
Beta against DOW=-0.15
σ
Overall volatility
=1.36
Ir
Information ratio =-0.09

Novartis Return Volatility

Novartis historical daily return volatility represents how much Novartis stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The enterprise has volatility of 1.3649% on return distribution over 30 days investment horizon. By contrast, DOW inherits 1.812% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About Novartis Volatility

Volatility is a rate at which the price of Novartis 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 Novartis may increase or decrease. In other words, similar to Novartis's beta indicator, it measures the risk of Novartis and helps estimate the fluctuations that may happen in a short period of time. So if prices of Novartis 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 Capitalization218.8 B218.1 B
Novartis AG researches, develops, manufactures, and markets healthcare products worldwide. The company was founded in 1895 and is headquartered in Basel, Switzerland. Novartis operates under Drug ManufacturersGeneral classification in the United States and is traded on BATS Exchange. It employs 109000 people.

Novartis Investment Opportunity

DOW has a standard deviation of returns of 1.81 and is 1.33 times more volatile than Novartis AG. 11  of all equities and portfolios are less risky than Novartis. Compared to the overall equity markets, volatility of historical daily returns of Novartis AG is lower than 11 () of all global equities and portfolios over the last 30 days. Use Novartis AG to protect your portfolios against small markets fluctuations. The stock experiences a normal downward trend and little activity. Check odds of Novartis to be traded at $86.14 in 30 days. . Let's try to break down what Novartis's beta means in this case. As returns on the market increase, returns on owning Novartis are expected to decrease at a much lower rate. During the bear market, Novartis is likely to outperform the market.

Novartis correlation with market

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

Novartis Additional Risk Indicators

The analysis of various secondary risk indicators of Novartis is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Novartis investment, and either accepting that risk or mitigating it. Along with some common measures of Novartis 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 Performance0.0462
Market Risk Adjusted Performance(0.18)
Mean Deviation1.07
Semi Deviation1.33
Downside Deviation1.41
Coefficient Of Variation3692.77
Standard Deviation1.4

Novartis 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