Sally Volatility

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SBH -- USA Stock  

Report: 29th of July 2020  

Sally Beauty appears to be somewhat reliable, given 3 months investment horizon. Sally Beauty Holdings owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.16, which indicates the firm had 0.16% 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. By inspecting Sally Beauty Holdings technical indicators you can presently evaluate if the expected return of 0.8% is justified by implied risk. Please operate Sally Beauty risk adjusted performance of 0.25, coefficient of variation of 743.92, and semi deviation of 4.38 to confirm if our risk estimates are consistent with your expectations.

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

  Sally Beauty Interest Expense

90 Days Market Risk

Somewhat reliable

Chance of Distress

Below Average

90 Days Economic Sensitivity

Barely shadows the market

Sally Beauty Market Sensitivity And Downside Risk

Sally Beauty Holdings beta coefficient measures the volatility of Sally 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 Sally stock's returns against your selected market. In other words, Sally Beauty's beta of 0.18 provides an investor with an approximation of how much risk Sally Beauty stock can potentially add to one of your existing portfolios. Let's try to break down what Sally's beta means in this case. As returns on the market increase, Sally Beauty returns are expected to increase less than the market. However, during the bear market, the loss on holding Sally Beauty will be expected to be smaller as well.
3 Months Beta |Analyze Sally Beauty Holdings Demand Trend
Check current 30 days Sally Beauty correlation with market (DOW)
β

Current Sally Beauty Beta Coefficient

 = 

Sally Beauty Central Daily Price Deviations

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

Sally Beauty Holdings Volatility Analysis

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

Sally Beauty Projected Return Density Against Market

Considering the 30-days investment horizon, Sally Beauty has a beta of 0.1783 . This usually implies as returns on the market go up, Sally Beauty average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Sally Beauty Holdings will be expected to be much smaller as well. 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 Sally Beauty or Diversified Wholesale And Retail 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 Sally Beauty 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 Sally 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 0.6494, implying that it can generate a 0.65 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Sally Beauty 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 Sally Beauty or Diversified Wholesale And Retail 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 Sally Beauty 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 Sally 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 Sally Beauty is 625.88. The daily returns are destributed with a variance of 25.09 and standard deviation of 5.01. The mean deviation of Sally Beauty Holdings is currently at 3.81. For similar time horizon, the selected benchmark (DOW) has volatility of 1.81
α
Alpha over DOW
=0.65
β
Beta against DOW=0.18
σ
Overall volatility
=5.01
Ir
Information ratio =0.1

Sally Beauty Return Volatility

Sally Beauty historical daily return volatility represents how much Sally Beauty stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The company has volatility of 5.0088% on return distribution over 30 days investment horizon. By contrast, DOW inherits 1.7979% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About Sally Beauty Volatility

Volatility is a rate at which the price of Sally Beauty 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 Sally Beauty may increase or decrease. In other words, similar to Sally's beta indicator, it measures the risk of Sally Beauty and helps estimate the fluctuations that may happen in a short period of time. So if prices of Sally Beauty 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 Capitalization3.4 BB
Sally Beauty Holdings, Inc. operates as a specialty retailer and distributor of professional beauty supplies. Sally Beauty Holdings, Inc. was founded in 1964 and is headquartered in Denton, Texas. Sally Beauty operates under Specialty Retail classification in the United States and is traded on BATS Exchange. It employs 30050 people.

Sally Beauty Investment Opportunity

Sally Beauty Holdings has a volatility of 5.01 and is 2.78 times more volatile than DOW. 43  of all equities and portfolios are less risky than Sally Beauty. Compared to the overall equity markets, volatility of historical daily returns of Sally Beauty Holdings is lower than 43 () of all global equities and portfolios over the last 30 days. Use Sally Beauty Holdings to enhance returns of your portfolios. The stock experiences an unexpected upward trend. Watch out for market signals. Check odds of Sally Beauty to be traded at $15.01 in 30 days. . Let's try to break down what Sally's beta means in this case. As returns on the market increase, Sally Beauty returns are expected to increase less than the market. However, during the bear market, the loss on holding Sally Beauty will be expected to be smaller as well.

Sally Beauty correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Sally Beauty Holdings Inc Na and equity matching DJI index in the same portfolio.

Sally Beauty Additional Risk Indicators

The analysis of various secondary risk indicators of Sally Beauty is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Sally Beauty investment, and either accepting that risk or mitigating it. Along with some common measures of Sally Beauty 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 Performance0.25
Market Risk Adjusted Performance3.83
Mean Deviation3.97
Semi Deviation4.38
Downside Deviation5.05
Coefficient Of Variation743.92
Standard Deviation5.14

Sally Beauty 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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