Vipshop Volatility

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VIPS -- USA Stock  

Last Earning Announcement: 31st of March 2016  

Vipshop Holdings appears to be not too volatile, given 3 months investment horizon. Vipshop Holdings owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.17, which indicates the firm had 0.17% 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 Vipshop Holdings technical indicators you can presently evaluate if the expected return of 0.67% is justified by implied risk. Please operate Vipshop Holdings risk adjusted performance of 0.3463, coefficient of variation of 538.44, and semi deviation of 2.88 to confirm if our risk estimates are consistent with your expectations.

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

90 Days Market Risk

Not too volatile

Chance of Distress

Very Low

90 Days Economic Sensitivity

Follows the market closely

Vipshop Holdings Market Sensitivity And Downside Risk

Vipshop Holdings beta coefficient measures the volatility of Vipshop 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 Vipshop stock's returns against your selected market. In other words, Vipshop Holdings's beta of 0.52 provides an investor with an approximation of how much risk Vipshop Holdings stock can potentially add to one of your existing portfolios. Let's try to break down what Vipshop's beta means in this case. As returns on the market increase, Vipshop Holdings returns are expected to increase less than the market. However, during the bear market, the loss on holding Vipshop Holdings will be expected to be smaller as well.
3 Months Beta |Analyze Vipshop Holdings Demand Trend
Check current 30 days Vipshop Holdings correlation with market (DOW)
β

Current Vipshop Holdings Beta Coefficient

 = 

Vipshop Holdings Central Daily Price Deviations

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

Vipshop Holdings 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 Vipshop Holdings 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 Vipshop Holdings closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

Vipshop Holdings Projected Return Density Against Market

Given the investment horizon of 30 days, Vipshop Holdings has a beta of 0.5239 . This entails as returns on the market go up, Vipshop Holdings average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Vipshop Holdings Limited 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 Vipshop Holdings 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 Vipshop Holdings 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 Vipshop 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 0.6788, implying that it can generate a 0.68 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Vipshop Holdings 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 Vipshop Holdings 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 Vipshop Holdings 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 Vipshop 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 Vipshop Holdings is 593.66. The daily returns are destributed with a variance of 15.8 and standard deviation of 3.98. The mean deviation of Vipshop Holdings Limited is currently at 3.03. For similar time horizon, the selected benchmark (DOW) has volatility of 1.83
α
Alpha over DOW
=0.68
β
Beta against DOW=0.52
σ
Overall volatility
=3.98
Ir
Information ratio =0.15

Vipshop Holdings Return Volatility

Vipshop Holdings historical daily return volatility represents how much Vipshop Holdings stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The enterprise inherits 3.9753% risk (volatility on return distribution) over the 30 days horizon. By contrast, DOW inherits 1.8343% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About Vipshop Holdings Volatility

Volatility is a rate at which the price of Vipshop Holdings 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 Vipshop Holdings may increase or decrease. In other words, similar to Vipshop's beta indicator, it measures the risk of Vipshop Holdings and helps estimate the fluctuations that may happen in a short period of time. So if prices of Vipshop Holdings 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.
Vipshop Holdings Limited operates as an online discount retailer for various brands in the Peoples Republic of China. It operates through four segments, Vip.com, Shan Shan Outlets, Internet Finance, and Others. The company offers womens apparel, such as casual wear, jeans, dresses, outerwear, swimsuits, lingerie, pajamas, and maternity clothes mens apparel comprising casual and smart-casual T-shirts, polo shirts, jackets, pants, and underwear women and men casual and formal shoes and accessories that include belts, jewelry, watches, and glasses for women and men. It also provides handbags, which comprise purses, satchels, duffel bags, and wallets apparel, gears and accessories, furnishings and decor, toys, and games for boys, girls, infants, and toddlers sportswear, sports gear, and footwear for tennis, badminton, soccer, swimming, and other sporting activities and consumer electronic products, including computers, cell phones, digital cameras, and home appliances. In addition, the company offers skin care and cosmetic products, such as cleansers, lotions, face and body creams, face masks, sunscreens, foundations, lipsticks, eye shadows, and other cosmetics and home furnishings comprising bed and bath products, home decors, dining and tabletop items, and small household appliances. Further, it provides designer apparel, footwear, and accessories and snacks and health supplements, and occasion-based gifts and Internet finance services, which comprise consumer and supplier financing, and microcredit. The company offers its branded products through its vip.com and vipshop.com online platforms, as well as through its internet website and cellular phone application. Additionally, it offers warehousing, logistics, product procurement, research and development, technology development, and consulting services. The company was founded in 2008 and is headquartered in Guangzhou, the Peoples Republic of China.

Vipshop Holdings Investment Opportunity

Vipshop Holdings Limited has a volatility of 3.98 and is 2.17 times more volatile than DOW. 34  of all equities and portfolios are less risky than Vipshop Holdings. Compared to the overall equity markets, volatility of historical daily returns of Vipshop Holdings Limited is lower than 34 () of all global equities and portfolios over the last 30 days. Use Vipshop Holdings Limited to enhance returns of your portfolios. The stock experiences a large bullish trend. Check odds of Vipshop Holdings to be traded at $24.86 in 30 days. . Let's try to break down what Vipshop's beta means in this case. As returns on the market increase, Vipshop Holdings returns are expected to increase less than the market. However, during the bear market, the loss on holding Vipshop Holdings will be expected to be smaller as well.

Vipshop Holdings correlation with market

correlation synergy
Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Vipshop Holdings Limited and equity matching DJI index in the same portfolio.

Vipshop Holdings Additional Risk Indicators

The analysis of various secondary risk indicators of Vipshop Holdings is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Vipshop Holdings investment, and either accepting that risk or mitigating it. Along with some common measures of Vipshop Holdings 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 Performance0.3463
Market Risk Adjusted Performance1.46
Mean Deviation3.14
Semi Deviation2.88
Downside Deviation3.31
Coefficient Of Variation538.44
Standard Deviation4.16

Vipshop Holdings 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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