Penguen Gida (Turkey) Volatility
| PENGD Stock | TRY 9.52 0.86 9.93% |
Penguen Gida appears to be somewhat reliable, given 3 months investment horizon. Penguen Gida Sanayi maintains Sharpe Ratio (i.e., Efficiency) of 0.16, which implies the firm had a 0.16 % return per unit of risk over the last 3 months. By analyzing Penguen Gida's technical indicators, you can evaluate if the expected return of 0.57% is justified by implied risk. Please evaluate Penguen Gida's Semi Deviation of 2.23, risk adjusted performance of 0.1197, and Coefficient Of Variation of 828.62 to confirm if our risk estimates are consistent with your expectations. Key indicators related to Penguen Gida's volatility include:
90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Penguen Gida 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 Penguen daily returns, and it is calculated using variance and standard deviation. We also use Penguen's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Penguen Gida volatility.
Penguen |
Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Penguen Gida at lower prices. For example, an investor can purchase Penguen stock that has halved in price over a short period. This will lower their average cost per share, thereby improving the overall portfolio performance when market normalizes.
Moving against Penguen Stock
Penguen Gida Market Sensitivity And Downside Risk
Penguen Gida's beta coefficient measures the volatility of Penguen stock compared to the systematic risk of the entire 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 Penguen stock's returns against your selected market. In other words, Penguen Gida's beta of 0.31 provides an investor with an approximation of how much risk Penguen Gida stock can potentially add to one of your existing portfolios. Penguen Gida Sanayi currently demonstrates below-average downside deviation. It has Information Ratio of 0.08 and Jensen Alpha of 0.33. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Penguen Gida's stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Penguen Gida's stock price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze Penguen Gida Sanayi Demand TrendCheck current 90 days Penguen Gida correlation with market (Dow Jones Industrial)Penguen Beta |
Penguen standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Standard Deviation | 3.49 |
It is essential to understand the difference between upside risk (as represented by Penguen Gida's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Penguen Gida's daily returns or price. Since the actual investment returns on holding a position in penguen 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 Penguen Gida.
Penguen Gida Sanayi Stock Volatility Analysis
Volatility refers to the frequency at which Penguen Gida stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Penguen Gida's price changes. Investors will then calculate the volatility of Penguen Gida's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Penguen Gida's volatility:
Historical Volatility
This type of stock volatility measures Penguen Gida's fluctuations based on previous trends. It's commonly used to predict Penguen Gida's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Penguen Gida's current market price. This means that the stock will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Penguen Gida's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Penguen Gida Sanayi 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.
Penguen Gida Projected Return Density Against Market
Assuming the 90 days trading horizon Penguen Gida has a beta of 0.3089 indicating as returns on the market go up, Penguen Gida average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Penguen Gida Sanayi will be expected to be much smaller as well.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 Penguen Gida or Food Products 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 Penguen Gida'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 Penguen 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.
Penguen Gida Sanayi has an alpha of 0.3291, implying that it can generate a 0.33 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Penguen Gida Price Volatility?
Several factors can influence a stock's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Penguen Gida Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Penguen Gida is 608.52. The daily returns are distributed with a variance of 12.19 and standard deviation of 3.49. The mean deviation of Penguen Gida Sanayi is currently at 2.62. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.93
α | Alpha over Dow Jones | 0.33 | |
β | Beta against Dow Jones | 0.31 | |
σ | Overall volatility | 3.49 | |
Ir | Information ratio | 0.08 |
Penguen Gida Stock Return Volatility
Penguen Gida historical daily return volatility represents how much of Penguen Gida stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm accepts 3.4916% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.8415% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Penguen Gida Volatility
Volatility is a rate at which the price of Penguen Gida 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 Penguen Gida may increase or decrease. In other words, similar to Penguen's beta indicator, it measures the risk of Penguen Gida and helps estimate the fluctuations that may happen in a short period of time. So if prices of Penguen Gida 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.Penguen Gida Sanayi A.S. produces and sells fruit and vegetable products primarily in Turkey. Penguen Gida Sanayi A.S. was founded in 1989 and is based in Bursa, Turkey. PENGUEN GIDA operates under Packaged Foods classification in Turkey and is traded on Istanbul Stock Exchange.
Penguen Gida's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Penguen Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Penguen Gida's price varies over time.
3 ways to utilize Penguen Gida's volatility to invest better
Higher Penguen Gida's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Penguen Gida Sanayi stock is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Penguen Gida Sanayi stock volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Penguen Gida Sanayi investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Penguen Gida's stock can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of Penguen Gida's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Penguen Gida Investment Opportunity
Penguen Gida Sanayi has a volatility of 3.49 and is 4.15 times more volatile than Dow Jones Industrial. 31 percent of all equities and portfolios are less risky than Penguen Gida. You can use Penguen Gida Sanayi to enhance the returns of your portfolios. The stock experiences a very speculative upward sentiment. Check odds of Penguen Gida to be traded at 11.9 in 90 days.Significant diversification
The correlation between Penguen Gida Sanayi and DJI is 0.09 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Penguen Gida Sanayi and DJI in the same portfolio, assuming nothing else is changed.
Penguen Gida Additional Risk Indicators
The analysis of Penguen Gida's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Penguen Gida's investment and either accepting that risk or mitigating it. Along with some common measures of Penguen Gida stock's 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 the risk of your existing portfolios.
| Risk Adjusted Performance | 0.1197 | |||
| Market Risk Adjusted Performance | 1.21 | |||
| Mean Deviation | 2.34 | |||
| Semi Deviation | 2.23 | |||
| Downside Deviation | 2.49 | |||
| Coefficient Of Variation | 828.62 | |||
| Standard Deviation | 3.14 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stocks, we recommend comparing similar stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Penguen Gida 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.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Penguen Gida as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Penguen Gida's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Penguen Gida's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Penguen Gida Sanayi.
Complementary Tools for Penguen Stock analysis
When running Penguen Gida's price analysis, check to measure Penguen Gida's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Penguen Gida is operating at the current time. Most of Penguen Gida's value examination focuses on studying past and present price action to predict the probability of Penguen Gida's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Penguen Gida's price. Additionally, you may evaluate how the addition of Penguen Gida to your portfolios can decrease your overall portfolio volatility.
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