CPL Group (Thailand) Volatility
| CPL Stock | THB 1.24 0.02 1.59% |
CPL Group Public secures Sharpe Ratio (or Efficiency) of -0.19, which signifies that the company had a -0.19% return per unit of return volatility over the last 3 months. CPL Group Public exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm CPL Group's Risk Adjusted Performance of (0.14), coefficient of variation of (509.85), and Mean Deviation of 1.47 to double-check the risk estimate we provide. Key indicators related to CPL Group's volatility include:
30 Days Market Risk | Chance Of Distress | 30 Days Economic Sensitivity |
CPL Group 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 CPL daily returns, and it is calculated using variance and standard deviation. We also use CPL's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of CPL Group volatility.
CPL |
Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of CPL Group at lower prices. For example, an investor can purchase CPL 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 together with CPL Stock
| 0.85 | ASAP | Synergetic Auto Perf | PairCorr |
| 0.79 | CHOW | Chow Steel Industries | PairCorr |
| 0.93 | ASK | Asia Sermkij Leasing | PairCorr |
| 0.83 | THANI | Ratchthani Leasing Public | PairCorr |
Moving against CPL Stock
CPL Group Market Sensitivity And Downside Risk
CPL Group's beta coefficient measures the volatility of CPL 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 CPL stock's returns against your selected market. In other words, CPL Group's beta of -0.44 provides an investor with an approximation of how much risk CPL Group stock can potentially add to one of your existing portfolios. CPL Group Public exhibits very low volatility with skewness of 2.49 and kurtosis of 13.43. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure CPL Group'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 CPL Group'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 CPL Group Public Demand TrendCheck current 90 days CPL Group correlation with market (Dow Jones Industrial)CPL Beta |
CPL 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 | 2.36 |
It is essential to understand the difference between upside risk (as represented by CPL Group's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of CPL Group's daily returns or price. Since the actual investment returns on holding a position in cpl 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 CPL Group.
CPL Group Public Stock Volatility Analysis
Volatility refers to the frequency at which CPL Group stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with CPL Group's price changes. Investors will then calculate the volatility of CPL Group'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 CPL Group's volatility:
Historical Volatility
This type of stock volatility measures CPL Group's fluctuations based on previous trends. It's commonly used to predict CPL Group'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 CPL Group'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 CPL Group'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. CPL Group Public 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.
CPL Group Projected Return Density Against Market
Assuming the 90 days trading horizon CPL Group Public has a beta of -0.4407 suggesting as returns on the benchmark increase, returns on holding CPL Group are expected to decrease at a much lower rate. During a bear market, however, CPL Group Public is likely to outperform the market.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 CPL Group or Textiles, Apparel & Luxury Goods 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 CPL Group'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 CPL 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.
CPL Group Public has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming the Dow Jones Industrial. Predicted Return Density |
| Returns |
What Drives a CPL Group 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.CPL Group Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of CPL Group is -533.66. The daily returns are distributed with a variance of 5.59 and standard deviation of 2.36. The mean deviation of CPL Group Public is currently at 1.41. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.73
α | Alpha over Dow Jones | -0.44 | |
β | Beta against Dow Jones | -0.44 | |
σ | Overall volatility | 2.36 | |
Ir | Information ratio | -0.24 |
CPL Group Stock Return Volatility
CPL Group historical daily return volatility represents how much of CPL Group stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company assumes 2.3633% volatility of returns over the 90 days investment horizon. By contrast, Dow Jones Industrial accepts 0.7242% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About CPL Group Volatility
Volatility is a rate at which the price of CPL Group 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 CPL Group may increase or decrease. In other words, similar to CPL's beta indicator, it measures the risk of CPL Group and helps estimate the fluctuations that may happen in a short period of time. So if prices of CPL Group 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.CPL Group Public Company Limited manufactures and distributes leather products in Thailand. CPL Group Public Company Limited was founded in 1945 and is headquartered in Samutprakarn, Thailand. CPL GROUP operates under Footwear Accessories classification in Thailand and is traded on Stock Exchange of Thailand.
CPL Group'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 CPL Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much CPL Group's price varies over time.
3 ways to utilize CPL Group's volatility to invest better
Higher CPL Group's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of CPL Group Public 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. CPL Group Public 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 CPL Group Public investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in CPL Group'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 CPL Group's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
CPL Group Investment Opportunity
CPL Group Public has a volatility of 2.36 and is 3.28 times more volatile than Dow Jones Industrial. 21 percent of all equities and portfolios are less risky than CPL Group. You can use CPL Group Public to protect your portfolios against small market fluctuations. The stock experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of CPL Group to be traded at 1.2028 in 90 days.Good diversification
The correlation between CPL Group Public and DJI is -0.13 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding CPL Group Public and DJI in the same portfolio, assuming nothing else is changed.
CPL Group Additional Risk Indicators
The analysis of CPL Group'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 CPL Group's investment and either accepting that risk or mitigating it. Along with some common measures of CPL Group 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 | (0.14) | |||
| Market Risk Adjusted Performance | 1.09 | |||
| Mean Deviation | 1.47 | |||
| Coefficient Of Variation | (509.85) | |||
| Standard Deviation | 2.38 | |||
| Variance | 5.68 | |||
| Information Ratio | (0.24) |
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.
CPL Group 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 CPL Group 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. CPL Group'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, CPL Group'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 CPL Group Public.
Other Information on Investing in CPL Stock
CPL Group financial ratios help investors to determine whether CPL Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in CPL with respect to the benefits of owning CPL Group security.