Erste Group (Romania) Volatility
| EBS Stock | 255.00 0.10 0.04% |
As of now, Erste Stock is very steady. Erste Group Bank secures Sharpe Ratio (or Efficiency) of 0.0379, which denotes the company had a 0.0379% return per unit of risk over the last 3 months. We have found thirty technical indicators for Erste Group Bank, which you can use to evaluate the volatility of the firm. Please confirm Erste Group's Coefficient Of Variation of 1782.09, mean deviation of 0.8946, and Downside Deviation of 1.23 to check if the risk estimate we provide is consistent with the expected return of 0.0456%.
Erste |
Erste 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 Erste daily returns, and it is calculated using variance and standard deviation. We also use Erste's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Erste Group volatility.
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Erste Group can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Erste Group at lower prices. For example, an investor can purchase Erste stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Erste Group's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.
Moving together with Erste Stock
Moving against Erste Stock
| 0.78 | ELGS | Electroarges S | PairCorr |
| 0.76 | CMP | Compa Sibiu | PairCorr |
| 0.64 | TRP | Teraplast Bist | PairCorr |
| 0.56 | IARV | IAR SA | PairCorr |
Erste Group Market Sensitivity And Downside Risk
Erste Group's beta coefficient measures the volatility of Erste 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 Erste stock's returns against your selected market. In other words, Erste Group's beta of 0.12 provides an investor with an approximation of how much risk Erste Group stock can potentially add to one of your existing portfolios. Erste Group Bank has relatively low volatility with skewness of 0.33 and kurtosis of 1.82. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Erste 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 Erste 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 Erste Group Bank Demand TrendCheck current 90 days Erste Group correlation with market (Dow Jones Industrial)Erste Beta |
Erste 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 | 1.2 |
It is essential to understand the difference between upside risk (as represented by Erste Group's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Erste Group's daily returns or price. Since the actual investment returns on holding a position in erste 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 Erste Group.
Erste Group Bank Stock Volatility Analysis
Volatility refers to the frequency at which Erste Group stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Erste Group's price changes. Investors will then calculate the volatility of Erste 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 Erste Group's volatility:
Historical Volatility
This type of stock volatility measures Erste Group's fluctuations based on previous trends. It's commonly used to predict Erste 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 Erste 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 Erste 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. Erste Group Bank 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.
Erste Group Projected Return Density Against Market
Assuming the 90 days trading horizon Erste Group has a beta of 0.1164 suggesting as returns on the market go up, Erste Group average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Erste Group Bank 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 Erste Group or Banks 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 Erste 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 Erste 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.
Erste Group Bank has an alpha of 0.0429, implying that it can generate a 0.0429 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives an Erste 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.Erste Group Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Erste Group is 2640.41. The daily returns are distributed with a variance of 1.45 and standard deviation of 1.2. The mean deviation of Erste Group Bank is currently at 0.88. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | 0.04 | |
β | Beta against Dow Jones | 0.12 | |
σ | Overall volatility | 1.20 | |
Ir | Information ratio | -0.06 |
Erste Group Stock Return Volatility
Erste Group historical daily return volatility represents how much of Erste Group stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm assumes 1.204% volatility of returns over the 90 days investment horizon. By contrast, Dow Jones Industrial accepts 0.7502% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Erste Group Volatility
Volatility is a rate at which the price of Erste 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 Erste Group may increase or decrease. In other words, similar to Erste's beta indicator, it measures the risk of Erste Group and helps estimate the fluctuations that may happen in a short period of time. So if prices of Erste 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.3 ways to utilize Erste Group's volatility to invest better
Higher Erste 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 Erste Group Bank 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. Erste Group Bank 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 Erste Group Bank investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Erste 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 Erste Group's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Erste Group Investment Opportunity
Erste Group Bank has a volatility of 1.2 and is 1.6 times more volatile than Dow Jones Industrial. 10 percent of all equities and portfolios are less risky than Erste Group. You can use Erste Group Bank to protect your portfolios against small market fluctuations. The stock experiences a normal downward trend and little activity. Check odds of Erste Group to be traded at 252.45 in 90 days.Significant diversification
The correlation between Erste Group Bank and DJI is 0.07 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Erste Group Bank and DJI in the same portfolio, assuming nothing else is changed.
Erste Group Additional Risk Indicators
The analysis of Erste 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 Erste Group's investment and either accepting that risk or mitigating it. Along with some common measures of Erste 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 | 0.0466 | |||
| Market Risk Adjusted Performance | 0.5066 | |||
| Mean Deviation | 0.8946 | |||
| Semi Deviation | 1.08 | |||
| Downside Deviation | 1.23 | |||
| Coefficient Of Variation | 1782.09 | |||
| Standard Deviation | 1.21 |
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.
Erste 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.
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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 Erste 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. Erste 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, Erste 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 Erste Group Bank.
Other Information on Investing in Erste Stock
Erste Group financial ratios help investors to determine whether Erste 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 Erste with respect to the benefits of owning Erste Group security.