FNB ETN (South Africa) Volatility
| GSETNQ Etf | 3,190 47.00 1.45% |
FNB ETN appears to be very steady, given 3 months investment horizon. FNB ETN GSACHSQ retains Efficiency (Sharpe Ratio) of 0.28, which denotes the etf had a 0.28% return per unit of risk over the last 3 months. By reviewing FNB ETN's technical indicators, you can evaluate if the expected return of 0.9% is justified by implied risk. Please utilize FNB ETN's Coefficient Of Variation of 356.43, market risk adjusted performance of 2.12, and Standard Deviation of 3.22 to check if our risk estimates are consistent with your expectations.
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FNB ETN Etf 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 FNB daily returns, and it is calculated using variance and standard deviation. We also use FNB's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of FNB ETN volatility.
Downward market volatility can be a perfect environment for investors who play the long game with FNB ETN. They may decide to buy additional shares of FNB ETN at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
FNB ETN Market Sensitivity And Downside Risk
FNB ETN's beta coefficient measures the volatility of FNB etf 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 FNB etf's returns against your selected market. In other words, FNB ETN's beta of 0.42 provides an investor with an approximation of how much risk FNB ETN etf can potentially add to one of your existing portfolios. FNB ETN GSACHSQ has relatively low volatility with skewness of 2.93 and kurtosis of 10.78. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure FNB ETN's etf risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact FNB ETN's etf 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 FNB ETN GSACHSQ Demand TrendCheck current 90 days FNB ETN correlation with market (Dow Jones Industrial)FNB Beta |
FNB 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 | 3.22 |
It is essential to understand the difference between upside risk (as represented by FNB ETN's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of FNB ETN's daily returns or price. Since the actual investment returns on holding a position in fnb etf 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 FNB ETN.
FNB ETN GSACHSQ Etf Volatility Analysis
Volatility refers to the frequency at which FNB ETN etf price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with FNB ETN's price changes. Investors will then calculate the volatility of FNB ETN's etf to predict their future moves. A etf that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A etf with relatively stable price changes has low volatility. A highly volatile etf 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 FNB ETN's volatility:
Historical Volatility
This type of etf volatility measures FNB ETN's fluctuations based on previous trends. It's commonly used to predict FNB ETN's future behavior based on its past. However, it cannot conclusively determine the future direction of the etf.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for FNB ETN's current market price. This means that the etf will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on FNB ETN's to be redeemed at a future date.Transformation |
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FNB ETN Projected Return Density Against Market
Assuming the 90 days trading horizon FNB ETN has a beta of 0.4236 . This usually indicates as returns on the market go up, FNB ETN average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding FNB ETN GSACHSQ 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 FNB ETN or FNB 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 FNB ETN's price will be affected by overall etf 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 FNB etf'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.
FNB ETN GSACHSQ has an alpha of 0.8455, implying that it can generate a 0.85 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a FNB ETN Price Volatility?
Several factors can influence a etf'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.FNB ETN Etf Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of FNB ETN is 356.43. The daily returns are distributed with a variance of 10.38 and standard deviation of 3.22. The mean deviation of FNB ETN GSACHSQ is currently at 2.07. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.72
α | Alpha over Dow Jones | 0.85 | |
β | Beta against Dow Jones | 0.42 | |
σ | Overall volatility | 3.22 | |
Ir | Information ratio | 0.24 |
FNB ETN Etf Return Volatility
FNB ETN historical daily return volatility represents how much of FNB ETN etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The ETF accepts 3.222% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.732% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About FNB ETN Volatility
Volatility is a rate at which the price of FNB ETN 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 FNB ETN may increase or decrease. In other words, similar to FNB's beta indicator, it measures the risk of FNB ETN and helps estimate the fluctuations that may happen in a short period of time. So if prices of FNB ETN 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 FNB ETN's volatility to invest better
Higher FNB ETN's etf volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of FNB ETN GSACHSQ etf 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. FNB ETN GSACHSQ etf 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 FNB ETN GSACHSQ investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in FNB ETN's etf 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 FNB ETN's etf relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
FNB ETN Investment Opportunity
FNB ETN GSACHSQ has a volatility of 3.22 and is 4.41 times more volatile than Dow Jones Industrial. 28 percent of all equities and portfolios are less risky than FNB ETN. You can use FNB ETN GSACHSQ to protect your portfolios against small market fluctuations. The etf experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of FNB ETN to be traded at 3094.3 in 90 days.Average diversification
The correlation between FNB ETN GSACHSQ and DJI is 0.15 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding FNB ETN GSACHSQ and DJI in the same portfolio, assuming nothing else is changed.
FNB ETN Additional Risk Indicators
The analysis of FNB ETN'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 FNB ETN's investment and either accepting that risk or mitigating it. Along with some common measures of FNB ETN etf'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 | 0.2104 | |||
| Market Risk Adjusted Performance | 2.12 | |||
| Mean Deviation | 2.07 | |||
| Downside Deviation | 1.18 | |||
| Coefficient Of Variation | 356.43 | |||
| Standard Deviation | 3.22 | |||
| Variance | 10.38 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential etfs, we recommend comparing similar etfs with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
FNB ETN 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 FNB ETN 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. FNB ETN'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, FNB ETN'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 FNB ETN GSACHSQ.
Other Information on Investing in FNB Etf
FNB ETN financial ratios help investors to determine whether FNB Etf 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 FNB with respect to the benefits of owning FNB ETN security.