Nilfisk Holding (Denmark) Volatility
| NLFSK Stock | DKK 106.60 0.20 0.19% |
Nilfisk Holding AS has Sharpe Ratio of -0.15, which conveys that the firm had a -0.15% return per unit of risk over the last 3 months. Nilfisk Holding exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Nilfisk Holding's Mean Deviation of 1.3, standard deviation of 2.04, and Risk Adjusted Performance of (0.11) to check out the risk estimate we provide. Key indicators related to Nilfisk Holding's volatility include:
90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Nilfisk Holding 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 Nilfisk daily returns, and it is calculated using variance and standard deviation. We also use Nilfisk's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Nilfisk Holding volatility.
Nilfisk |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Nilfisk Holding can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game as hey may decide to buy additional stocks of Nilfisk Holding at lower prices to lower their average cost per share. Similarly, when the prices of Nilfisk Holding's stock rise, investors can sell out and invest the proceeds in other equities with better opportunities.
Moving together with Nilfisk Stock
| 0.82 | JYSK | Jyske Bank AS | PairCorr |
| 0.61 | NOVO-B | Novo Nordisk AS | PairCorr |
| 0.84 | ORSTED | Orsted AS | PairCorr |
| 0.88 | CARL-A | Carlsberg AS | PairCorr |
Moving against Nilfisk Stock
| 0.9 | RILBA | Ringkjoebing Landbobank | PairCorr |
| 0.61 | SYDB | Sydbank AS | PairCorr |
| 0.53 | SPNO | Spar Nord Bank | PairCorr |
Nilfisk Holding Market Sensitivity And Downside Risk
Nilfisk Holding's beta coefficient measures the volatility of Nilfisk 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 Nilfisk stock's returns against your selected market. In other words, Nilfisk Holding's beta of 0.27 provides an investor with an approximation of how much risk Nilfisk Holding stock can potentially add to one of your existing portfolios. Nilfisk Holding AS exhibits very low volatility with skewness of -1.85 and kurtosis of 7.99. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Nilfisk Holding'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 Nilfisk Holding'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 Nilfisk Holding AS Demand TrendCheck current 90 days Nilfisk Holding correlation with market (Dow Jones Industrial)Nilfisk Beta |
Nilfisk 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 | 2.02 |
It is essential to understand the difference between upside risk (as represented by Nilfisk Holding's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Nilfisk Holding's daily returns or price. Since the actual investment returns on holding a position in nilfisk 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 Nilfisk Holding.
Nilfisk Holding AS Stock Volatility Analysis
Volatility refers to the frequency at which Nilfisk Holding stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Nilfisk Holding's price changes. Investors will then calculate the volatility of Nilfisk Holding'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 Nilfisk Holding's volatility:
Historical Volatility
This type of stock volatility measures Nilfisk Holding's fluctuations based on previous trends. It's commonly used to predict Nilfisk Holding'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 Nilfisk Holding'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 Nilfisk Holding'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. Nilfisk Holding AS 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.
Nilfisk Holding Projected Return Density Against Market
Assuming the 90 days trading horizon Nilfisk Holding has a beta of 0.2655 . This indicates as returns on the market go up, Nilfisk Holding average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Nilfisk Holding AS 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 Nilfisk Holding or Machinery 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 Nilfisk Holding'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 Nilfisk 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.
Nilfisk Holding AS 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 Nilfisk Holding 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.Nilfisk Holding Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Nilfisk Holding is -682.39. The daily returns are distributed with a variance of 4.08 and standard deviation of 2.02. The mean deviation of Nilfisk Holding AS is currently at 1.26. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | -0.35 | |
β | Beta against Dow Jones | 0.27 | |
σ | Overall volatility | 2.02 | |
Ir | Information ratio | -0.22 |
Nilfisk Holding Stock Return Volatility
Nilfisk Holding historical daily return volatility represents how much of Nilfisk Holding stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm accepts 2.0193% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7444% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Nilfisk Holding Volatility
Volatility is a rate at which the price of Nilfisk Holding 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 Nilfisk Holding may increase or decrease. In other words, similar to Nilfisk's beta indicator, it measures the risk of Nilfisk Holding and helps estimate the fluctuations that may happen in a short period of time. So if prices of Nilfisk Holding 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.Nilfisk Holding AS manufactures and sells cleaning products and services worldwide. Nilfisk Holding AS was founded in 1906 and is headquartered in Brndby, Denmark. Nilfisk Holding operates under Diversified Industrials classification in Denmark and is traded on Copenhagen Stock Exchange. It employs 5319 people.
Nilfisk Holding'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 Nilfisk Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Nilfisk Holding's price varies over time.
3 ways to utilize Nilfisk Holding's volatility to invest better
Higher Nilfisk Holding's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Nilfisk Holding AS 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. Nilfisk Holding AS 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 Nilfisk Holding AS investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Nilfisk Holding'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 Nilfisk Holding's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Nilfisk Holding Investment Opportunity
Nilfisk Holding AS has a volatility of 2.02 and is 2.73 times more volatile than Dow Jones Industrial. 17 percent of all equities and portfolios are less risky than Nilfisk Holding. You can use Nilfisk Holding AS to enhance the returns of your portfolios. The stock experiences a normal upward fluctuation. Check odds of Nilfisk Holding to be traded at kr111.93 in 90 days.Average diversification
The correlation between Nilfisk Holding AS and DJI is 0.1 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Nilfisk Holding AS and DJI in the same portfolio, assuming nothing else is changed.
Nilfisk Holding Additional Risk Indicators
The analysis of Nilfisk Holding'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 Nilfisk Holding's investment and either accepting that risk or mitigating it. Along with some common measures of Nilfisk Holding 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 | (0.11) | |||
| Market Risk Adjusted Performance | (1.17) | |||
| Mean Deviation | 1.3 | |||
| Coefficient Of Variation | (668.86) | |||
| Standard Deviation | 2.04 | |||
| Variance | 4.15 | |||
| Information Ratio | (0.22) |
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.
Nilfisk Holding 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 Nilfisk Holding 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. Nilfisk Holding'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, Nilfisk Holding'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 Nilfisk Holding AS.
Complementary Tools for Nilfisk Stock analysis
When running Nilfisk Holding's price analysis, check to measure Nilfisk Holding'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 Nilfisk Holding is operating at the current time. Most of Nilfisk Holding's value examination focuses on studying past and present price action to predict the probability of Nilfisk Holding's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Nilfisk Holding's price. Additionally, you may evaluate how the addition of Nilfisk Holding to your portfolios can decrease your overall portfolio volatility.
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