CBAAU 4899236 07 JUL 25 Volatility
| 2027A0KG3 | 100.08 0.00 0.00% |
At this point, CBAAU is very steady. CBAAU 4899236 07 retains Efficiency (Sharpe Ratio) of 0.0234, which signifies that the bond had a 0.0234% return per unit of risk over the last 3 months. We have found twenty-five technical indicators for CBAAU, which you can use to evaluate the volatility of the entity. Please confirm CBAAU's coefficient of variation of 4281.52, and Market Risk Adjusted Performance of (1.35) to double-check if the risk estimate we provide is consistent with the expected return of 0.0021%.
CBAAU |
CBAAU Bond 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 CBAAU daily returns, and it is calculated using variance and standard deviation. We also use CBAAU's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of CBAAU volatility.
Downward market volatility can be a perfect environment for investors who play the long game with CBAAU. They may decide to buy additional shares of CBAAU at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving against CBAAU Bond
| 0.4 | JNJ | Johnson Johnson Fiscal Year End 28th of January 2025 | PairCorr |
CBAAU Market Sensitivity And Downside Risk
CBAAU's beta coefficient measures the volatility of CBAAU bond 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 CBAAU bond's returns against your selected market. In other words, CBAAU's beta of 0.0058 provides an investor with an approximation of how much risk CBAAU bond can potentially add to one of your existing portfolios. CBAAU 4899236 07 JUL 25 exhibits very low volatility with skewness of -1.06 and kurtosis of 7.07. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure CBAAU's bond risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact CBAAU's bond 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 CBAAU 4899236 07 Demand TrendCheck current 90 days CBAAU correlation with market (Dow Jones Industrial)CBAAU Beta |
CBAAU 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 | 0.091 |
It is essential to understand the difference between upside risk (as represented by CBAAU's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of CBAAU's daily returns or price. Since the actual investment returns on holding a position in cbaau bond 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 CBAAU.
CBAAU 4899236 07 Bond Volatility Analysis
Volatility refers to the frequency at which CBAAU bond price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with CBAAU's price changes. Investors will then calculate the volatility of CBAAU's bond to predict their future moves. A bond that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A bond with relatively stable price changes has low volatility. A highly volatile bond 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 CBAAU's volatility:
Historical Volatility
This type of bond volatility measures CBAAU's fluctuations based on previous trends. It's commonly used to predict CBAAU's future behavior based on its past. However, it cannot conclusively determine the future direction of the bond.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for CBAAU's current market price. This means that the bond will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on CBAAU'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. CBAAU 4899236 07 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.
CBAAU Projected Return Density Against Market
Assuming the 90 days trading horizon CBAAU has a beta of 0.0058 . This usually implies as returns on the market go up, CBAAU average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding CBAAU 4899236 07 JUL 25 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 CBAAU or CBAAU 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 CBAAU's price will be affected by overall bond 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 CBAAU bond'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.
CBAAU 4899236 07 JUL 25 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 CBAAU Price Volatility?
Several factors can influence a bond'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.CBAAU Bond Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of CBAAU is 4281.52. The daily returns are distributed with a variance of 0.01 and standard deviation of 0.09. The mean deviation of CBAAU 4899236 07 JUL 25 is currently at 0.05. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | -0.0085 | |
β | Beta against Dow Jones | 0.01 | |
σ | Overall volatility | 0.09 | |
Ir | Information ratio | -1.22 |
CBAAU Bond Return Volatility
CBAAU historical daily return volatility represents how much of CBAAU bond's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. CBAAU 4899236 07 JUL 25 accepts 0.091% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7483% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About CBAAU Volatility
Volatility is a rate at which the price of CBAAU 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 CBAAU may increase or decrease. In other words, similar to CBAAU's beta indicator, it measures the risk of CBAAU and helps estimate the fluctuations that may happen in a short period of time. So if prices of CBAAU 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 CBAAU's volatility to invest better
Higher CBAAU's bond volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of CBAAU 4899236 07 bond 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. CBAAU 4899236 07 bond 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 CBAAU 4899236 07 investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in CBAAU's bond 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 CBAAU's bond relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
CBAAU Investment Opportunity
Dow Jones Industrial has a standard deviation of returns of 0.75 and is 8.33 times more volatile than CBAAU 4899236 07 JUL 25. 0 percent of all equities and portfolios are less risky than CBAAU. You can use CBAAU 4899236 07 JUL 25 to protect your portfolios against small market fluctuations. The bond experiences a normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of CBAAU to be traded at 99.08 in 90 days.Significant diversification
The correlation between CBAAU 4899236 07 JUL 25 and DJI is 0.06 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding CBAAU 4899236 07 JUL 25 and DJI in the same portfolio, assuming nothing else is changed.
CBAAU Additional Risk Indicators
The analysis of CBAAU'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 CBAAU's investment and either accepting that risk or mitigating it. Along with some common measures of CBAAU bond'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 | (0.06) | |||
| Market Risk Adjusted Performance | (1.35) | |||
| Mean Deviation | 0.0503 | |||
| Semi Deviation | 0.0889 | |||
| Downside Deviation | 0.1369 | |||
| Coefficient Of Variation | 4281.52 | |||
| Standard Deviation | 0.091 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential bonds, we recommend comparing similar bonds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
CBAAU 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 CBAAU 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. CBAAU'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, CBAAU'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 CBAAU 4899236 07 JUL 25.
Other Information on Investing in CBAAU Bond
CBAAU financial ratios help investors to determine whether CBAAU Bond 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 CBAAU with respect to the benefits of owning CBAAU security.