Vale SA (Mexico) Volatility
| VALEN Stock | MXN 180.79 1.21 0.66% |
Vale SA owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.19, which indicates the firm had a -0.19% return per unit of risk over the last 3 months. Vale SA exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Vale SA's Risk Adjusted Performance of (0.06), variance of 5.05, and Coefficient Of Variation of (1,257) to confirm the risk estimate we provide. Key indicators related to Vale SA's volatility include:
90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Vale SA 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 Vale daily returns, and it is calculated using variance and standard deviation. We also use Vale's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Vale SA volatility.
Vale |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Vale SA 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 Vale SA at lower prices. For example, an investor can purchase Vale 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 Vale SA'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 Vale Stock
Moving against Vale Stock
| 0.77 | AMZN | Amazon Inc | PairCorr |
| 0.76 | PRU | Prudential Financial | PairCorr |
| 0.75 | BURL | Burlington Stores | PairCorr |
| 0.7 | KMX | CarMax Inc | PairCorr |
| 0.6 | HON | Honeywell International | PairCorr |
| 0.58 | FFIV | F5 Networks | PairCorr |
| 0.53 | AOS | A O Smith | PairCorr |
| 0.52 | HBCN | HSBC Holdings plc | PairCorr |
| 0.49 | BOLSAA | Bolsa Mexicana de | PairCorr |
Vale SA Market Sensitivity And Downside Risk
Vale SA's beta coefficient measures the volatility of Vale 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 Vale stock's returns against your selected market. In other words, Vale SA's beta of 0.33 provides an investor with an approximation of how much risk Vale SA stock can potentially add to one of your existing portfolios. Vale SA exhibits very low volatility with skewness of 0.35 and kurtosis of 1.66. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Vale SA'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 Vale SA'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 Vale SA Demand TrendCheck current 90 days Vale SA correlation with market (Dow Jones Industrial)Vale Beta |
Vale 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 Vale SA's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Vale SA's daily returns or price. Since the actual investment returns on holding a position in vale 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 Vale SA.
Vale SA Stock Volatility Analysis
Volatility refers to the frequency at which Vale SA stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Vale SA's price changes. Investors will then calculate the volatility of Vale SA'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 Vale SA's volatility:
Historical Volatility
This type of stock volatility measures Vale SA's fluctuations based on previous trends. It's commonly used to predict Vale SA'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 Vale SA'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 Vale SA'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. Vale SA 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.
Vale SA Projected Return Density Against Market
Assuming the 90 days trading horizon Vale SA has a beta of 0.3258 . This entails as returns on the market go up, Vale SA average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Vale SA 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 Vale SA or Basic Materials 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 Vale SA'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 Vale 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.
Vale SA 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 Vale SA 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.Vale SA Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Vale SA is -534.66. The daily returns are distributed with a variance of 4.09 and standard deviation of 2.02. The mean deviation of Vale SA is currently at 1.48. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | -0.2 | |
β | Beta against Dow Jones | 0.33 | |
σ | Overall volatility | 2.02 | |
Ir | Information ratio | -0.1 |
Vale SA Stock Return Volatility
Vale SA historical daily return volatility represents how much of Vale SA stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm accepts 2.0222% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.8097% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Vale SA Volatility
Volatility is a rate at which the price of Vale SA 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 Vale SA may increase or decrease. In other words, similar to Vale's beta indicator, it measures the risk of Vale SA and helps estimate the fluctuations that may happen in a short period of time. So if prices of Vale SA 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.Vale S.A., together with its subsidiaries, produces and sells iron ore and iron ore pellets for use as raw materials in steelmaking in Brazil and internationally. Vale S.A. was founded in 1942 and is headquartered in Rio de Janeiro, Brazil. VALE S operates under Industrial Metals Minerals classification in Mexico and is traded on Mexico Stock Exchange.
Vale SA'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 Vale Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Vale SA's price varies over time.
3 ways to utilize Vale SA's volatility to invest better
Higher Vale SA's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Vale SA 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. Vale SA 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 Vale SA investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Vale SA'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 Vale SA's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Vale SA Investment Opportunity
Vale SA has a volatility of 2.02 and is 2.49 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of Vale SA is lower than 18 percent of all global equities and portfolios over the last 90 days. You can use Vale SA to protect your portfolios against small market fluctuations. The stock experiences a moderate downward daily trend and can be a good diversifier. Check odds of Vale SA to be traded at 177.17 in 90 days.Average diversification
The correlation between Vale SA and DJI is 0.12 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Vale SA and DJI in the same portfolio, assuming nothing else is changed.
Vale SA Additional Risk Indicators
The analysis of Vale SA'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 Vale SA's investment and either accepting that risk or mitigating it. Along with some common measures of Vale SA 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 | (0.06) | |||
| Market Risk Adjusted Performance | (0.57) | |||
| Mean Deviation | 1.61 | |||
| Coefficient Of Variation | (1,257) | |||
| Standard Deviation | 2.25 | |||
| Variance | 5.05 | |||
| Information Ratio | (0.1) |
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.
Vale SA 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 Vale SA 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. Vale SA'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, Vale SA'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 Vale SA.
Other Information on Investing in Vale Stock
Vale SA financial ratios help investors to determine whether Vale 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 Vale with respect to the benefits of owning Vale SA security.