Aerojet Stock Volatility

AJRD -  USA Stock  

USD 40.14  1.28  3.29%

We consider Aerojet Rocketdyne very steady. Aerojet Rocketdyne secures Sharpe Ratio (or Efficiency) of 0.0362, which signifies that the company had 0.0362% of return per unit of risk over the last 3 months. Our standpoint towards foreseeing the volatility of a stock is to use all available market data together with stock-specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Aerojet Rocketdyne Holdings, which you can use to evaluate the future volatility of the firm. Please confirm Aerojet Rocketdyne Mean Deviation of 1.3, risk adjusted performance of 0.0143, and Downside Deviation of 1.6 to double-check if the risk estimate we provide is consistent with the expected return of 0.0652%.
  
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Aerojet Rocketdyne 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 Aerojet daily returns, and it is calculated using variance and standard deviation. We also use Aerojet's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Aerojet Rocketdyne volatility.

30 Days Market Risk

Very steady

Chance of Distress

30 Days Economic Sensitivity

Ignores market trends
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Aerojet Rocketdyne 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 Aerojet Rocketdyne at lower prices. For example, an investor can purchase Aerojet 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 Aerojet Rocketdyne'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 Aerojet Rocketdyne

0.74AIRAAR Corp Financial Report 19th of July 2022 PairCorr

Aerojet Rocketdyne Market Sensitivity And Downside Risk

Aerojet Rocketdyne's beta coefficient measures the volatility of Aerojet stock compared to the systematic risk of the entire stock 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 Aerojet stock's returns against your selected market. In other words, Aerojet Rocketdyne's beta of 0.59 provides an investor with an approximation of how much risk Aerojet Rocketdyne stock can potentially add to one of your existing portfolios.
Let's try to break down what Aerojet's beta means in this case. As returns on the market increase, Aerojet Rocketdyne returns are expected to increase less than the market. However, during the bear market, the loss on holding Aerojet Rocketdyne will be expected to be smaller as well.
3 Months Beta |Analyze Aerojet Rocketdyne Demand Trend
Check current 90 days Aerojet Rocketdyne correlation with market (DOW)

Aerojet Beta

    
  0.59  
Aerojet standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity 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

    
  1.8  
It is essential to understand the difference between upside risk (as represented by Aerojet Rocketdyne's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Aerojet Rocketdyne stock's daily returns or price. Since the actual investment returns on holding a position in Aerojet Rocketdyne 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 Aerojet Rocketdyne.

Aerojet Rocketdyne Implied Volatility

    
  23.84  
Aerojet Rocketdyne's implied volatility exposes the market's sentiment of Aerojet Rocketdyne Holdings stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Aerojet Rocketdyne's implied volatility is high, the market thinks the stock has potential for high price swings in either direction. On the other hand, the low implied volatility suggests that Aerojet Rocketdyne stock will not fluctuate a lot when Aerojet Rocketdyne's options are near their expiration.

Aerojet Rocketdyne Stock Volatility Analysis

Volatility refers to the frequency at which Aerojet Rocketdyne stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Aerojet Rocketdyne's price changes. Investors will then calculate the volatility of Aerojet Rocketdyne'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 Aerojet Rocketdyne's volatility:

Historical Volatility

This type of stock volatility measures Aerojet Rocketdyne's fluctuations based on previous trends. It's commonly used to predict Aerojet Rocketdyne'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 Aerojet Rocketdyne's current market price. This means that the stock will return to its initially predicted market price.
Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Aerojet Rocketdyne 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.
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Aerojet Rocketdyne Projected Return Density Against Market

Given the investment horizon of 90 days Aerojet Rocketdyne has a beta of 0.5851 . This suggests as returns on the market go up, Aerojet Rocketdyne average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Aerojet Rocketdyne Holdings 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 Aerojet Rocketdyne or Industrials 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 Aerojet Rocketdyne stock'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 Aerojet 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.
The company has an alpha of 0.0939, implying that it can generate a 0.0939 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Aerojet Rocketdyne's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Aerojet Rocketdyne stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Company's Stock Price Volatility?

Several factors can influence a company's stock 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.

Aerojet Rocketdyne Stock Risk Measures

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 Aerojet Rocketdyne or Industrials 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 Aerojet Rocketdyne stock'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 Aerojet 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.
Given the investment horizon of 90 days the coefficient of variation of Aerojet Rocketdyne is 2765.56. The daily returns are distributed with a variance of 3.25 and standard deviation of 1.8. The mean deviation of Aerojet Rocketdyne Holdings is currently at 1.27. For similar time horizon, the selected benchmark (DOW) has volatility of 1.42
α
Alpha over DOW
0.09
β
Beta against DOW0.59
σ
Overall volatility
1.80
Ir
Information ratio 0.09

Aerojet Rocketdyne Stock Return Volatility

Aerojet Rocketdyne historical daily return volatility represents how much Aerojet Rocketdyne stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The firm inherits 1.8018% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 1.4496% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Aerojet Rocketdyne Volatility

Volatility is a rate at which the price of Aerojet Rocketdyne 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 Aerojet Rocketdyne may increase or decrease. In other words, similar to Aerojet's beta indicator, it measures the risk of Aerojet Rocketdyne and helps estimate the fluctuations that may happen in a short period of time. So if prices of Aerojet Rocketdyne 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.
Last ReportedProjected for 2022
Market Capitalization3.8 B3.1 B
Aerojet Rocketdyne Holdings, Inc. designs, develops, manufactures, and sells aerospace and defense products and systems in the United States. Aerojet Rocketdyne Holdings, Inc. was incorporated in 1915 and is headquartered in El Segundo, California. Aerojet Rocketdyne operates under Aerospace Defense classification in the United States and is traded on New York Stock Exchange. It employs 5000 people.

Aerojet Rocketdyne Investment Opportunity

Aerojet Rocketdyne Holdings has a volatility of 1.8 and is 1.24 times more volatile than DOW. 15  of all equities and portfolios are less risky than Aerojet Rocketdyne. Compared to the overall equity markets, volatility of historical daily returns of Aerojet Rocketdyne Holdings is lower than 15 () of all global equities and portfolios over the last 90 days. Use Aerojet Rocketdyne Holdings to enhance the returns of your portfolios. The stock experiences an unexpected upward trend. Watch out for market signals. Check odds of Aerojet Rocketdyne to be traded at $48.17 in 90 days. . Let's try to break down what Aerojet's beta means in this case. As returns on the market increase, Aerojet Rocketdyne returns are expected to increase less than the market. However, during the bear market, the loss on holding Aerojet Rocketdyne will be expected to be smaller as well.

Very weak diversification

The correlation between Aerojet Rocketdyne Holdings and DJI is Very weak diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Aerojet Rocketdyne Holdings and DJI in the same portfolio, assuming nothing else is changed.

Aerojet Rocketdyne Additional Risk Indicators

The analysis of Aerojet Rocketdyne'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 Aerojet Rocketdyne's investment and either accepting that risk or mitigating it. Along with some common measures of Aerojet Rocketdyne stock 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 Performance0.0143
Market Risk Adjusted Performance0.0194
Mean Deviation1.3
Semi Deviation1.57
Downside Deviation1.6
Coefficient Of Variation11650.98
Standard Deviation1.81
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Aerojet Rocketdyne 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 Aerojet Rocketdyne 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. Aerojet Rocketdyne'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, Aerojet Rocketdyne'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 Aerojet Rocketdyne Holdings.
Please continue to Trending Equities. Note that the Aerojet Rocketdyne information on this page should be used as a complementary analysis to other Aerojet Rocketdyne's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.

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Is Aerojet Rocketdyne's industry expected to grow? Or is there an opportunity to expand the business' product line in the future? Factors like these will boost the valuation of Aerojet Rocketdyne. If investors know Aerojet will grow in the future, the company's valuation will be higher. The financial industry is built on trying to define current growth potential and future valuation accurately. All the valuation information about Aerojet Rocketdyne listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.
Quarterly Earnings Growth YOY
0.51
Market Capitalization
3.1 B
Quarterly Revenue Growth YOY
0.03
Return On Assets
0.0679
Return On Equity
0.37
The market value of Aerojet Rocketdyne is measured differently than its book value, which is the value of Aerojet that is recorded on the company's balance sheet. Investors also form their own opinion of Aerojet Rocketdyne's value that differs from its market value or its book value, called intrinsic value, which is Aerojet Rocketdyne's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Aerojet Rocketdyne's market value can be influenced by many factors that don't directly affect Aerojet Rocketdyne's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Aerojet Rocketdyne's value and its price as these two are different measures arrived at by different means. Investors typically determine Aerojet Rocketdyne value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Aerojet Rocketdyne's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.