Kaman Stock Volatility

KAMN
 Stock
  

USD 34.24  0.63  1.81%   

We consider Kaman Corp very steady. Kaman Corp has Sharpe Ratio of 5.0E-4, which conveys that the firm had 5.0E-4% of return per unit of risk over the last 3 months. Our standpoint towards estimating 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-eight technical indicators for Kaman Corp, which you can use to evaluate the future volatility of the firm. Please verify Kaman Corp Risk Adjusted Performance of 0.0545, mean deviation of 1.78, and Downside Deviation of 2.35 to check out if the risk estimate we provide is consistent with the expected return of 0.0012%.
  
Kaman Corp 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 Kaman daily returns, and it is calculated using variance and standard deviation. We also use Kaman's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Kaman Corp volatility.

30 Days Market Risk

Very steady

Chance of Distress

30 Days Economic Sensitivity

Responds to the market
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Kaman Corp 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 Kaman Corp at lower prices. For example, an investor can purchase Kaman 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 Kaman Corp'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 Kaman Corp

0.82AIRAAR CorpPairCorr
0.75ASTCAstrotech CorpPairCorr

Moving against Kaman Corp

0.52BWXTBwx TechnologiesPairCorr

Kaman Corp Market Sensitivity And Downside Risk

Kaman Corp's beta coefficient measures the volatility of Kaman 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 Kaman stock's returns against your selected market. In other words, Kaman Corp's beta of 1.25 provides an investor with an approximation of how much risk Kaman Corp stock can potentially add to one of your existing portfolios.
Kaman Corp currently demonstrates below-average downside deviation. It has Information Ratio of 0.0 and Jensen Alpha of -0.03. However, we advise investors to further question Kaman Corp expected returns to ensure all indicators are consistent with the current outlook about its relatively low value at risk. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Kaman Corp's stock risk against market volatility during both bullying and bearish trends. The higher level of volatility that comes with bear markets can directly impact Kaman Corp'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 stocks as prices fall.

Kaman Corp Implied Volatility

Kaman Corp's implied volatility exposes the market's sentiment of Kaman Corp stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Kaman Corp'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 Kaman Corp stock will not fluctuate a lot when Kaman Corp's options are near their expiration.
3 Months Beta |Analyze Kaman Corp Demand Trend
Check current 90 days Kaman Corp correlation with market (DOW)

Kaman Beta

    
  1.25  
Kaman 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

    
  2.42  
It is essential to understand the difference between upside risk (as represented by Kaman Corp's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Kaman Corp's daily returns or price. Since the actual investment returns on holding a position in kaman 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 Kaman Corp.

Using Kaman Put Option to Manage Risk

Put options written on Kaman Corp grant holders of the option the right to sell a specified amount of Kaman Corp at a specified price within a specified time frame. The put buyer has a limited loss and, while not fully unlimited gains, as the price of Kaman Stock cannot fall below zero, the put buyer does gain as the price drops. So, one way investors can hedge Kaman Corp's position is by buying a put option against it. The put option used this way is usually referred to as insurance. If an undesired outcome occurs and loss on holding Kaman Corp will be realized, the loss incurred will be offset by the profits made with the option trade.

Kaman Corp's PUT expiring on 2022-08-19

   Profit   
Share
       Kaman Corp Price At Expiration  

Kaman Corp Stock Volatility Analysis

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

Historical Volatility

This type of stock volatility measures Kaman Corp's fluctuations based on previous trends. It's commonly used to predict Kaman Corp'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 Kaman Corp'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. Kaman Corp 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.
.

Kaman Corp Projected Return Density Against Market

Given the investment horizon of 90 days the stock has the beta coefficient of 1.2529 . This indicates as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Kaman Corp will likely underperform.
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 Kaman Corp 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 Kaman Corp'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 Kaman 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 a negative alpha, implying that the risk taken by holding this instrument is not justified. Kaman Corp is significantly underperforming DOW.
   Predicted Return Density   
       Returns  
Kaman Corp's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how kaman 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 Kaman Corp Price Volatility?

Several factors can influence a Stock'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.

Kaman Corp 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 Kaman Corp 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 Kaman Corp'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 Kaman 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 Kaman Corp is 204569.61. The daily returns are distributed with a variance of 5.88 and standard deviation of 2.42. The mean deviation of Kaman Corp is currently at 1.81. For similar time horizon, the selected benchmark (DOW) has volatility of 1.25
α
Alpha over DOW
-0.03
β
Beta against DOW1.25
σ
Overall volatility
2.42
Ir
Information ratio -0.0034

Kaman Corp Stock Return Volatility

Kaman Corp historical daily return volatility represents how much of Kaman Corp stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company inherits 2.4247% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 1.181% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
       Timeline  

About Kaman Corp Volatility

Volatility is a rate at which the price of Kaman Corp 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 Kaman Corp may increase or decrease. In other words, similar to Kaman's beta indicator, it measures the risk of Kaman Corp and helps estimate the fluctuations that may happen in a short period of time. So if prices of Kaman Corp 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 Capitalization1.2 B1.4 B
Kaman Corporation, together with its subsidiaries, operates in the aerospace, defense, medical, and industrial markets. Kaman Corporation was incorporated in 1945 and is headquartered in Bloomfield, Connecticut. Kaman Corp operates under Aerospace Defense classification in the United States and is traded on New York Stock Exchange. It employs 2846 people.

Kaman Corp Investment Opportunity

Kaman Corp has a volatility of 2.42 and is 2.05 times more volatile than DOW. 21  of all equities and portfolios are less risky than Kaman Corp. Compared to the overall equity markets, volatility of historical daily returns of Kaman Corp is lower than 21 () of all global equities and portfolios over the last 90 days.
Use Kaman Corp to protect your portfolios against small market fluctuations. Benchmarks are essential to demonstrate the utility of optimization algorithms. The stock experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Kaman Corp to be traded at $33.21 in 90 days. .

Poor diversification

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

Kaman Corp Additional Risk Indicators

The analysis of Kaman Corp'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 Kaman Corp's investment and either accepting that risk or mitigating it. Along with some common measures of Kaman Corp 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 Performance0.0545
Market Risk Adjusted Performance0.0782
Mean Deviation1.78
Semi Deviation2.29
Downside Deviation2.35
Coefficient Of Variation2506.78
Standard Deviation2.39
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.

Kaman Corp 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 Kaman Corp 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. Kaman Corp'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, Kaman Corp'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 Kaman Corp.
Please see Stocks Correlation. Note that the Kaman Corp information on this page should be used as a complementary analysis to other Kaman Corp'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 Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.

Complementary Tools for Kaman Stock analysis

When running Kaman Corp price analysis, check to measure Kaman Corp'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 Kaman Corp is operating at the current time. Most of Kaman Corp's value examination focuses on studying past and present price action to predict the probability of Kaman Corp's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Kaman Corp's price. Additionally, you may evaluate how the addition of Kaman Corp to your portfolios can decrease your overall portfolio volatility.
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Is Kaman Corp'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 Kaman Corp. If investors know Kaman 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 Kaman Corp 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
-0.67
Market Capitalization
959.1 M
Quarterly Revenue Growth YOY
-0.12
Return On Assets
0.0338
Return On Equity
0.041
The market value of Kaman Corp is measured differently than its book value, which is the value of Kaman that is recorded on the company's balance sheet. Investors also form their own opinion of Kaman Corp's value that differs from its market value or its book value, called intrinsic value, which is Kaman Corp'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 Kaman Corp's market value can be influenced by many factors that don't directly affect Kaman Corp'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 Kaman Corp's value and its price as these two are different measures arrived at by different means. Investors typically determine Kaman Corp value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Kaman Corp'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.