Arbor Stock Volatility

ABR
 Stock
  

USD 12.43  0.48  3.72%   

Arbor Realty Trust secures Sharpe Ratio (or Efficiency) of -0.0227, which signifies that the company had -0.0227% of return per unit of standard deviation over the last 3 months. Macroaxis philosophy in foreseeing the risk of any stock is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. Arbor Realty Trust exposes twenty-seven different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Arbor Realty Trust mean deviation of 1.65, and Risk Adjusted Performance of 0.0178 to double-check the risk estimate we provide.
  
Arbor Realty 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 Arbor daily returns, and it is calculated using variance and standard deviation. We also use Arbor's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Arbor Realty volatility.

720 Days Market Risk

Not too volatile

Chance of Distress

Close to Average

720 Days Economic Sensitivity

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

+0.79AGNCOAgnc Investment CorpPairCorr
+0.87NLYAnnaly Capital Management SplitPairCorr
+0.65AGNCNAgnc Investment CorpPairCorr
+0.9STWDStarwood Property TrustPairCorr
+0.76AGNCPAgnc Investment CorpPairCorr
+0.88AGNCAgnc Investment Corp TrendingPairCorr
+0.71NRZNew Residential InvePairCorr

Moving against Arbor Realty

-0.69HROEYHirose ElectricPairCorr

Arbor Realty Market Sensitivity And Downside Risk

Arbor Realty's beta coefficient measures the volatility of Arbor 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 Arbor stock's returns against your selected market. In other words, Arbor Realty's beta of 1.23 provides an investor with an approximation of how much risk Arbor Realty stock can potentially add to one of your existing portfolios.
Arbor Realty Trust currently demonstrates below-average downside deviation. It has Information Ratio of 0.03 and Jensen Alpha of 0.07. However, we advise investors to further question Arbor Realty Trust 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 Arbor Realty'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 Arbor Realty'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.
3 Months Beta |Analyze Arbor Realty Trust Demand Trend
Check current 90 days Arbor Realty correlation with market (DOW)

Arbor Beta

    
  1.23  
Arbor 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

    
  2.14  
It is essential to understand the difference between upside risk (as represented by Arbor Realty's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Arbor Realty's daily returns or price. Since the actual investment returns on holding a position in arbor 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 Arbor Realty.

Using Arbor Put Option to Manage Risk

Put options written on Arbor Realty grant holders of the option the right to sell a specified amount of Arbor Realty 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 Arbor Stock cannot fall below zero, the put buyer does gain as the price drops. So, one way investors can hedge Arbor Realty'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 Arbor Realty will be realized, the loss incurred will be offset by the profits made with the option trade.

Arbor Realty's PUT expiring on 2022-10-21

   Profit   
Share
       Arbor Realty Price At Expiration  

Current Arbor Realty Insurance Chain

DeltaGammaOpen IntExpirationCurrent SpreadLast Price
Put
2022-10-21 PUT at $30.0-0.96020.0134142022-10-2117.0 - 17.216.7View
Put
2022-10-21 PUT at $25.0-0.9180.026752022-10-2112.0 - 12.310.24View
Put
2022-10-21 PUT at $20.0-0.90330.041742022-10-217.0 - 7.34.9View
Put
2022-10-21 PUT at $17.5-0.94950.04061392022-10-214.5 - 4.74.39View
Put
2022-10-21 PUT at $15.0-0.88010.119742492022-10-212.05 - 2.252.15View
Put
2022-10-21 PUT at $12.5-0.38180.2767942022-10-210.4 - 0.50.4View
Put
2022-10-21 PUT at $10.0-0.08150.06061622022-10-210.0 - 0.150.1View
View All Arbor Realty Options

Arbor Realty Trust Stock Volatility Analysis

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

Historical Volatility

This type of stock volatility measures Arbor Realty's fluctuations based on previous trends. It's commonly used to predict Arbor Realty'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 Arbor Realty'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 Arbor Realty'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. The Median Price line plots median indexes of Arbor Realty Trust price series.
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Arbor Realty Projected Return Density Against Market

Considering the 90-day investment horizon the stock has the beta coefficient of 1.2277 . This suggests as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Arbor Realty 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 Arbor Realty or Real Estate 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 Arbor Realty'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 Arbor 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 0.0744, implying that it can generate a 0.0744 percent excess return over DOW after adjusting for the inherited market risk (beta).
   Predicted Return Density   
       Returns  
Arbor Realty's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how arbor 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 an Arbor Realty 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.

Arbor Realty 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 Arbor Realty or Real Estate 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 Arbor Realty'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 Arbor 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. Considering the 90-day investment horizon the coefficient of variation of Arbor Realty is -4401.14. The daily returns are distributed with a variance of 4.6 and standard deviation of 2.14. The mean deviation of Arbor Realty Trust is currently at 1.63. For similar time horizon, the selected benchmark (DOW) has volatility of 1.14
α
Alpha over DOW
0.07
β
Beta against DOW1.23
σ
Overall volatility
2.14
Ir
Information ratio 0.0291

Arbor Realty Stock Return Volatility

Arbor Realty historical daily return volatility represents how much of Arbor Realty stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The enterprise has volatility of 2.1437% on return distribution over 90 days investment horizon. By contrast, DOW inherits 1.0997% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
       Timeline  

About Arbor Realty Volatility

Volatility is a rate at which the price of Arbor Realty 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 Arbor Realty may increase or decrease. In other words, similar to Arbor's beta indicator, it measures the risk of Arbor Realty and helps estimate the fluctuations that may happen in a short period of time. So if prices of Arbor Realty 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.
Arbor Realty Trust, Inc. invests in a diversified portfolio of structured finance assets in the multifamily, single-family rental, and commercial real estate markets in the United States. Arbor Realty Trust, Inc. was incorporated in 2003 and is headquartered in Uniondale, New York. Arbor Realty operates under REITMortgage classification in the United States and is traded on New York Stock Exchange. It employs 579 people.

Arbor Realty Investment Opportunity

Arbor Realty Trust has a volatility of 2.14 and is 1.95 times more volatile than DOW. 18  of all equities and portfolios are less risky than Arbor Realty. Compared to the overall equity markets, volatility of historical daily returns of Arbor Realty Trust is lower than 18 () of all global equities and portfolios over the last 90 days. Use Arbor Realty Trust to protect your portfolios against small market fluctuations. Benchmarks are essential to demonstrate the utility of optimization algorithms. The stock experiences an unexpected downward movement. The market is reacting to new fundamentals. Check odds of Arbor Realty to be traded at $11.93 in 90 days.

Poor diversification

The correlation between Arbor Realty Trust and DJI is 0.65 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Arbor Realty Trust and DJI in the same portfolio, assuming nothing else is changed.

Arbor Realty Additional Risk Indicators

The analysis of Arbor Realty'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 Arbor Realty's investment and either accepting that risk or mitigating it. Along with some common measures of Arbor Realty 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.
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.

Arbor Realty 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 Arbor Realty 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. Arbor Realty'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, Arbor Realty'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 Arbor Realty Trust.
Please continue to Trending Equities. Note that the Arbor Realty Trust information on this page should be used as a complementary analysis to other Arbor Realty'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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.

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When running Arbor Realty Trust price analysis, check to measure Arbor Realty'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 Arbor Realty is operating at the current time. Most of Arbor Realty's value examination focuses on studying past and present price action to predict the probability of Arbor Realty's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Arbor Realty's price. Additionally, you may evaluate how the addition of Arbor Realty to your portfolios can decrease your overall portfolio volatility.
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Is Arbor Realty'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 Arbor Realty. If investors know Arbor 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 Arbor Realty listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.
The market value of Arbor Realty Trust is measured differently than its book value, which is the value of Arbor that is recorded on the company's balance sheet. Investors also form their own opinion of Arbor Realty's value that differs from its market value or its book value, called intrinsic value, which is Arbor Realty'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 Arbor Realty's market value can be influenced by many factors that don't directly affect Arbor Realty'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 Arbor Realty's value and its price as these two are different measures arrived at by different means. Investors typically determine Arbor Realty value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Arbor Realty'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.