Abercrombie Stock Volatility


USD 22.87  1.44  5.92%   

Abercrombie Fitch appears to be not too volatile, given 3 months investment horizon. Abercrombie Fitch secures Sharpe Ratio (or Efficiency) of 0.15, which signifies that the company had 0.15% of return per unit of standard deviation over the last 3 months. Our philosophy in foreseeing the volatility of a stock is to use all available market data together with stock-specific technical indicators that cannot be diversified away. By analyzing Abercrombie Fitch technical indicators you can presently evaluate if the expected return of 0.65% is justified by implied risk. Please makes use of Abercrombie Fitch's mean deviation of 2.74, and Risk Adjusted Performance of 0.244 to double-check if our risk estimates are consistent with your expectations.
Abercrombie Fitch 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 Abercrombie daily returns, and it is calculated using variance and standard deviation. We also use Abercrombie's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Abercrombie Fitch volatility.

720 Days Market Risk

Not too volatile

Chance of Distress

720 Days Economic Sensitivity

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

+0.95AEOAmerican Eagle OutfittersPairCorr
+0.91BKEBuckle IncPairCorr
+0.89BURLBurlington StoresPairCorr
+0.84CTRNCiti Trends TrendingPairCorr
+0.75DXLGDestination XL Group Downward RallyPairCorr

Moving against Abercrombie Fitch

-0.68BBBYBed Bath BeyondPairCorr
-0.66AMZNAmazon IncPairCorr

Abercrombie Fitch Market Sensitivity And Downside Risk

Abercrombie Fitch's beta coefficient measures the volatility of Abercrombie 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 Abercrombie stock's returns against your selected market. In other words, Abercrombie Fitch's beta of 1.63 provides an investor with an approximation of how much risk Abercrombie Fitch stock can potentially add to one of your existing portfolios.
Abercrombie Fitch shows above-average downside volatility for the selected time horizon. We advise investors to inspect Abercrombie Fitch further and ensure that all market timing and asset allocation strategies are consistent with the estimation of Abercrombie Fitch future alpha. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Abercrombie Fitch'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 Abercrombie Fitch'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 Abercrombie Fitch Demand Trend
Check current 90 days Abercrombie Fitch correlation with market (NYSE Composite)

Abercrombie Beta

Abercrombie 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

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

Using Abercrombie Put Option to Manage Risk

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

Abercrombie Fitch's PUT expiring on 2022-12-09

       Abercrombie Fitch Price At Expiration  

Current Abercrombie Fitch Insurance Chain

DeltaGammaOpen IntExpirationCurrent SpreadLast Price
2022-12-09 PUT at $26.0-0.91710.074812022-12-092.85 - 3.21.76View
2022-12-09 PUT at $25.0-0.85990.122962022-12-092.0 - 2.251.4View
2022-12-09 PUT at $24.0-0.77550.2234892022-12-091.2 - 1.351.3View
2022-12-09 PUT at $23.0-0.5230.28421052022-12-090.55 - 0.70.51View
2022-12-09 PUT at $22.5-0.38390.2659782022-12-090.35 - 0.450.3View
2022-12-09 PUT at $22.0-0.24390.2333672022-12-090.2 - 0.250.2View
2022-12-09 PUT at $21.5-0.17310.1638342022-12-090.1 - 0.20.15View
2022-12-09 PUT at $21.0-0.07710.103332022-12-090.05 - 0.150.05View
View All Abercrombie Fitch Options

Abercrombie Fitch Stock Volatility Analysis

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

Historical Volatility

This type of stock volatility measures Abercrombie Fitch's fluctuations based on previous trends. It's commonly used to predict Abercrombie Fitch'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 Abercrombie Fitch'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 Abercrombie Fitch's to be redeemed at a future date.
The output start index for this execution was zero with a total number of output elements of sixty-one. Abercrombie Fitch 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.

Abercrombie Fitch Projected Return Density Against Market

Considering the 90-day investment horizon the stock has the beta coefficient of 1.6344 . 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, Abercrombie Fitch 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 Abercrombie Fitch or Specialty Retail 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 Abercrombie Fitch'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 Abercrombie 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 0.5577, implying that it can generate a 0.56 percent excess return over NYSE Composite after adjusting for the inherited market risk (beta).
   Predicted Return Density   
Abercrombie Fitch's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how abercrombie 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 Abercrombie Fitch Price Volatility?

Several factors can influence a Stock's stock volatility:


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.

Abercrombie Fitch 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 Abercrombie Fitch or Specialty Retail 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 Abercrombie Fitch'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 Abercrombie 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 Abercrombie Fitch is 680.07. The daily returns are distributed with a variance of 19.26 and standard deviation of 4.39. The mean deviation of Abercrombie Fitch is currently at 2.8. For similar time horizon, the selected benchmark (NYSE Composite) has volatility of 1.49
Alpha over NYSE Composite
Beta against NYSE Composite1.63
Overall volatility
Information ratio 0.14

Abercrombie Fitch Stock Return Volatility

Abercrombie Fitch historical daily return volatility represents how much of Abercrombie Fitch stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm has volatility of 4.3891% on return distribution over 90 days investment horizon. By contrast, NYSE Composite accepts 1.5166% volatility on return distribution over the 90 days horizon.
 Performance (%) 

About Abercrombie Fitch Volatility

Volatility is a rate at which the price of Abercrombie Fitch 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 Abercrombie Fitch may increase or decrease. In other words, similar to Abercrombie's beta indicator, it measures the risk of Abercrombie Fitch and helps estimate the fluctuations that may happen in a short period of time. So if prices of Abercrombie Fitch 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 Capitalization2.1 BB

Abercrombie Fitch Investment Opportunity

Abercrombie Fitch has a volatility of 4.39 and is 2.89 times more volatile than NYSE Composite. 38  of all equities and portfolios are less risky than Abercrombie Fitch. Compared to the overall equity markets, volatility of historical daily returns of Abercrombie Fitch is lower than 38 () of all global equities and portfolios over the last 90 days. Use Abercrombie Fitch to protect your portfolios against small market fluctuations. Benchmarks are essential to demonstrate the utility of optimization algorithms. The stock experiences a very speculative upward sentiment. Check odds of Abercrombie Fitch to be traded at $21.73 in 90 days.

Very weak diversification

The correlation between Abercrombie Fitch and NYA is 0.57 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Abercrombie Fitch and NYA in the same portfolio, assuming nothing else is changed.

Abercrombie Fitch Additional Risk Indicators

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

Abercrombie Fitch 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 Abercrombie Fitch 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. Abercrombie Fitch'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, Abercrombie Fitch'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 Abercrombie Fitch.
Please continue to Trending Equities. You can also try Bollinger Bands module to use Bollinger Bands indicator to analyze target price for a given investing horizon.

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Is Abercrombie Fitch'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 Abercrombie Fitch. If investors know Abercrombie 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 Abercrombie Fitch 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
Market Capitalization
1.2 B
Quarterly Revenue Growth YOY
Return On Assets
Return On Equity
The market value of Abercrombie Fitch is measured differently than its book value, which is the value of Abercrombie that is recorded on the company's balance sheet. Investors also form their own opinion of Abercrombie Fitch's value that differs from its market value or its book value, called intrinsic value, which is Abercrombie Fitch'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 Abercrombie Fitch's market value can be influenced by many factors that don't directly affect Abercrombie Fitch'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 Abercrombie Fitch's value and its price as these two are different measures arrived at by different means. Investors typically determine Abercrombie Fitch value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Abercrombie Fitch'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.