Armour Stock Volatility

ARR
 Stock
  

USD 7.58  0.15  1.94%   

We consider Armour Residential somewhat reliable. Armour Residential secures Sharpe Ratio (or Efficiency) of 0.044, which signifies that the company had 0.044% 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-seven technical indicators for Armour Residential R, which you can use to evaluate the future volatility of the firm. Please confirm Armour Residential Mean Deviation of 1.68, downside deviation of 3.15, and Risk Adjusted Performance of 0.0654 to double-check if the risk estimate we provide is consistent with the expected return of 0.11%.
  
Armour Residential 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 Armour daily returns, and it is calculated using variance and standard deviation. We also use Armour's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Armour Residential volatility.

180 Days Market Risk

Somewhat reliable

Chance of Distress

Below Average

180 Days Economic Sensitivity

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

0.76ABRArbor Realty TrustPairCorr
0.7ACREAres Commercial RealPairCorr
0.84AGNCAgnc Investment CorpPairCorr

Armour Residential Market Sensitivity And Downside Risk

Armour Residential's beta coefficient measures the volatility of Armour 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 Armour stock's returns against your selected market. In other words, Armour Residential's beta of 0.11 provides an investor with an approximation of how much risk Armour Residential stock can potentially add to one of your existing portfolios.
Armour Residential R shows above-average downside volatility for the selected time horizon. We advise investors to inspect Armour Residential R further and ensure that all market timing and asset allocation strategies are consistent with the estimation of Armour Residential future alpha. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Armour Residential'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 Armour Residential'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.

Armour Residential Implied Volatility

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

Armour Beta

    
  0.11  
Armour 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

    
  2.6  
It is essential to understand the difference between upside risk (as represented by Armour Residential's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Armour Residential stock's daily returns or price. Since the actual investment returns on holding a position in Armour Residential 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 Armour Residential.

Using Armour Put Option to Manage Risk

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

Armour Residential's PUT expiring on 2022-08-19

   Profit   
Share
       Armour Residential Price At Expiration  

Current Armour Residential Insurance Chain

DeltaGammaOpen IntExpirationCurrent SpreadLast Price
Put
2022-08-19 PUT at $12.5-0.84140.077312022-08-194.6 - 5.44.66View
Put
2022-08-19 PUT at $10.0-0.87680.1267202022-08-192.15 - 2.62.41View
Put
2022-08-19 PUT at $7.5-0.29470.82412372022-08-190.05 - 0.10.08View
View All Armour Residential Options

Armour Residential Stock Volatility Analysis

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

Historical Volatility

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

Armour Residential Projected Return Density Against Market

Considering the 90-day investment horizon Armour Residential has a beta of 0.1121 . This suggests as returns on the market go up, Armour Residential average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Armour Residential R 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 Armour Residential 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 Armour Residential 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 Armour 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 0.1079, implying that it can generate a 0.11 percent excess return over DOW after adjusting for the inherited market risk (beta).
   Predicted Return Density   
       Returns  
Armour Residential's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Armour Residential 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.

Armour Residential 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 Armour Residential 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 Armour Residential 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 Armour 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 Armour Residential is 2272.51. The daily returns are distributed with a variance of 6.76 and standard deviation of 2.6. The mean deviation of Armour Residential R is currently at 1.71. For similar time horizon, the selected benchmark (DOW) has volatility of 1.24
α
Alpha over DOW
0.11
β
Beta against DOW0.11
σ
Overall volatility
2.60
Ir
Information ratio 0.0257

Armour Residential Stock Return Volatility

Armour Residential historical daily return volatility represents how much Armour Residential stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The enterprise has volatility of 2.5994% on return distribution over 90 days investment horizon. By contrast, DOW inherits 1.2622% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
       Timeline  

About Armour Residential Volatility

Volatility is a rate at which the price of Armour Residential 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 Armour Residential may increase or decrease. In other words, similar to Armour's beta indicator, it measures the risk of Armour Residential and helps estimate the fluctuations that may happen in a short period of time. So if prices of Armour Residential 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 Capitalization879.8 M908.5 M
ARMOUR Residential REIT, Inc. invests in residential mortgage-backed securities in the United States. ARMOUR Residential REIT, Inc. was incorporated in 2008 and is based in Vero Beach, Florida. Armour Residential operates under REITMortgage classification in the United States and is traded on New York Stock Exchange.

Armour Residential Investment Opportunity

Armour Residential R has a volatility of 2.6 and is 2.06 times more volatile than DOW. 22  of all equities and portfolios are less risky than Armour Residential. Compared to the overall equity markets, volatility of historical daily returns of Armour Residential R is lower than 22 () of all global equities and portfolios over the last 90 days.
Use Armour Residential R 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 Armour Residential to be traded at $7.35 in 90 days. .

Significant diversification

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

Armour Residential Additional Risk Indicators

The analysis of Armour Residential'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 Armour Residential's investment and either accepting that risk or mitigating it. Along with some common measures of Armour Residential 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 Performance0.0654
Market Risk Adjusted Performance1.02
Mean Deviation1.68
Semi Deviation2.96
Downside Deviation3.15
Coefficient Of Variation2061.64
Standard Deviation2.54
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.

Armour Residential 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 Armour Residential 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. Armour Residential'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, Armour Residential'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 Armour Residential R.
Please continue to Trending Equities. Note that the Armour Residential information on this page should be used as a complementary analysis to other Armour Residential'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 Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.

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When running Armour Residential price analysis, check to measure Armour Residential'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 Armour Residential is operating at the current time. Most of Armour Residential's value examination focuses on studying past and present price action to predict the probability of Armour Residential's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Armour Residential's price. Additionally, you may evaluate how the addition of Armour Residential to your portfolios can decrease your overall portfolio volatility.
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Is Armour Residential'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 Armour Residential. If investors know Armour 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 Armour Residential 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
-0.58
Market Capitalization
887.3 M
Quarterly Revenue Growth YOY
-0.34
Return On Assets
-0.016
Return On Equity
-0.11
The market value of Armour Residential is measured differently than its book value, which is the value of Armour that is recorded on the company's balance sheet. Investors also form their own opinion of Armour Residential's value that differs from its market value or its book value, called intrinsic value, which is Armour Residential'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 Armour Residential's market value can be influenced by many factors that don't directly affect Armour Residential'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 Armour Residential's value and its price as these two are different measures arrived at by different means. Investors typically determine Armour Residential value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Armour Residential'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.