BRASIL ON (Brazil) Volatility

BBAS3 -  Brazil Stock  

BRL 36.35  1.54  4.06%

We consider BRASIL ON very steady. BRASIL ON NM retains Efficiency (Sharpe Ratio) of 0.099, which signifies that the company had 0.099% of return per unit of risk 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. We have found twenty-seven technical indicators for BRASIL ON, which you can use to evaluate the future volatility of the firm. Please confirm BRASIL ON NM coefficient of variation of 900.38, and Market Risk Adjusted Performance of (0.79) to double-check if the risk estimate we provide is consistent with the expected return of 0.19%.
  
Refresh
BRASIL ON 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 BRASIL daily returns, and it is calculated using variance and standard deviation. We also use BRASIL's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of BRASIL ON volatility.

720 Days Market Risk

Very steady

Chance of Distress

Below Average

720 Days Economic Sensitivity

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

BRASIL ON Market Sensitivity And Downside Risk

BRASIL ON's beta coefficient measures the volatility of BRASIL 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 BRASIL stock's returns against your selected market. In other words, BRASIL ON's beta of -0.25 provides an investor with an approximation of how much risk BRASIL ON stock can potentially add to one of your existing portfolios.
Let's try to break down what BRASIL's beta means in this case. As returns on the market increase, returns on owning BRASIL ON are expected to decrease at a much lower rate. During the bear market, BRASIL ON is likely to outperform the market.
3 Months Beta |Analyze BRASIL ON NM Demand Trend
Check current 90 days BRASIL ON correlation with market (DOW)

BRASIL Beta

    
  -0.25  
BRASIL 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

    
  1.94  
It is essential to understand the difference between upside risk (as represented by BRASIL ON's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of BRASIL ON stock's daily returns or price. Since the actual investment returns on holding a position in BRASIL ON 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 BRASIL ON.

BRASIL ON NM Stock Volatility Analysis

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

Historical Volatility

This type of stock volatility measures BRASIL ON's fluctuations based on previous trends. It's commonly used to predict BRASIL ON'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 BRASIL ON'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. Developed by Larry Williams, the Weighted Close is the average of BRASIL ON NM high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only BRASIL ON closing price as input.
.

BRASIL ON Projected Return Density Against Market

Assuming the 90 days trading horizon BRASIL ON NM has a beta of -0.2506 suggesting as returns on benchmark increase, returns on holding BRASIL ON are expected to decrease at a much lower rate. During the bear market, however, BRASIL ON NM is likely to outperform the market.
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 BRASIL ON or Financial Services 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 BRASIL ON 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 BRASIL 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 0.1736, implying that it can generate a 0.17 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
BRASIL ON's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how BRASIL ON 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.

BRASIL ON 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 BRASIL ON or Financial Services 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 BRASIL ON 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 BRASIL 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.
Assuming the 90 days trading horizon the coefficient of variation of BRASIL ON is 1010.4. The daily returns are distributed with a variance of 3.78 and standard deviation of 1.94. The mean deviation of BRASIL ON NM is currently at 1.47. For similar time horizon, the selected benchmark (DOW) has volatility of 1.36
α
Alpha over DOW
0.17
β
Beta against DOW-0.25
σ
Overall volatility
1.94
Ir
Information ratio 0.16

BRASIL ON Stock Return Volatility

BRASIL ON historical daily return volatility represents how much BRASIL ON stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The enterprise accepts 1.9434% volatility on return distribution over the 90 days horizon. By contrast, DOW inherits 1.376% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About BRASIL ON Volatility

Volatility is a rate at which the price of BRASIL ON 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 BRASIL ON may increase or decrease. In other words, similar to BRASIL's beta indicator, it measures the risk of BRASIL ON and helps estimate the fluctuations that may happen in a short period of time. So if prices of BRASIL ON 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.
Banco do Brasil S.A., together with its subsidiaries, provides banking products and services for individuals, companies, and public sectors in Brazil and internationally. Banco do Brasil S.A. was incorporated in 1808 and is headquartered in Braslia, Brazil. BRASIL ON operates under BanksRegional classification in Brazil and is traded on Sao Paolo Stock Exchange. It employs 84597 people.

BRASIL ON Investment Opportunity

BRASIL ON NM has a volatility of 1.94 and is 1.41 times more volatile than DOW. 16  of all equities and portfolios are less risky than BRASIL ON. Compared to the overall equity markets, volatility of historical daily returns of BRASIL ON NM is lower than 16 () of all global equities and portfolios over the last 90 days. Use BRASIL ON NM to protect your portfolios against small market fluctuations. The stock experiences a very speculative upward sentiment. Check odds of BRASIL ON to be traded at R$34.53 in 90 days. . Let's try to break down what BRASIL's beta means in this case. As returns on the market increase, returns on owning BRASIL ON are expected to decrease at a much lower rate. During the bear market, BRASIL ON is likely to outperform the market.

Good diversification

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

BRASIL ON Additional Risk Indicators

The analysis of BRASIL ON'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 BRASIL ON's investment and either accepting that risk or mitigating it. Along with some common measures of BRASIL ON 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 Performance0.1536
Market Risk Adjusted Performance(0.79)
Mean Deviation1.43
Semi Deviation1.65
Downside Deviation1.8
Coefficient Of Variation900.38
Standard Deviation1.91
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.

BRASIL ON 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.
Sentinelone Inc vs. BRASIL ON
Otp Bank vs. BRASIL ON
Visa vs. BRASIL ON
Atlassian Cls vs. BRASIL ON
Walker Dunlop vs. BRASIL ON
COSCO SHIPPING vs. BRASIL ON
Ford vs. BRASIL ON
FUJIAN AONONG vs. BRASIL ON
Vmware vs. BRASIL ON
LINGYI ITECH vs. BRASIL ON
Meta Platforms vs. BRASIL ON
Microsoft Corp vs. BRASIL ON
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 BRASIL ON 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. BRASIL ON'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, BRASIL ON'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 BRASIL ON NM.
Continue to Trending Equities. Note that the BRASIL ON NM information on this page should be used as a complementary analysis to other BRASIL ON'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 Screener module to find equities using custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..

Other Tools for BRASIL Stock

When running BRASIL ON NM price analysis, check to measure BRASIL ON'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 BRASIL ON is operating at the current time. Most of BRASIL ON's value examination focuses on studying past and present price action to predict the probability of BRASIL ON's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move BRASIL ON's price. Additionally, you may evaluate how the addition of BRASIL ON to your portfolios can decrease your overall portfolio volatility.
Technical Analysis
Check basic technical indicators and analysis based on most latest market data
Go
Aroon Oscillator
Analyze current equity momentum using Aroon Oscillator and other momentum ratios
Go
Focused Opportunities
Build portfolios using our predefined set of ideas and optimize them against your investing preferences
Go
Price Transformation
Use Price Transformation models to analyze depth of different equity instruments across global markets
Go
Bond Directory
Find actively traded corporate debentures issued by US companies
Go
Equity Valuation
Check real value of public entities based on technical and fundamental data
Go