BRADESCO (Brazil) Volatility

BBDC4 -  Brazil Stock  

BRL 18.56  0.64  3.57%

BRADESCO PN EJ retains Efficiency (Sharpe Ratio) of -0.11, which signifies that the company had -0.11% of return per unit of risk 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. BRADESCO exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm BRADESCO PN EJ coefficient of variation of (1,105), and Market Risk Adjusted Performance of 81.24 to double-check the risk estimate we provide.
  
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BRADESCO 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 BRADESCO daily returns, and it is calculated using variance and standard deviation. We also use BRADESCO's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of BRADESCO volatility.

30 Days Market Risk

Very steady

Chance of Distress

Average

30 Days Economic Sensitivity

Moves indifferently to market moves
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as BRADESCO 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 BRADESCO at lower prices. For example, an investor can purchase BRADESCO 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 BRADESCO'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.

BRADESCO Market Sensitivity And Downside Risk

BRADESCO's beta coefficient measures the volatility of BRADESCO 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 BRADESCO stock's returns against your selected market. In other words, BRADESCO's beta of -0.0017 provides an investor with an approximation of how much risk BRADESCO stock can potentially add to one of your existing portfolios.
Let's try to break down what BRADESCO's beta means in this case. As returns on the market increase, returns on owning BRADESCO are expected to decrease at a much lower rate. During the bear market, BRADESCO is likely to outperform the market.
3 Months Beta |Analyze BRADESCO PN EJ Demand Trend
Check current 90 days BRADESCO correlation with market (DOW)

BRADESCO Beta

    
  -0.0017  
BRADESCO 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

    
  1.44  
It is essential to understand the difference between upside risk (as represented by BRADESCO's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of BRADESCO stock's daily returns or price. Since the actual investment returns on holding a position in BRADESCO 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 BRADESCO.

BRADESCO PN EJ Stock Volatility Analysis

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

Historical Volatility

This type of stock volatility measures BRADESCO's fluctuations based on previous trends. It's commonly used to predict BRADESCO'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 BRADESCO'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. BRADESCO PN EJ 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.
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BRADESCO Projected Return Density Against Market

Assuming the 90 days trading horizon BRADESCO PN EJ has a beta of -0.0017 suggesting as returns on benchmark increase, returns on holding BRADESCO are expected to decrease at a much lower rate. During the bear market, however, BRADESCO PN EJ 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 BRADESCO 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 BRADESCO 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 BRADESCO 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. BRADESCO PN EJ is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
BRADESCO's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how BRADESCO 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.

BRADESCO 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 BRADESCO 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 BRADESCO 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 BRADESCO 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 BRADESCO is -919.84. The daily returns are distributed with a variance of 2.07 and standard deviation of 1.44. The mean deviation of BRADESCO PN EJ is currently at 1.16. For similar time horizon, the selected benchmark (DOW) has volatility of 1.42
α
Alpha over DOW
-0.14
β
Beta against DOW-0.0017
σ
Overall volatility
1.44
Ir
Information ratio 0.0092

BRADESCO Stock Return Volatility

BRADESCO historical daily return volatility represents how much BRADESCO 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 1.4373% volatility on return distribution over the 90 days horizon. By contrast, DOW inherits 1.4496% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About BRADESCO Volatility

Volatility is a rate at which the price of BRADESCO 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 BRADESCO may increase or decrease. In other words, similar to BRADESCO's beta indicator, it measures the risk of BRADESCO and helps estimate the fluctuations that may happen in a short period of time. So if prices of BRADESCO 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 Bradesco S.A., together with its subsidiaries, provides various banking products and services to individuals, corporates, and businesses in Brazil and internationally. Banco Bradesco S.A. was founded in 1943 and is headquartered in Osasco, Brazil. BRADESCO operates under BanksRegional classification in Brazil and is traded on Sao Paolo Stock Exchange. It employs 85264 people.

BRADESCO Investment Opportunity

DOW has a standard deviation of returns of 1.45 and is 1.01 times more volatile than BRADESCO PN EJ. 12  of all equities and portfolios are less risky than BRADESCO. Compared to the overall equity markets, volatility of historical daily returns of BRADESCO PN EJ is lower than 12 () of all global equities and portfolios over the last 90 days.

BRADESCO Additional Risk Indicators

The analysis of BRADESCO'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 BRADESCO's investment and either accepting that risk or mitigating it. Along with some common measures of BRADESCO 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 Performance(0.13)
Market Risk Adjusted Performance81.24
Mean Deviation1.15
Coefficient Of Variation(1,105)
Standard Deviation1.42
Variance2.0
Information Ratio0.0092
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.

BRADESCO 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 BRADESCO 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. BRADESCO'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, BRADESCO'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 BRADESCO PN EJ.
Continue to Trending Equities. Note that the BRADESCO PN EJ information on this page should be used as a complementary analysis to other BRADESCO'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 Money Managers module to screen money managers from public funds and ETFs managed around the world.

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When running BRADESCO PN EJ price analysis, check to measure BRADESCO'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 BRADESCO is operating at the current time. Most of BRADESCO's value examination focuses on studying past and present price action to predict the probability of BRADESCO's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move BRADESCO's price. Additionally, you may evaluate how the addition of BRADESCO to your portfolios can decrease your overall portfolio volatility.
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Please note, there is a significant difference between BRADESCO's value and its price as these two are different measures arrived at by different means. Investors typically determine BRADESCO value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, BRADESCO'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.