Big 5 Stock Volatility

BGFV -  USA Stock  

USD 13.35  0.17  1.29%

Big 5 appears to be somewhat reliable, given 24 months investment horizon. Big 5 Sporting secures Sharpe Ratio (or Efficiency) of 0.0892, which signifies that the company had 0.0892% of return per unit of standard deviation over the last 24 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 Big 5 Sporting technical indicators you can presently evaluate if the expected return of 0.54% is justified by implied risk. Please makes use of Big 5's risk adjusted performance of 0.122, and Mean Deviation of 4.21 to double-check if our risk estimates are consistent with your expectations.
  
Refresh
Big 5 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 Big 5 daily returns, and it is calculated using variance and standard deviation. We also use Big 5's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Big 5 volatility.

30 Days Market Risk

Somewhat reliable

Chance of Distress

Below Average

30 Days Economic Sensitivity

Responds to the market
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Big 5 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 Big 5 at lower prices. For example, an investor can purchase Big 5 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 Big 5'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 Big 5

0.93CONNConns Inc Financial Report 2nd of June 2022 PairCorr
0.92ANFAbercrombie FitchPairCorr
0.91BBWIBath Body WorksPairCorr
0.9HIBBHibbettPairCorr
0.89BHBiglari HoldingsPairCorr
0.88BKEBuckle IncPairCorr

Moving against Big 5

-0.81FUWAFFurukawa ElectricPairCorr
-0.78CBKCQCHRISTOPHER BANKS CORPPairCorr
-0.75ACBAAce Global BusinessPairCorr
-0.68CBDCompanhia BrasileiraPairCorr
-0.65APPBAPPLIED BIOSCIENCES CORPPairCorr
-0.64IGLDFINTERNET GOLD GOLDENPairCorr
-0.62ZIMZim Integrated ShippingPairCorr

Big 5 Market Sensitivity And Downside Risk

Big 5's beta coefficient measures the volatility of Big 5 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 Big 5 stock's returns against your selected market. In other words, Big 5's beta of 1.59 provides an investor with an approximation of how much risk Big 5 stock can potentially add to one of your existing portfolios.
Let's try to break down what Big 5's beta means in this case. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Big 5 will likely underperform.
24 Months Beta |Analyze Big 5 Sporting Demand Trend
Check current 90 days Big 5 correlation with market (DOW)

Big 5 Beta

    
  1.59  
Big 5 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

    
  6.08  
It is essential to understand the difference between upside risk (as represented by Big 5's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Big 5 stock's daily returns or price. Since the actual investment returns on holding a position in Big 5 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 Big 5.

Big 5 Implied Volatility

    
  77.64  
Big 5's implied volatility exposes the market's sentiment of Big 5 Sporting stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Big 5'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 Big 5 stock will not fluctuate a lot when Big 5's options are near their expiration.

Big 5 Sporting Stock Volatility Analysis

Volatility refers to the frequency at which Big 5 stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Big 5's price changes. Investors will then calculate the volatility of Big 5'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 Big 5's volatility:

Historical Volatility

This type of stock volatility measures Big 5's fluctuations based on previous trends. It's commonly used to predict Big 5'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 Big 5'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 five hundred twenty. Big 5 Sporting 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.
.

Big 5 Projected Return Density Against Market

Given the investment horizon of 90 days the stock has the beta coefficient of 1.5905 suggesting as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Big 5 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 Big 5 or Consumer Cyclical 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 Big 5 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 Big 5 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 0.5657, implying that it can generate a 0.57 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Big 5's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Big 5 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.

Big 5 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 Big 5 or Consumer Cyclical 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 Big 5 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 Big 5 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.
Given the investment horizon of 90 days the coefficient of variation of Big 5 is 1121.03. The daily returns are distributed with a variance of 36.95 and standard deviation of 6.08. The mean deviation of Big 5 Sporting is currently at 4.07. For similar time horizon, the selected benchmark (DOW) has volatility of 1.07
α
Alpha over DOW
0.57
β
Beta against DOW1.59
σ
Overall volatility
6.08
Ir
Information ratio 0.1

Big 5 Stock Return Volatility

Big 5 historical daily return volatility represents how much Big 5 stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The venture inherits 6.0787% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 1.0337% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Big 5 Volatility

Volatility is a rate at which the price of Big 5 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 Big 5 may increase or decrease. In other words, similar to Big 5's beta indicator, it measures the risk of Big 5 and helps estimate the fluctuations that may happen in a short period of time. So if prices of Big 5 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 Capitalization424.1 M308.9 M
Big 5 Sporting Goods Corporation operates as a sporting goods retailer in the western United States. The company was founded in 1955 and is headquartered in El Segundo, California. Big 5 operates under Specialty Retail classification in the United States and is traded on NASDAQ Exchange. It employs 2400 people.

Nearest Big 5 long CALL Option Payoff at Expiration

Big 5's implied volatility is one of the determining factors in the pricing options written on Big 5 Sporting. Implied volatility approximates the future value of Big 5using the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Big 5 Sporting over a specific time period.
View All Big 5 options
2022-06-17 CALL at $2.5 is a CALL option contract on Big 5's common stock with a strick price of 2.5 expiring on 2022-06-17. The contract was not traded in recent days and, as of today, has 20 days remaining before the expiration. The option is currently trading at a bid price of $10.6, and an ask price of $11.0. The implied volatility as of the 28th of May is 473.8545.
 Profit 
Share
      Big 5 Price At Expiration 

Big 5 Investment Opportunity

Big 5 Sporting has a volatility of 6.08 and is 5.9 times more volatile than DOW. 52  of all equities and portfolios are less risky than Big 5. Compared to the overall equity markets, volatility of historical daily returns of Big 5 Sporting is higher than 52 () of all global equities and portfolios over the last 90 days. Use Big 5 Sporting to enhance returns of your portfolios. The stock experiences a large bullish trend. Check odds of Big 5 to be traded at $14.69 in 90 days. . Let's try to break down what Big 5's beta means in this case. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Big 5 will likely underperform.

Modest diversification

The correlation between Big 5 Sporting and DJI is Modest diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Big 5 Sporting and DJI in the same portfolio, assuming nothing else is changed.

Big 5 Additional Risk Indicators

The analysis of Big 5'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 Big 5's investment and either accepting that risk or mitigating it. Along with some common measures of Big 5 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 Performance0.122
Market Risk Adjusted Performance0.4214
Mean Deviation4.21
Semi Deviation4.34
Downside Deviation4.74
Coefficient Of Variation939.78
Standard Deviation6.24
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.

Big 5 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.
Meta Platforms vs. Big 5
Salesforce vs. Big 5
Vmware vs. Big 5
Microsoft Corp vs. Big 5
Ford vs. Big 5
BANK OF NINGBO vs. Big 5
FUJIAN AONONG vs. Big 5
Citigroup vs. Big 5
Walker Dunlop vs. Big 5
Sentinelone Inc vs. Big 5
HITHINK ROYALFLUSH vs. Big 5
Atlassian Cls vs. Big 5
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 Big 5 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. Big 5'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, Big 5'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 Big 5 Sporting.
Continue to Trending Equities. Note that the Big 5 Sporting information on this page should be used as a complementary analysis to other Big 5'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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.

Complementary Tools for Big 5 Stock analysis

When running Big 5 Sporting price analysis, check to measure Big 5'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 Big 5 is operating at the current time. Most of Big 5's value examination focuses on studying past and present price action to predict the probability of Big 5's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Big 5's price. Additionally, you may evaluate how the addition of Big 5 to your portfolios can decrease your overall portfolio volatility.
Commodity Channel Index
Use Commodity Channel Index to analyze current equity momentum
Go
Probability Of Bankruptcy
Get analysis of equity chance of financial distress in the next 2 years
Go
Equity Analysis
Research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities
Go
Correlation Analysis
Reduce portfolio risk simply by holding instruments which are not perfectly correlated
Go
Content Syndication
Quickly integrate customizable finance content to your own investment portal
Go
Portfolio Optimization
Compute new portfolio that will generate highest expected return given your specified tolerance for risk
Go
Money Managers
Screen money managers from public funds and ETFs managed around the world
Go
Equity Forecasting
Use basic forecasting models to generate price predictions and determine price momentum
Go
Companies Directory
Evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals
Go
Portfolio Center
All portfolio management and optimization tools to improve performance of your portfolios
Go
Is Big 5'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 Big 5. If investors know Big 5 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 Big 5 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 Big 5 Sporting is measured differently than its book value, which is the value of Big 5 that is recorded on the company's balance sheet. Investors also form their own opinion of Big 5's value that differs from its market value or its book value, called intrinsic value, which is Big 5'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 Big 5's market value can be influenced by many factors that don't directly affect Big 5'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 Big 5's value and its price as these two are different measures arrived at by different means. Investors typically determine Big 5 value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Big 5'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.