Chembio Stock Volatility

CEMI
 Stock
  

USD 0.86  0.01  1.18%   

Chembio Diagnostics is out of control given 3 months investment horizon. Chembio Diagnostics secures Sharpe Ratio (or Efficiency) of 0.13, which signifies that the company had 0.13% of return per unit of standard deviation over the last 3 months. Our philosophy in foreseeing the risk of a stock is to use both market data as well as company specific technical data. We have collected data for twenty-seven different technical indicators, which can help you to evaluate if expected returns of 1.05% are justified by taking the suggested risk. Use Chembio Diagnostics risk adjusted performance of 0.1674, and Mean Deviation of 5.35 to evaluate company specific risk that cannot be diversified away.
  
Chembio Diagnostics 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 Chembio daily returns, and it is calculated using variance and standard deviation. We also use Chembio's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Chembio Diagnostics volatility.

720 Days Market Risk

Out of control

Chance of Distress

Quite High

720 Days Economic Sensitivity

Moves slightly opposite to the market
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Chembio Diagnostics 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 Chembio Diagnostics at lower prices. For example, an investor can purchase Chembio 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 Chembio Diagnostics' 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 Chembio Diagnostics

0.7AWHAspira Womans HealthPairCorr
0.71AXDXAccelerate DiagnostiPairCorr
0.62BDSXBiodesixPairCorr

Moving against Chembio Diagnostics

0.54AGHCAeon Global HealthPairCorr

Chembio Diagnostics Market Sensitivity And Downside Risk

Chembio Diagnostics' beta coefficient measures the volatility of Chembio 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 Chembio stock's returns against your selected market. In other words, Chembio Diagnostics's beta of -0.66 provides an investor with an approximation of how much risk Chembio Diagnostics stock can potentially add to one of your existing portfolios.
Chembio Diagnostics is displaying above-average volatility over the selected time horizon. Investors should scrutinize Chembio Diagnostics independently to ensure intended market timing strategies are aligned with expectations about Chembio Diagnostics volatility. Chembio Diagnostics is a potential penny stock. Although Chembio Diagnostics may be in fact a good instrument to invest, many penny stocks are speculative in nature and are subject to artificial price hype. Please make sure you totally understand the upside potential and downside risk of investing in Chembio Diagnostics. We encourage investors to look for the signals such us email spams, message board hypes, claims of breakthroughs, volume upswings, sudden news releases, promotions that are not reported, or demotions released before SEC filings. Please also check biographies and work history of current and past company officers before investing in high volatility instruments, penny stocks, or equities with microcap classification. You can indeed make money on Chembio instrument if you perfectly time your entry and exit. However, remember that penny stocks that have been the subject of an artificial hype usually unable to maintain its increased share price for more than just a few days. The price of a promoted high volatility instrument will almost always revert back. The only way to increase shareholder value is through legitimate performance backed up by solid fundamentals.
3 Months Beta |Analyze Chembio Diagnostics Demand Trend
Check current 90 days Chembio Diagnostics correlation with market (DOW)

Chembio Beta

    
  -0.66  
Chembio 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

    
  7.77  
It is essential to understand the difference between upside risk (as represented by Chembio Diagnostics's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Chembio Diagnostics stock's daily returns or price. Since the actual investment returns on holding a position in Chembio Diagnostics 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 Chembio Diagnostics.

Using Chembio Put Option to Manage Risk

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

Chembio Diagnostics' PUT expiring on 2022-08-19

   Profit   
Share
       Chembio Diagnostics Price At Expiration  

Current Chembio Diagnostics Insurance Chain

DeltaGammaOpen IntExpirationCurrent SpreadLast Price
Put
2022-08-19 PUT at $2.5-0.62580.3768282022-08-191.05 - 1.81.6View
View All Chembio Diagnostics Options

Chembio Diagnostics Stock Volatility Analysis

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

Historical Volatility

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

Given the investment horizon of 90 days Chembio Diagnostics has a beta of -0.6608 suggesting as returns on benchmark increase, returns on holding Chembio Diagnostics are expected to decrease at a much lower rate. During the bear market, however, Chembio Diagnostics 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 Chembio Diagnostics or Healthcare 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 Chembio Diagnostics 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 Chembio 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 1.082, implying that it can generate a 1.08 percent excess return over DOW after adjusting for the inherited market risk (beta).
   Predicted Return Density   
       Returns  
Chembio Diagnostics' volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Chembio Diagnostics 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.

Chembio Diagnostics 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 Chembio Diagnostics or Healthcare 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 Chembio Diagnostics 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 Chembio 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 Chembio Diagnostics is 741.15. The daily returns are distributed with a variance of 60.36 and standard deviation of 7.77. The mean deviation of Chembio Diagnostics is currently at 4.94. For similar time horizon, the selected benchmark (DOW) has volatility of 1.25
α
Alpha over DOW
1.08
β
Beta against DOW-0.66
σ
Overall volatility
7.77
Ir
Information ratio 0.12

Chembio Diagnostics Stock Return Volatility

Chembio Diagnostics historical daily return volatility represents how much Chembio Diagnostics stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The company inherits 7.7693% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 1.2712% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
       Timeline  

About Chembio Diagnostics Volatility

Volatility is a rate at which the price of Chembio Diagnostics 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 Chembio Diagnostics may increase or decrease. In other words, similar to Chembio's beta indicator, it measures the risk of Chembio Diagnostics and helps estimate the fluctuations that may happen in a short period of time. So if prices of Chembio Diagnostics 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 Capitalization34.3 M53.6 M
Chembio Diagnostics, Inc., together with its subsidiaries, develops, manufactures, and commercializes point-of-care diagnostic tests that are used to detect or diagnose diseases. Chembio Diagnostics, Inc. was founded in 1985 and is headquartered in Hauppauge, New York. Chembio Diagnostics operates under Diagnostics Research classification in the United States and is traded on NASDAQ Exchange. It employs 337 people.

Chembio Diagnostics Investment Opportunity

Chembio Diagnostics has a volatility of 7.77 and is 6.12 times more volatile than DOW. 67  of all equities and portfolios are less risky than Chembio Diagnostics. Compared to the overall equity markets, volatility of historical daily returns of Chembio Diagnostics is higher than 67 () of all global equities and portfolios over the last 90 days.
Use Chembio Diagnostics to enhance the returns of your portfolios. Benchmarks are essential to demonstrate the utility of optimization algorithms. The stock experiences a large bullish trend. Check odds of Chembio Diagnostics to be traded at $0.946 in 90 days. .

Good diversification

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

Chembio Diagnostics Additional Risk Indicators

The analysis of Chembio Diagnostics' 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 Chembio Diagnostics' investment and either accepting that risk or mitigating it. Along with some common measures of Chembio Diagnostics 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 Performance0.1674
Market Risk Adjusted Performance(1.56)
Mean Deviation5.35
Semi Deviation4.66
Downside Deviation5.3
Coefficient Of Variation787.54
Standard Deviation8.23
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.

Chembio Diagnostics 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 Chembio Diagnostics 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. Chembio Diagnostics' 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, Chembio Diagnostics' 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 Chembio Diagnostics.
Continue to Trending Equities. Note that the Chembio Diagnostics information on this page should be used as a complementary analysis to other Chembio Diagnostics' 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.

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When running Chembio Diagnostics price analysis, check to measure Chembio Diagnostics' 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 Chembio Diagnostics is operating at the current time. Most of Chembio Diagnostics' value examination focuses on studying past and present price action to predict the probability of Chembio Diagnostics' future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Chembio Diagnostics' price. Additionally, you may evaluate how the addition of Chembio Diagnostics to your portfolios can decrease your overall portfolio volatility.
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Is Chembio Diagnostics' 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 Chembio Diagnostics. If investors know Chembio 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 Chembio Diagnostics listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.
Market Capitalization
25.7 M
Quarterly Revenue Growth YOY
0.42
Return On Assets
-0.3
Return On Equity
-2.06
The market value of Chembio Diagnostics is measured differently than its book value, which is the value of Chembio that is recorded on the company's balance sheet. Investors also form their own opinion of Chembio Diagnostics' value that differs from its market value or its book value, called intrinsic value, which is Chembio Diagnostics' 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 Chembio Diagnostics' market value can be influenced by many factors that don't directly affect Chembio Diagnostics' 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 Chembio Diagnostics' value and its price as these two are different measures arrived at by different means. Investors typically determine Chembio Diagnostics value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Chembio Diagnostics' 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.