Commvault Stock Volatility

CVLT
 Stock
  

USD 59.86  1.30  2.22%   

We consider Commvault Systems very steady. Commvault Systems secures Sharpe Ratio (or Efficiency) of 0.0293, which signifies that the company had 0.0293% 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-eight technical indicators for Commvault Systems, which you can use to evaluate the future volatility of the firm. Please confirm Commvault Systems Downside Deviation of 3.47, risk adjusted performance of 0.0326, and Mean Deviation of 2.03 to double-check if the risk estimate we provide is consistent with the expected return of 0.0858%.
  
Commvault Systems 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 Commvault daily returns, and it is calculated using variance and standard deviation. We also use Commvault's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Commvault Systems volatility.

30 Days Market Risk

Very steady

Chance of Distress

Close to 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 Commvault Systems 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 Commvault Systems at lower prices. For example, an investor can purchase Commvault 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 Commvault Systems' 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 Commvault Systems

0.61AGILAgilethoughtPairCorr

Commvault Systems Market Sensitivity And Downside Risk

Commvault Systems' beta coefficient measures the volatility of Commvault 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 Commvault stock's returns against your selected market. In other words, Commvault Systems's beta of 1.59 provides an investor with an approximation of how much risk Commvault Systems stock can potentially add to one of your existing portfolios.
Commvault Systems shows above-average downside volatility for the selected time horizon. We advise investors to inspect Commvault Systems further and ensure that all market timing and asset allocation strategies are consistent with the estimation of Commvault Systems future alpha. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Commvault Systems' stock risk against market volatility during both bullying and bearish trends. The higher level of volatility that comes with bear markets can directly impact Commvault Systems' 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.

Commvault Systems Implied Volatility

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

Commvault Beta

    
  1.59  
Commvault 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

    
  2.93  
It is essential to understand the difference between upside risk (as represented by Commvault Systems's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Commvault Systems stock's daily returns or price. Since the actual investment returns on holding a position in Commvault Systems 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 Commvault Systems.

Using Commvault Put Option to Manage Risk

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

Commvault Systems' PUT expiring on 2022-08-19

   Profit   
Share
       Commvault Systems Price At Expiration  

Current Commvault Systems Insurance Chain

DeltaGammaOpen IntExpirationCurrent SpreadLast Price
Put
2022-08-19 PUT at $67.5-0.69630.026432022-08-196.5 - 11.26.1View
Put
2022-08-19 PUT at $65.0-0.66670.031672022-08-194.1 - 8.74.8View
Put
2022-08-19 PUT at $62.5-0.63970.0427212022-08-191.5 - 5.93.3View
Put
2022-08-19 PUT at $60.0-0.6790.1253782022-08-191.35 - 2.42.0View
Put
2022-08-19 PUT at $57.5-0.38210.09222082022-08-190.6 - 1.70.75View
Put
2022-08-19 PUT at $55.0-0.29910.043572022-08-190.1 - 3.20.75View
View All Commvault Systems Options

Commvault Systems Stock Volatility Analysis

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

Historical Volatility

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

Given the investment horizon of 90 days the stock has the beta coefficient of 1.5907 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, Commvault Systems 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 Commvault Systems or Technology 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 Commvault Systems 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 Commvault 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. Commvault Systems is significantly underperforming DOW.
   Predicted Return Density   
       Returns  
Commvault Systems' volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Commvault Systems 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.

Commvault Systems 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 Commvault Systems or Technology 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 Commvault Systems 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 Commvault 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 Commvault Systems is 3412.35. The daily returns are distributed with a variance of 8.57 and standard deviation of 2.93. The mean deviation of Commvault Systems is currently at 2.02. For similar time horizon, the selected benchmark (DOW) has volatility of 1.25
α
Alpha over DOW
-0.06
β
Beta against DOW1.59
σ
Overall volatility
2.93
Ir
Information ratio -0.0065

Commvault Systems Stock Return Volatility

Commvault Systems historical daily return volatility represents how much Commvault Systems stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The firm inherits 2.9276% 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 Commvault Systems Volatility

Volatility is a rate at which the price of Commvault Systems 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 Commvault Systems may increase or decrease. In other words, similar to Commvault's beta indicator, it measures the risk of Commvault Systems and helps estimate the fluctuations that may happen in a short period of time. So if prices of Commvault Systems 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 CapitalizationB2.7 B
Commvault Systems, Inc. provides data protection and information management software applications and related services in the United States and internationally. Commvault Systems, Inc. was founded in 1988 and is headquartered in Tinton Falls, New Jersey. Commvault Systems operates under SoftwareApplication classification in the United States and is traded on NASDAQ Exchange. It employs 2800 people.

Commvault Systems Investment Opportunity

Commvault Systems has a volatility of 2.93 and is 2.31 times more volatile than DOW. 25  of all equities and portfolios are less risky than Commvault Systems. Compared to the overall equity markets, volatility of historical daily returns of Commvault Systems is lower than 25 () of all global equities and portfolios over the last 90 days.
Use Commvault Systems to enhance the returns of your portfolios. Benchmarks are essential to demonstrate the utility of optimization algorithms. The stock experiences an unexpected upward trend. Watch out for market signals. Check odds of Commvault Systems to be traded at $71.83 in 90 days. .

Poor diversification

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

Commvault Systems Additional Risk Indicators

The analysis of Commvault Systems' 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 Commvault Systems' investment and either accepting that risk or mitigating it. Along with some common measures of Commvault Systems 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 Performance0.0326
Market Risk Adjusted Performance0.0429
Mean Deviation2.03
Semi Deviation3.24
Downside Deviation3.47
Coefficient Of Variation4655.63
Standard Deviation2.9
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.

Commvault Systems 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 Commvault Systems 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. Commvault Systems' 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, Commvault Systems' 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 Commvault Systems.
Continue to Trending Equities. Note that the Commvault Systems information on this page should be used as a complementary analysis to other Commvault Systems' 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 Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.

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When running Commvault Systems price analysis, check to measure Commvault Systems' 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 Commvault Systems is operating at the current time. Most of Commvault Systems' value examination focuses on studying past and present price action to predict the probability of Commvault Systems' future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Commvault Systems' price. Additionally, you may evaluate how the addition of Commvault Systems to your portfolios can decrease your overall portfolio volatility.
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Is Commvault Systems' 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 Commvault Systems. If investors know Commvault 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 Commvault Systems 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
-0.73
Market Capitalization
2.6 B
Quarterly Revenue Growth YOY
0.079
Return On Assets
0.0249
Return On Equity
0.0744
The market value of Commvault Systems is measured differently than its book value, which is the value of Commvault that is recorded on the company's balance sheet. Investors also form their own opinion of Commvault Systems' value that differs from its market value or its book value, called intrinsic value, which is Commvault Systems' 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 Commvault Systems' market value can be influenced by many factors that don't directly affect Commvault Systems' 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 Commvault Systems' value and its price as these two are different measures arrived at by different means. Investors typically determine Commvault Systems value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Commvault Systems' 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.