Five Below Stock Volatility

FIVE
 Stock
  

USD 143.98  3.40  2.31%   

Five Below appears to be very steady, given 3 months investment horizon. Five Below secures Sharpe Ratio (or Efficiency) of 0.0861, which denotes the company had 0.0861% of return per unit of risk over the last 3 months. Our standpoint towards predicting 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-one technical indicators for Five Below, which you can use to evaluate the future volatility of the firm. Please utilize Five Below's Coefficient Of Variation of 7438.49, downside deviation of 3.62, and Mean Deviation of 2.92 to check if our risk estimates are consistent with your expectations.
  
Five Below 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 Five Below daily returns, and it is calculated using variance and standard deviation. We also use Five Below's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Five Below volatility.

30 Days Market Risk

Very steady

Chance of Distress

Very Low

30 Days Economic Sensitivity

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

0.8AAPAdvance Auto Parts Earnings Call  This WeekPairCorr
0.66BBBYBed Bath Beyond TrendingPairCorr

Five Below Market Sensitivity And Downside Risk

Five Below's beta coefficient measures the volatility of Five Below 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 Five Below stock's returns against your selected market. In other words, Five Below's beta of 1.95 provides an investor with an approximation of how much risk Five Below stock can potentially add to one of your existing portfolios.
Five Below shows above-average downside volatility for the selected time horizon. We advise investors to inspect Five Below further and ensure that all market timing and asset allocation strategies are consistent with the estimation of Five Below future alpha. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Five Below's stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Five Below's 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.

Five Below Implied Volatility

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

Five Below Beta

    
  1.95  
Five Below 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

    
  3.64  
It is essential to understand the difference between upside risk (as represented by Five Below's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Five Below's daily returns or price. Since the actual investment returns on holding a position in five below 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 Five Below.

Using Five Below Put Option to Manage Risk

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

Five Below's PUT expiring on 2022-08-19

   Profit   
Share
       Five Below Price At Expiration  

Current Five Below Insurance Chain

DeltaGammaOpen IntExpirationCurrent SpreadLast Price
Put
2022-08-19 PUT at $230.0-0.91620.0035102022-08-1983.9 - 87.584.4View
Put
2022-08-19 PUT at $220.0-0.92850.003622022-08-1974.5 - 77.133.4View
Put
2022-08-19 PUT at $210.0-0.92840.00452022-08-1964.5 - 67.044.5View
Put
2022-08-19 PUT at $195.0-0.92430.00522022-08-1949.1 - 51.939.9View
Put
2022-08-19 PUT at $190.0-0.90880.005952022-08-1943.9 - 47.167.7View
Put
2022-08-19 PUT at $185.0-0.89780.0067142022-08-1938.9 - 42.267.47View
Put
2022-08-19 PUT at $180.0-0.90310.0074152022-08-1933.9 - 37.053.25View
Put
2022-08-19 PUT at $175.0-0.86560.009292022-08-1929.0 - 32.541.6View
Put
2022-08-19 PUT at $170.0-0.87210.0106142022-08-1924.0 - 27.250.7View
Put
2022-08-19 PUT at $165.0-0.88870.012382022-08-1919.8 - 21.842.55View
Put
2022-08-19 PUT at $160.0-0.89230.015622022-08-1915.0 - 16.640.44View
View All Five Below Options

Five Below Stock Volatility Analysis

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

Historical Volatility

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

Given the investment horizon of 90 days the stock has the beta coefficient of 1.9505 . This usually indicates as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Five Below 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 Five Below 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 Five Below'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 Five Below 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. Five Below is significantly underperforming DOW.
   Predicted Return Density   
       Returns  
Five Below's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how five below 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 Five Below Price Volatility?

Several factors can influence a Stock'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.

Five Below 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 Five Below 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 Five Below'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 Five Below 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 Five Below is 1162.01. The daily returns are distributed with a variance of 13.26 and standard deviation of 3.64. The mean deviation of Five Below is currently at 2.84. For similar time horizon, the selected benchmark (DOW) has volatility of 1.24
α
Alpha over DOW
-0.11
β
Beta against DOW1.95
σ
Overall volatility
3.64
Ir
Information ratio -0.0098

Five Below Stock Return Volatility

Five Below historical daily return volatility represents how much of Five Below stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm inherits 3.6415% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 1.1709% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
       Timeline  

About Five Below Volatility

Volatility is a rate at which the price of Five Below 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 Five Below may increase or decrease. In other words, similar to Five Below's beta indicator, it measures the risk of Five Below and helps estimate the fluctuations that may happen in a short period of time. So if prices of Five Below 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 Capitalization8.9 B5.6 B
Five Below, Inc. operates as a specialty value retailer in the United States. Five Below, Inc. was incorporated in 2002 and is headquartered in Philadelphia, Pennsylvania. Five Below operates under Specialty Retail classification in the United States and is traded on NASDAQ Exchange. It employs 6100 people.

Five Below Investment Opportunity

Five Below has a volatility of 3.64 and is 3.11 times more volatile than DOW. 31  of all equities and portfolios are less risky than Five Below. Compared to the overall equity markets, volatility of historical daily returns of Five Below is lower than 31 () of all global equities and portfolios over the last 90 days.
Use Five Below to protect your portfolios against small market fluctuations. Benchmarks are essential to demonstrate the utility of optimization algorithms. The stock experiences an unexpected downward movement. The market is reacting to new fundamentals. Check odds of Five Below to be traded at $138.22 in 90 days. .

Poor diversification

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

Five Below Additional Risk Indicators

The analysis of Five Below'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 Five Below's investment and either accepting that risk or mitigating it. Along with some common measures of Five Below stock's 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 Performance0.0234
Market Risk Adjusted Performance0.0314
Mean Deviation2.92
Semi Deviation3.56
Downside Deviation3.62
Coefficient Of Variation7438.49
Standard Deviation3.85
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stocks, we recommend comparing similar stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Five Below 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 Five Below 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. Five Below'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, Five Below'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 Five Below.
Please check Investing Opportunities. Note that the Five Below information on this page should be used as a complementary analysis to other Five Below'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 Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.

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Is Five Below'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 Five Below. If investors know Five Below 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 Five Below 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
-0.33
Market Capitalization
B
Quarterly Revenue Growth YOY
0.07
Return On Assets
0.0829
Return On Equity
0.26
The market value of Five Below is measured differently than its book value, which is the value of Five Below that is recorded on the company's balance sheet. Investors also form their own opinion of Five Below's value that differs from its market value or its book value, called intrinsic value, which is Five Below'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 Five Below's market value can be influenced by many factors that don't directly affect Five Below'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 Five Below's value and its price as these two are different measures arrived at by different means. Investors typically determine Five Below value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Five Below'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.