Canada Stock Volatility


USD 20.71  0.98  4.52%   

We consider Canada Goose not too volatile. Canada Goose Holdings secures Sharpe Ratio (or Efficiency) of 0.0126, which signifies that the company had 0.0126% 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 Canada Goose Holdings, which you can use to evaluate the future volatility of the firm. Please confirm Canada Goose Holdings Mean Deviation of 3.07, downside deviation of 3.55, and Risk Adjusted Performance of 0.0929 to double-check if the risk estimate we provide is consistent with the expected return of 0.0426%.
Canada Goose 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 Canada daily returns, and it is calculated using variance and standard deviation. We also use Canada's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Canada Goose volatility.

30 Days Market Risk

Not too volatile

Chance of Distress

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 Canada Goose 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 Canada Goose at lower prices. For example, an investor can purchase Canada 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 Canada Goose'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 Canada Goose

0.7COLMColumbia SprtswrPairCorr
0.71CPRICapri HoldingsPairCorr
0.92GILGildan ActivewearPairCorr

Canada Goose Market Sensitivity And Downside Risk

Canada Goose's beta coefficient measures the volatility of Canada 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 Canada stock's returns against your selected market. In other words, Canada Goose's beta of 1.8 provides an investor with an approximation of how much risk Canada Goose stock can potentially add to one of your existing portfolios.
Canada Goose Holdings shows above-average downside volatility for the selected time horizon. We advise investors to inspect Canada Goose Holdings further and ensure that all market timing and asset allocation strategies are consistent with the estimation of Canada Goose future alpha. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Canada Goose'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 Canada Goose'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.

Canada Goose Implied Volatility

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

Canada Beta

Canada 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

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

Using Canada Put Option to Manage Risk

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

Canada Goose's PUT expiring on 2022-08-19

       Canada Goose Price At Expiration  

Current Canada Goose Insurance Chain

DeltaGammaOpen IntExpirationCurrent SpreadLast Price
2022-08-19 PUT at $24.0-0.93120.091942022-08-192.15 - 2.551.45View
2022-08-19 PUT at $23.0-0.79310.19191942022-08-191.35 - 1.60.78View
2022-08-19 PUT at $22.5-0.73280.26985212022-08-190.9 - 1.10.55View
2022-08-19 PUT at $22.0-0.57150.27494232022-08-190.6 - 0.750.74View
2022-08-19 PUT at $21.0-0.28870.2551822022-08-190.15 - 0.30.25View
2022-08-19 PUT at $20.0-0.10110.12472662022-08-190.05 - 0.10.07View
View All Canada Goose Options

Canada Goose Holdings Stock Volatility Analysis

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

Historical Volatility

This type of stock volatility measures Canada Goose's fluctuations based on previous trends. It's commonly used to predict Canada Goose'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 Canada Goose's current market price. This means that the stock will return to its initially predicted market price.
The output start index for this execution was zero with a total number of output elements of sixty-one. Canada Goose Holdings 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.

Canada Goose Projected Return Density Against Market

Given the investment horizon of 90 days the stock has the beta coefficient of 1.8001 . 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, Canada Goose 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 Canada Goose 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 Canada Goose'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 Canada 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 0.0565, implying that it can generate a 0.0565 percent excess return over DOW after adjusting for the inherited market risk (beta).
   Predicted Return Density   
Canada Goose's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how canada 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 Canada Goose Price Volatility?

Several factors can influence a Stock's stock volatility:


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.

Canada Goose 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 Canada Goose 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 Canada Goose'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 Canada 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 Canada Goose is 7956.24. The daily returns are distributed with a variance of 11.48 and standard deviation of 3.39. The mean deviation of Canada Goose Holdings is currently at 2.8. For similar time horizon, the selected benchmark (DOW) has volatility of 1.25
Alpha over DOW
Beta against DOW1.80
Overall volatility
Information ratio 0.0378

Canada Goose Stock Return Volatility

Canada Goose historical daily return volatility represents how much of Canada Goose stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The enterprise inherits 3.3888% 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 (%) 

About Canada Goose Volatility

Volatility is a rate at which the price of Canada Goose 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 Canada Goose may increase or decrease. In other words, similar to Canada's beta indicator, it measures the risk of Canada Goose and helps estimate the fluctuations that may happen in a short period of time. So if prices of Canada Goose 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 Capitalization2.8 B4.2 B
Canada Goose Holdings Inc. designs, manufactures, and sells performance luxury apparel for men, women, youth, children, and babies in Canada, the United States, Asia Pacific, Europe, the Middle East, Africa, and Latin America. The company was founded in 1957 and is headquartered in Toronto, Canada. Canada Goose operates under Apparel Manufacturing classification in the United States and is traded on New York Stock Exchange. It employs 4353 people.

Canada Goose Investment Opportunity

Canada Goose Holdings has a volatility of 3.39 and is 2.9 times more volatile than DOW. 29  of all equities and portfolios are less risky than Canada Goose. Compared to the overall equity markets, volatility of historical daily returns of Canada Goose Holdings is lower than 29 () of all global equities and portfolios over the last 90 days.
Use Canada Goose Holdings to protect your portfolios against small market fluctuations. Benchmarks are essential to demonstrate the utility of optimization algorithms. The stock experiences a very speculative upward sentiment. Check odds of Canada Goose to be traded at $19.67 in 90 days. .

Very weak diversification

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

Canada Goose Additional Risk Indicators

The analysis of Canada Goose'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 Canada Goose's investment and either accepting that risk or mitigating it. Along with some common measures of Canada Goose 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 Performance0.0929
Market Risk Adjusted Performance0.1506
Mean Deviation3.07
Semi Deviation3.36
Downside Deviation3.55
Coefficient Of Variation1446.0
Standard Deviation3.8
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.

Canada Goose 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.
Devon Energy vs. Canada Goose
Invesco Solar vs. Canada Goose
Stryker Corp vs. Canada Goose
Zimmer Biomet vs. Canada Goose
Johnson Johnson vs. Canada Goose
Sentinelone Inc vs. Canada Goose
Citigroup vs. Canada Goose
B of A vs. Canada Goose
Otp Bank vs. Canada Goose
Main Street vs. Canada Goose
Bristol-Myers Squibb vs. Canada Goose
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 Canada Goose 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. Canada Goose'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, Canada Goose'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 Canada Goose Holdings.
Please check Risk vs Return Analysis. Note that the Canada Goose Holdings information on this page should be used as a complementary analysis to other Canada Goose'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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.

Complementary Tools for Canada Stock analysis

When running Canada Goose Holdings price analysis, check to measure Canada Goose'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 Canada Goose is operating at the current time. Most of Canada Goose's value examination focuses on studying past and present price action to predict the probability of Canada Goose's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Canada Goose's price. Additionally, you may evaluate how the addition of Canada Goose to your portfolios can decrease your overall portfolio volatility.
Volatility Analysis
Get historical volatility and risk analysis based on latest market data
Price Ceiling Movement
Calculate and plot Price Ceiling Movement for different equity instruments
Portfolio Center
All portfolio management and optimization tools to improve performance of your portfolios
Efficient Frontier
Plot and analyze your portfolio and positions against risk-return landscape of the market.
Options Analysis
Analyze and evaluate options and option chains as a potential hedge for your portfolios
Headlines Timeline
Stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity
Equity Forecasting
Use basic forecasting models to generate price predictions and determine price momentum
Sync Your Broker
Sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors.
Crypto Correlations
Use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins
Content Syndication
Quickly integrate customizable finance content to your own investment portal
Portfolio Center
All portfolio management and optimization tools to improve performance of your portfolios
Is Canada Goose'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 Canada Goose. If investors know Canada 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 Canada Goose 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
Market Capitalization
2.3 B
Quarterly Revenue Growth YOY
Return On Assets
Return On Equity
The market value of Canada Goose Holdings is measured differently than its book value, which is the value of Canada that is recorded on the company's balance sheet. Investors also form their own opinion of Canada Goose's value that differs from its market value or its book value, called intrinsic value, which is Canada Goose'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 Canada Goose's market value can be influenced by many factors that don't directly affect Canada Goose'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 Canada Goose's value and its price as these two are different measures arrived at by different means. Investors typically determine Canada Goose value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Canada Goose'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.