GreenSky Stock Volatility

GSKY -  USA Stock  

USD 10.20  0.00  0.00%

GreenSky appears to be very steady, given 3 months investment horizon. GreenSky holds Efficiency (Sharpe) Ratio of 0.41, which attests that the entity had 0.41% of return per unit of risk over the last 3 months. Our standpoint towards determining 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 GreenSky, which you can use to evaluate the future volatility of the firm. Please utilize GreenSky's risk adjusted performance of (0.1), and Market Risk Adjusted Performance of 75.36 to validate if our risk estimates are consistent with your expectations.
  
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GreenSky 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 GreenSky daily returns, and it is calculated using variance and standard deviation. We also use GreenSky's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of GreenSky volatility.

30 Days Market Risk

Very steady

Chance of Distress

Below Average

30 Days Economic Sensitivity

Moves indifferently to market moves
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as GreenSky 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 GreenSky at lower prices. For example, an investor can purchase GreenSky 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 GreenSky'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 GreenSky

0.73ACIWAci WorldwidePairCorr
0.66AKAMAkamai TechnologiesPairCorr
0.88ALFAlfi IncPairCorr
0.76ALTRAltair EngineeringPairCorr
0.71APPNAppian Corp Cl Upward RallyPairCorr

Moving against GreenSky

0.68BKIBlack KnightPairCorr

GreenSky Market Sensitivity And Downside Risk

GreenSky's beta coefficient measures the volatility of GreenSky 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 GreenSky stock's returns against your selected market. In other words, GreenSky's beta of -0.0022 provides an investor with an approximation of how much risk GreenSky stock can potentially add to one of your existing portfolios.
Let's try to break down what GreenSky's beta means in this case. As returns on the market increase, returns on owning GreenSky are expected to decrease at a much lower rate. During the bear market, GreenSky is likely to outperform the market.
3 Months Beta |Analyze GreenSky Demand Trend
Check current 90 days GreenSky correlation with market (DOW)

GreenSky Beta

    
  -0.0022  
GreenSky 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

    
  0.65  
It is essential to understand the difference between upside risk (as represented by GreenSky's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of GreenSky stock's daily returns or price. Since the actual investment returns on holding a position in GreenSky 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 GreenSky.

GreenSky Implied Volatility

    
  32.18  
GreenSky's implied volatility exposes the market's sentiment of GreenSky stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if GreenSky'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 GreenSky stock will not fluctuate a lot when GreenSky's options are near their expiration.

GreenSky Stock Volatility Analysis

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

Historical Volatility

This type of stock volatility measures GreenSky's fluctuations based on previous trends. It's commonly used to predict GreenSky'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 GreenSky's current market price. This means that the stock will return to its initially predicted market price.
Transformation
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GreenSky Projected Return Density Against Market

Given the investment horizon of 90 days GreenSky has a beta of -0.0022 . This usually indicates as returns on benchmark increase, returns on holding GreenSky are expected to decrease at a much lower rate. During the bear market, however, GreenSky 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 GreenSky 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 GreenSky 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 GreenSky 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. GreenSky is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
GreenSky's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how GreenSky 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.

GreenSky 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 GreenSky 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 GreenSky 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 GreenSky 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 GreenSky is 244.95. The daily returns are distributed with a variance of 0.42 and standard deviation of 0.65. The mean deviation of GreenSky is currently at 0.44. For similar time horizon, the selected benchmark (DOW) has volatility of 1.42
α
Alpha over DOW
-0.17
β
Beta against DOW-0.0022
σ
Overall volatility
0.65
Ir
Information ratio -0.0066

GreenSky Stock Return Volatility

GreenSky historical daily return volatility represents how much GreenSky 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 0.6506% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 1.4496% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About GreenSky Volatility

Volatility is a rate at which the price of GreenSky 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 GreenSky may increase or decrease. In other words, similar to GreenSky's beta indicator, it measures the risk of GreenSky and helps estimate the fluctuations that may happen in a short period of time. So if prices of GreenSky 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 Capitalization2.1 B1.8 B
GreenSky, Inc., a technology company, that enables promotional financing at the point of sale for merchants, consumers, and bank partners. The company was founded in 2006 and is headquartered in Atlanta, Georgia. Greensky Inc operates under SoftwareInfrastructure classification in the United States and is traded on NASDAQ Exchange. It employs 1164 people.

GreenSky Investment Opportunity

DOW has a standard deviation of returns of 1.45 and is 2.23 times more volatile than GreenSky. of all equities and portfolios are less risky than GreenSky. Compared to the overall equity markets, volatility of historical daily returns of GreenSky is lower than 5 () of all global equities and portfolios over the last 90 days.

GreenSky Additional Risk Indicators

The analysis of GreenSky'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 GreenSky's investment and either accepting that risk or mitigating it. Along with some common measures of GreenSky 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 Performance(0.1)
Market Risk Adjusted Performance75.36
Mean Deviation1.65
Coefficient Of Variation(1,432)
Standard Deviation2.23
Variance4.98
Information Ratio(0.006567)
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.

GreenSky 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 GreenSky 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. GreenSky'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, GreenSky'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 GreenSky.
Please check Risk vs Return Analysis. Note that the GreenSky information on this page should be used as a complementary analysis to other GreenSky'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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.

Other Tools for GreenSky Stock

When running GreenSky price analysis, check to measure GreenSky'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 GreenSky is operating at the current time. Most of GreenSky's value examination focuses on studying past and present price action to predict the probability of GreenSky's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move GreenSky's price. Additionally, you may evaluate how the addition of GreenSky to your portfolios can decrease your overall portfolio volatility.
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