Intra-Cellular Stock Volatility

ITCI -  USA Stock  

USD 55.62  1.57  2.75%

Intra-Cellular Ther holds Efficiency (Sharpe) Ratio of -0.0175, which attests that the entity had -0.0175% of return per unit of risk over the last 3 months. Macroaxis standpoint towards determining the risk of any stock is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. Intra-Cellular Ther exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Intra-Cellular Ther market risk adjusted performance of (0.047836), and Risk Adjusted Performance of (0.007813) to validate the risk estimate we provide.
  
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Intra-Cellular Ther 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 Intra-Cellular daily returns, and it is calculated using variance and standard deviation. We also use Intra-Cellular's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Intra-Cellular Ther volatility.

90 Days Market Risk

Very steady

Chance of Distress

Average

90 Days Economic Sensitivity

Almost mirrors the market
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Intra-Cellular Ther 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 Intra-Cellular Ther at lower prices. For example, an investor can purchase Intra-Cellular 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 Intra-Cellular Ther'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 Intra-Cellular Ther

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Intra-Cellular Ther Market Sensitivity And Downside Risk

Intra-Cellular Ther's beta coefficient measures the volatility of Intra-Cellular 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 Intra-Cellular stock's returns against your selected market. In other words, Intra-Cellular Ther's beta of 0.91 provides an investor with an approximation of how much risk Intra-Cellular Ther stock can potentially add to one of your existing portfolios.
Let's try to break down what Intra-Cellular's beta means in this case. Intra-Cellular Ther returns are very sensitive to returns on the market. As the market goes up or down, Intra-Cellular Ther is expected to follow.
3 Months Beta |Analyze Intra-Cellular Ther Demand Trend
Check current 90 days Intra-Cellular Ther correlation with market (DOW)

Intra-Cellular Beta

    
  0.91  
Intra-Cellular 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

    
  4.32  
It is essential to understand the difference between upside risk (as represented by Intra-Cellular Ther's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Intra-Cellular Ther stock's daily returns or price. Since the actual investment returns on holding a position in Intra-Cellular Ther 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 Intra-Cellular Ther.

Intra-Cellular Ther Implied Volatility

    
  73.21  
Intra-Cellular Ther's implied volatility exposes the market's sentiment of Intra-Cellular Ther stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Intra-Cellular Ther'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 Intra-Cellular Ther stock will not fluctuate a lot when Intra-Cellular Ther's options are near their expiration.

Intra-Cellular Ther Stock Volatility Analysis

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

Historical Volatility

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

Given the investment horizon of 90 days Intra-Cellular Ther has a beta of 0.9097 . This usually indicates Intra-Cellular Ther market returns are reactive to returns on the market. As the market goes up or down, Intra-Cellular Ther is expected to follow.
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 Intra-Cellular Ther 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 Intra-Cellular Ther 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 Intra-Cellular 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 0.0849, implying that it can generate a 0.0849 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Intra-Cellular Ther's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Intra-Cellular Ther 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.

Intra-Cellular Ther 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 Intra-Cellular Ther 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 Intra-Cellular Ther 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 Intra-Cellular 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 Intra-Cellular Ther is -5720.98. The daily returns are distributed with a variance of 18.64 and standard deviation of 4.32. The mean deviation of Intra-Cellular Ther is currently at 2.71. For similar time horizon, the selected benchmark (DOW) has volatility of 1.42
α
Alpha over DOW
0.08
β
Beta against DOW0.91
σ
Overall volatility
4.32
Ir
Information ratio 0.0235

Intra-Cellular Ther Stock Return Volatility

Intra-Cellular Ther historical daily return volatility represents how much Intra-Cellular Ther 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 4.3173% 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 Intra-Cellular Ther Volatility

Volatility is a rate at which the price of Intra-Cellular Ther 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 Intra-Cellular Ther may increase or decrease. In other words, similar to Intra-Cellular's beta indicator, it measures the risk of Intra-Cellular Ther and helps estimate the fluctuations that may happen in a short period of time. So if prices of Intra-Cellular Ther 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 Capitalization4.3 B4.6 B
Intra-Cellular Therapies, Inc., a biopharmaceutical company, develops novel drugs for the treatment of neuropsychiatric and neurologic diseases by targeting intracellular signaling mechanisms within the central nervous system in the United States. Intra-Cellular Therapies, Inc. was founded in 2002 and is headquartered in New York, New York. Intra-Cellular Ther operates under Drug ManufacturersSpecialty Generic classification in the United States and is traded on NASDAQ Exchange. It employs 512 people.

Intra-Cellular Ther Investment Opportunity

Intra-Cellular Ther has a volatility of 4.32 and is 2.98 times more volatile than DOW. 37  of all equities and portfolios are less risky than Intra-Cellular Ther. Compared to the overall equity markets, volatility of historical daily returns of Intra-Cellular Ther is lower than 37 () of all global equities and portfolios over the last 90 days. Use Intra-Cellular Ther to protect your portfolios against small market fluctuations. The stock experiences an unexpected downward movement. The market is reacting to new fundamentals. Check odds of Intra-Cellular Ther to be traded at $53.4 in 90 days. . Let's try to break down what Intra-Cellular's beta means in this case. Intra-Cellular Ther returns are very sensitive to returns on the market. As the market goes up or down, Intra-Cellular Ther is expected to follow.

Weak diversification

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

Intra-Cellular Ther Additional Risk Indicators

The analysis of Intra-Cellular Ther'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 Intra-Cellular Ther's investment and either accepting that risk or mitigating it. Along with some common measures of Intra-Cellular Ther 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(0.007813)
Market Risk Adjusted Performance(0.047836)
Mean Deviation2.62
Coefficient Of Variation(9,854)
Standard Deviation4.2
Variance17.63
Information Ratio0.0235
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.

Intra-Cellular Ther 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 Intra-Cellular Ther 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. Intra-Cellular Ther'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, Intra-Cellular Ther'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 Intra-Cellular Ther.
Please see Risk vs Return Analysis. Note that the Intra-Cellular Ther information on this page should be used as a complementary analysis to other Intra-Cellular Ther'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 Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.

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Is Intra-Cellular Ther'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 Intra-Cellular Ther. If investors know Intra-Cellular 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 Intra-Cellular Ther listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.
Market Capitalization
5.4 B
Quarterly Revenue Growth YOY
1.2
Return On Assets
-0.25
Return On Equity
-0.43
The market value of Intra-Cellular Ther is measured differently than its book value, which is the value of Intra-Cellular that is recorded on the company's balance sheet. Investors also form their own opinion of Intra-Cellular Ther's value that differs from its market value or its book value, called intrinsic value, which is Intra-Cellular Ther'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 Intra-Cellular Ther's market value can be influenced by many factors that don't directly affect Intra-Cellular Ther'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 Intra-Cellular Ther's value and its price as these two are different measures arrived at by different means. Investors typically determine Intra-Cellular Ther value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Intra-Cellular Ther'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.