Magellan Stock Volatility

MGLN
 Stock
  

USD 94.99  0.00  0.00%   

Our standpoint towards estimating 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 Magellan Health, which you can use to evaluate the future volatility of the firm. Please verify Magellan Health Mean Deviation of 0.1054, downside deviation of 0.178, and Risk Adjusted Performance of (0.034327) to check out if the risk estimate we provide is consistent with the expected return of 0.0%.
  
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Magellan Health 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 Magellan daily returns, and it is calculated using variance and standard deviation. We also use Magellan's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Magellan Health volatility.

60 Days Market Risk

Very steady

Chance of Distress

60 Days Economic Sensitivity

Barely shadows the market
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Magellan Health 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 Magellan Health at lower prices. For example, an investor can purchase Magellan 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 Magellan Health'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.

Magellan Health Market Sensitivity And Downside Risk

Magellan Health's beta coefficient measures the volatility of Magellan 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 Magellan stock's returns against your selected market. In other words, Magellan Health's beta of 0.0168 provides an investor with an approximation of how much risk Magellan Health stock can potentially add to one of your existing portfolios.
Let's try to break down what Magellan's beta means in this case. As returns on the market increase, Magellan Health returns are expected to increase less than the market. However, during the bear market, the loss on holding Magellan Health will be expected to be smaller as well.
3 Months Beta |Analyze Magellan Health Demand Trend
Check current 90 days Magellan Health correlation with market (DOW)

Magellan Beta

    
  0.0168  
Magellan 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

    
  0.0  
It is essential to understand the difference between upside risk (as represented by Magellan Health's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Magellan Health stock's daily returns or price. Since the actual investment returns on holding a position in Magellan Health 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 Magellan Health.

Magellan Health Implied Volatility

    
  0.0  
Magellan Health's implied volatility exposes the market's sentiment of Magellan Health stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Magellan Health'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 Magellan Health stock will not fluctuate a lot when Magellan Health's options are near their expiration.

Magellan Health Stock Volatility Analysis

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

Historical Volatility

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

Given the investment horizon of 90 days Magellan Health has a beta of 0.0168 . This indicates as returns on the market go up, Magellan Health average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Magellan Health will be expected to be much smaller as well.
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 Magellan Health 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 Magellan Health 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 Magellan 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. Magellan Health is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Magellan Health's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Magellan Health 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.

Magellan Health 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 Magellan Health 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 Magellan Health 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 Magellan 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 Magellan Health is 0.0. The daily returns are distributed with a variance of 0.0 and standard deviation of 0.0. The mean deviation of Magellan Health is currently at 0.0. For similar time horizon, the selected benchmark (DOW) has volatility of 1.42
α
Alpha over DOW
-0.002
β
Beta against DOW0.0168
σ
Overall volatility
0.00
Ir
Information ratio 1.07

Magellan Health Stock Return Volatility

Magellan Health historical daily return volatility represents how much Magellan Health 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 0.0% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 1.4543% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Magellan Health Volatility

Volatility is a rate at which the price of Magellan Health 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 Magellan Health may increase or decrease. In other words, similar to Magellan's beta indicator, it measures the risk of Magellan Health and helps estimate the fluctuations that may happen in a short period of time. So if prices of Magellan Health 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 Capitalization2.4 B2.3 B
Magellan Health, Inc., together with its subsidiaries, provides healthcare management services in the United States. As of January 4, 2022, Magellan Health, Inc. operates as a subsidiary of Centene Corporation. Magellan Health operates under Healthcare Plans classification in the United States and is traded on NASDAQ Exchange. It employs 9000 people.

Magellan Health Investment Opportunity

DOW has a standard deviation of returns of 1.45 and is 9.223372036854776E16 times more volatile than Magellan Health. of all equities and portfolios are less risky than Magellan Health. Compared to the overall equity markets, volatility of historical daily returns of Magellan Health is lower than 0 () of all global equities and portfolios over the last 90 days. Use Magellan Health to protect your portfolios against small market fluctuations. The stock experiences a normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Magellan Health to be traded at $94.04 in 90 days. . Let's try to break down what Magellan's beta means in this case. As returns on the market increase, Magellan Health returns are expected to increase less than the market. However, during the bear market, the loss on holding Magellan Health will be expected to be smaller as well.

Average diversification

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

Magellan Health Additional Risk Indicators

The analysis of Magellan Health'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 Magellan Health's investment and either accepting that risk or mitigating it. Along with some common measures of Magellan Health 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(0.034327)
Market Risk Adjusted Performance(0.28)
Mean Deviation0.1054
Semi Deviation0.1449
Downside Deviation0.178
Coefficient Of Variation3104.31
Standard Deviation0.1575
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.

Magellan Health 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 Magellan Health 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. Magellan Health'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, Magellan Health'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 Magellan Health.
Additionally, see Stocks Correlation. Note that the Magellan Health information on this page should be used as a complementary analysis to other Magellan Health'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 Center module to all portfolio management and optimization tools to improve performance of your portfolios.

Other Tools for Magellan Stock

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