MITIE GROUP (UK) Volatility

MTO
 Stock
  

GBp 69.20  4.10  5.59%   

MITIE GROUP appears to be very steady, given 3 months investment horizon. MITIE GROUP PLC has Sharpe Ratio of 0.14, which conveys that the firm had 0.14% of return per unit of standard deviation over the last 3 months. Our approach into 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 MITIE GROUP, which you can use to evaluate the future volatility of the firm. Please exercise MITIE GROUP's Market Risk Adjusted Performance of 0.7865, mean deviation of 1.55, and Risk Adjusted Performance of 0.1155 to check out if our risk estimates are consistent with your expectations.
  
MITIE GROUP 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 MITIE daily returns, and it is calculated using variance and standard deviation. We also use MITIE's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of MITIE GROUP volatility.

720 Days Market Risk

Very steady

Chance of Distress

720 Days Economic Sensitivity

Slowly supersedes the market
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as MITIE GROUP 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 MITIE GROUP at lower prices. For example, an investor can purchase MITIE 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 MITIE GROUP'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.

MITIE GROUP Market Sensitivity And Downside Risk

MITIE GROUP's beta coefficient measures the volatility of MITIE 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 MITIE stock's returns against your selected market. In other words, MITIE GROUP's beta of 0.24 provides an investor with an approximation of how much risk MITIE GROUP stock can potentially add to one of your existing portfolios.
MITIE GROUP PLC currently demonstrates below-average downside deviation. It has Information Ratio of 0.12 and Jensen Alpha of 0.2. However, we advise investors to further question MITIE GROUP PLC expected returns to ensure all indicators are consistent with the current outlook about its relatively low value at risk. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure MITIE GROUP'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 MITIE GROUP'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.
3 Months Beta |Analyze MITIE GROUP PLC Demand Trend
Check current 90 days MITIE GROUP correlation with market (DOW)

MITIE Beta

    
  0.24  
MITIE 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

    
  1.91  
It is essential to understand the difference between upside risk (as represented by MITIE GROUP's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of MITIE GROUP's daily returns or price. Since the actual investment returns on holding a position in mitie 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 MITIE GROUP.

MITIE GROUP PLC Stock Volatility Analysis

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

Historical Volatility

This type of stock volatility measures MITIE GROUP's fluctuations based on previous trends. It's commonly used to predict MITIE GROUP'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 MITIE GROUP's current market price. This means that the stock will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on MITIE GROUP's to be redeemed at a future date.
Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. MITIE GROUP PLC 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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MITIE GROUP Projected Return Density Against Market

Assuming the 90 days horizon MITIE GROUP has a beta of 0.2405 . This indicates as returns on the market go up, MITIE GROUP average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding MITIE GROUP PLC 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 MITIE GROUP or Industrials 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 MITIE GROUP'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 MITIE 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 0.1984, implying that it can generate a 0.2 percent excess return over DOW after adjusting for the inherited market risk (beta).
   Predicted Return Density   
       Returns  
MITIE GROUP's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how mitie 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 MITIE GROUP 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.

MITIE GROUP 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 MITIE GROUP or Industrials 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 MITIE GROUP'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 MITIE 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. Assuming the 90 days horizon the coefficient of variation of MITIE GROUP is 734.47. The daily returns are distributed with a variance of 3.63 and standard deviation of 1.91. The mean deviation of MITIE GROUP PLC is currently at 1.44. For similar time horizon, the selected benchmark (DOW) has volatility of 1.14
α
Alpha over DOW
0.20
β
Beta against DOW0.24
σ
Overall volatility
1.91
Ir
Information ratio 0.12

MITIE GROUP Stock Return Volatility

MITIE GROUP historical daily return volatility represents how much of MITIE GROUP stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company shows 1.9063% volatility of returns over 90 . By contrast, DOW inherits 1.0965% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
       Timeline  

About MITIE GROUP Volatility

Volatility is a rate at which the price of MITIE GROUP 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 MITIE GROUP may increase or decrease. In other words, similar to MITIE's beta indicator, it measures the risk of MITIE GROUP and helps estimate the fluctuations that may happen in a short period of time. So if prices of MITIE GROUP 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.
Mitie Group plc, together with its subsidiaries, provides strategic outsourcing services in the United Kingdom and internationally. Mitie Group plc was incorporated in 1936 and is headquartered in London, the United Kingdom. MITIE GROUP operates under Specialty Business Services classification in UK and is traded on London Stock Exchange. It employs 71330 people.

MITIE GROUP Investment Opportunity

MITIE GROUP PLC has a volatility of 1.91 and is 1.74 times more volatile than DOW. 16  of all equities and portfolios are less risky than MITIE GROUP. Compared to the overall equity markets, volatility of historical daily returns of MITIE GROUP PLC is lower than 16 () of all global equities and portfolios over the last 90 days. Use MITIE GROUP PLC 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 MITIE GROUP to be traded at p;65.74 in 90 days.

Average diversification

The correlation between MITIE GROUP PLC ORD 2 5P and DJI is 0.14 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding MITIE GROUP PLC ORD 2 5P and DJI in the same portfolio, assuming nothing else is changed.

MITIE GROUP Additional Risk Indicators

The analysis of MITIE GROUP'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 MITIE GROUP's investment and either accepting that risk or mitigating it. Along with some common measures of MITIE GROUP 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.
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.

MITIE GROUP 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.
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 MITIE GROUP 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. MITIE GROUP'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, MITIE GROUP'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 MITIE GROUP PLC.
Additionally, see Correlation Analysis. You can also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.

Complementary Tools for analysis

When running MITIE GROUP PLC price analysis, check to measure MITIE GROUP'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 MITIE GROUP is operating at the current time. Most of MITIE GROUP's value examination focuses on studying past and present price action to predict the probability of MITIE GROUP's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move MITIE GROUP's price. Additionally, you may evaluate how the addition of MITIE GROUP to your portfolios can decrease your overall portfolio volatility.
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Please note, there is a significant difference between MITIE GROUP's value and its price as these two are different measures arrived at by different means. Investors typically determine MITIE GROUP value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, MITIE GROUP'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.