Flexshares Etf Volatility

NFRA
 Etf
  

USD 53.83  0.02  0.0372%   

We consider Flexshares Global very steady. Flexshares Global Broad secures Sharpe Ratio (or Efficiency) of 0.0559, which denotes the etf had 0.0559% of return per unit of risk over the last 3 months. Our standpoint towards predicting the volatility of an etf is to use all available market data together with etf-specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for Flexshares Global Broad, which you can use to evaluate the future volatility of the entity. Please confirm Flexshares Global Broad Coefficient Of Variation of 90457.95, downside deviation of 1.16, and Mean Deviation of 0.804 to check if the risk estimate we provide is consistent with the expected return of 0.0592%.
  
Flexshares Global Etf 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 Flexshares daily returns, and it is calculated using variance and standard deviation. We also use Flexshares's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Flexshares Global volatility.

30 Days Market Risk

Very steady

Chance of Distress

30 Days Economic Sensitivity

Follows the market closely
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Flexshares Global 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 Flexshares Global at lower prices. For example, an investor can purchase Flexshares 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 Flexshares Global'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 Flexshares Global

0.79PAVEGX US InfrastructurePairCorr
0.98IGFGlobal InfrastructurePairCorr
0.88IFRAUS Infrastructure IsharesPairCorr
0.98GIIFTSE Global InfraPairCorr
0.98TOLZDJ Brookfield GlobalPairCorr
0.77SIMSSPDR Kensho IntelligentPairCorr

Flexshares Global Market Sensitivity And Downside Risk

Flexshares Global's beta coefficient measures the volatility of Flexshares etf 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 Flexshares etf's returns against your selected market. In other words, Flexshares Global's beta of 0.75 provides an investor with an approximation of how much risk Flexshares Global etf can potentially add to one of your existing portfolios.
Flexshares Global Broad has relatively low volatility with skewness of -0.5 and kurtosis of 0.34. However, we advise all investors to independently investigate Flexshares Global Broad to ensure all accessible information is consistent with the expectations about its upside potential and future expected returns. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Flexshares Global's etf risk against market volatility during both bullying and bearish trends. The higher level of volatility that comes with bear markets can directly impact Flexshares Global's etf 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.

Flexshares Global Implied Volatility

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

Flexshares Beta

    
  0.75  
Flexshares 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

    
  1.06  
It is essential to understand the difference between upside risk (as represented by Flexshares Global's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Flexshares Global stock's daily returns or price. Since the actual investment returns on holding a position in Flexshares Global 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 Flexshares Global.

Flexshares Global Broad Etf Volatility Analysis

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

Historical Volatility

This type of stock volatility measures Flexshares Global's fluctuations based on previous trends. It's commonly used to predict Flexshares Global'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 Flexshares Global'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. Flexshares Global Broad 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.
.

Flexshares Global Projected Return Density Against Market

Given the investment horizon of 90 days Flexshares Global has a beta of 0.7503 . This indicates as returns on the market go up, Flexshares Global average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Flexshares Global Broad 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 Flexshares Global or Flexshares Trust 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 Flexshares Global 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 Flexshares 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 6.0E-4, implying that it can generate a 6.0E-4 percent excess return over DOW after adjusting for the inherited market risk (beta).
   Predicted Return Density   
       Returns  
Flexshares Global's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Flexshares Global 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.

Flexshares Global Etf 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 Flexshares Global or Flexshares Trust 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 Flexshares Global 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 Flexshares 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 Flexshares Global is 1789.77. The daily returns are distributed with a variance of 1.12 and standard deviation of 1.06. The mean deviation of Flexshares Global Broad is currently at 0.8. For similar time horizon, the selected benchmark (DOW) has volatility of 1.25
α
Alpha over DOW
0.0006
β
Beta against DOW0.75
σ
Overall volatility
1.06
Ir
Information ratio 0.0035

Flexshares Global Etf Return Volatility

Flexshares Global historical daily return volatility represents how much Flexshares Global stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The ETF inherits 1.0589% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 1.2692% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
       Timeline  

About Flexshares Global Volatility

Volatility is a rate at which the price of Flexshares Global 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 Flexshares Global may increase or decrease. In other words, similar to Flexshares's beta indicator, it measures the risk of Flexshares Global and helps estimate the fluctuations that may happen in a short period of time. So if prices of Flexshares Global 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.
The index reflects the performance of a selection of companies that, in aggregate, offer broad exposure to publicly-traded developed- and emerging-market infrastructure companies, including U.S. companies, as defined by STOXX Ltd. Flexshares Global is traded on NYSEArca Exchange in the United States.

Flexshares Global Investment Opportunity

DOW has a standard deviation of returns of 1.27 and is 1.2 times more volatile than Flexshares Global Broad. of all equities and portfolios are less risky than Flexshares Global. Compared to the overall equity markets, volatility of historical daily returns of Flexshares Global Broad is lower than 9 () of all global equities and portfolios over the last 90 days.
Use Flexshares Global Broad to enhance the returns of your portfolios. Benchmarks are essential to demonstrate the utility of optimization algorithms. The etf experiences a normal upward fluctuation. Check odds of Flexshares Global to be traded at $56.52 in 90 days. .

Very poor diversification

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

Flexshares Global Additional Risk Indicators

The analysis of Flexshares Global'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 Flexshares Global's investment and either accepting that risk or mitigating it. Along with some common measures of Flexshares Global 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(0.00030359)
Market Risk Adjusted Performance(0.001748)
Mean Deviation0.804
Semi Deviation1.15
Downside Deviation1.16
Coefficient Of Variation90457.95
Standard Deviation1.07
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.

Flexshares Global 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 Flexshares Global 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. Flexshares Global'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, Flexshares Global'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 Flexshares Global Broad.
Additionally, see Stocks Correlation. Note that the Flexshares Global Broad information on this page should be used as a complementary analysis to other Flexshares Global'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 Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.

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When running Flexshares Global Broad price analysis, check to measure Flexshares Global'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 Flexshares Global is operating at the current time. Most of Flexshares Global's value examination focuses on studying past and present price action to predict the probability of Flexshares Global's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Flexshares Global's price. Additionally, you may evaluate how the addition of Flexshares Global to your portfolios can decrease your overall portfolio volatility.
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The market value of Flexshares Global Broad is measured differently than its book value, which is the value of Flexshares that is recorded on the company's balance sheet. Investors also form their own opinion of Flexshares Global's value that differs from its market value or its book value, called intrinsic value, which is Flexshares Global'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 Flexshares Global's market value can be influenced by many factors that don't directly affect Flexshares Global'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 Flexshares Global's value and its price as these two are different measures arrived at by different means. Investors typically determine Flexshares Global value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Flexshares Global'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.