Northrop Stock Volatility

NOC
 Stock
  

USD 480.83  1.04  0.22%   

We consider Northrop Grumman very steady. Northrop Grumman Corp has Sharpe Ratio of 0.0511, which conveys that the firm had 0.0511% of return per unit of risk over the last 3 months. 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-eight technical indicators for Northrop Grumman, which you can use to evaluate the future volatility of the firm. Please verify Northrop Grumman Corp Downside Deviation of 1.67, risk adjusted performance of 0.1071, and Mean Deviation of 1.35 to check out if the risk estimate we provide is consistent with the expected return of 0.0939%.
  
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Northrop Grumman 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 Northrop daily returns, and it is calculated using variance and standard deviation. We also use Northrop's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Northrop Grumman volatility.

720 Days Market Risk

Very steady

Chance of Distress

720 Days Economic Sensitivity

Slowly supersedes the market

ESG Sustainability

While most ESG disclosures are voluntary, Northrop Grumman's sustainability indicators can be used to identify proper investment strategies using environmental, social, and governance scores that are crucial to Northrop Grumman's managers and investors.
Environment Score
Governance Score
Social Score
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Northrop Grumman 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 Northrop Grumman at lower prices. For example, an investor can purchase Northrop 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 Northrop Grumman'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.

Northrop Grumman Market Sensitivity And Downside Risk

Northrop Grumman's beta coefficient measures the volatility of Northrop 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 Northrop stock's returns against your selected market. In other words, Northrop Grumman's beta of 0.49 provides an investor with an approximation of how much risk Northrop Grumman stock can potentially add to one of your existing portfolios.
Let's try to break down what Northrop's beta means in this case. As returns on the market increase, Northrop Grumman returns are expected to increase less than the market. However, during the bear market, the loss on holding Northrop Grumman will be expected to be smaller as well.
3 Months Beta |Analyze Northrop Grumman Corp Demand Trend
Check current 90 days Northrop Grumman correlation with market (DOW)

Northrop Beta

    
  0.49  
Northrop 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

    
  1.84  
It is essential to understand the difference between upside risk (as represented by Northrop Grumman's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Northrop Grumman stock's daily returns or price. Since the actual investment returns on holding a position in Northrop Grumman 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 Northrop Grumman.

Northrop Grumman Implied Volatility

    
  48.14  
Northrop Grumman's implied volatility exposes the market's sentiment of Northrop Grumman Corp stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Northrop Grumman'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 Northrop Grumman stock will not fluctuate a lot when Northrop Grumman's options are near their expiration.

Northrop Grumman Corp Stock Volatility Analysis

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

Historical Volatility

This type of stock volatility measures Northrop Grumman's fluctuations based on previous trends. It's commonly used to predict Northrop Grumman'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 Northrop Grumman'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. Northrop Grumman Corp 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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Northrop Grumman Projected Return Density Against Market

Considering the 90-day investment horizon Northrop Grumman has a beta of 0.4947 . This indicates as returns on the market go up, Northrop Grumman average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Northrop Grumman Corp 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 Northrop Grumman 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 Northrop Grumman 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 Northrop 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 0.2081, implying that it can generate a 0.21 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Northrop Grumman's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Northrop Grumman 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.

Northrop Grumman 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 Northrop Grumman 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 Northrop Grumman 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 Northrop 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.
Considering the 90-day investment horizon the coefficient of variation of Northrop Grumman is 1957.42. The daily returns are distributed with a variance of 3.38 and standard deviation of 1.84. The mean deviation of Northrop Grumman Corp is currently at 1.34. For similar time horizon, the selected benchmark (DOW) has volatility of 1.41
α
Alpha over DOW
0.21
β
Beta against DOW0.49
σ
Overall volatility
1.84
Ir
Information ratio 0.16

Northrop Grumman Stock Return Volatility

Northrop Grumman historical daily return volatility represents how much Northrop Grumman stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The company has volatility of 1.8376% on return distribution over 90 days investment horizon. By contrast, DOW inherits 1.4646% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Northrop Grumman Volatility

Volatility is a rate at which the price of Northrop Grumman 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 Northrop Grumman may increase or decrease. In other words, similar to Northrop's beta indicator, it measures the risk of Northrop Grumman and helps estimate the fluctuations that may happen in a short period of time. So if prices of Northrop Grumman 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 Capitalization58.4 B51.1 B
Northrop Grumman Corporation operates as an aerospace and defense company worldwide. The company was founded in 19 and is based in Falls Church, Virginia. Northrop Grumman operates under Aerospace Defense classification in the United States and is traded on New York Stock Exchange. It employs 90000 people.

Northrop Grumman Investment Opportunity

Northrop Grumman Corp has a volatility of 1.84 and is 1.26 times more volatile than DOW. 15  of all equities and portfolios are less risky than Northrop Grumman. Compared to the overall equity markets, volatility of historical daily returns of Northrop Grumman Corp is lower than 15 () of all global equities and portfolios over the last 90 days. Use Northrop Grumman Corp to protect your portfolios against small market fluctuations. The stock experiences a normal downward trend and little activity. Check odds of Northrop Grumman to be traded at $476.02 in 90 days. . Let's try to break down what Northrop's beta means in this case. As returns on the market increase, Northrop Grumman returns are expected to increase less than the market. However, during the bear market, the loss on holding Northrop Grumman will be expected to be smaller as well.

Weak diversification

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

Northrop Grumman Additional Risk Indicators

The analysis of Northrop Grumman'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 Northrop Grumman's investment and either accepting that risk or mitigating it. Along with some common measures of Northrop Grumman 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 Performance0.1071
Market Risk Adjusted Performance0.2626
Mean Deviation1.35
Semi Deviation1.57
Downside Deviation1.67
Coefficient Of Variation1344.48
Standard Deviation1.81
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.

Northrop Grumman 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 Northrop Grumman 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. Northrop Grumman'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, Northrop Grumman'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 Northrop Grumman Corp.
Additionally, see Stocks Correlation. Note that the Northrop Grumman Corp information on this page should be used as a complementary analysis to other Northrop Grumman'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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.

Complementary Tools for Northrop Stock analysis

When running Northrop Grumman Corp price analysis, check to measure Northrop Grumman'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 Northrop Grumman is operating at the current time. Most of Northrop Grumman's value examination focuses on studying past and present price action to predict the probability of Northrop Grumman's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Northrop Grumman's price. Additionally, you may evaluate how the addition of Northrop Grumman to your portfolios can decrease your overall portfolio volatility.
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Is Northrop Grumman'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 Northrop Grumman. If investors know Northrop 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 Northrop Grumman listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.
Quarterly Earnings Growth YOY
-0.55
Market Capitalization
74.9 B
Quarterly Revenue Growth YOY
-0.039
Return On Assets
0.11
Return On Equity
0.48
The market value of Northrop Grumman Corp is measured differently than its book value, which is the value of Northrop that is recorded on the company's balance sheet. Investors also form their own opinion of Northrop Grumman's value that differs from its market value or its book value, called intrinsic value, which is Northrop Grumman'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 Northrop Grumman's market value can be influenced by many factors that don't directly affect Northrop Grumman'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 Northrop Grumman's value and its price as these two are different measures arrived at by different means. Investors typically determine Northrop Grumman value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Northrop Grumman'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.