Roper Stock Volatility

ROP
 Stock
  

USD 431.01  0.91  0.21%   

We consider Roper Industries very steady. Roper Industries maintains Sharpe Ratio (i.e., Efficiency) of 0.0137, which implies the firm had 0.0137% of return per unit of risk over the last 3 months. Our standpoint towards forecasting 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 Roper Industries, which you can use to evaluate the future volatility of the company. Please check Roper Industries risk adjusted performance of (0.07), and Coefficient Of Variation of (1,889) to confirm if the risk estimate we provide is consistent with the expected return of 0.024%.
  
Roper Industries 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 Roper daily returns, and it is calculated using variance and standard deviation. We also use Roper's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Roper Industries volatility.

30 Days Market Risk

Very steady

Chance of Distress

30 Days Economic Sensitivity

Almost mirrors the market

ESG Sustainability

While most ESG disclosures are voluntary, Roper Industries' sustainability indicators can be used to identify proper investment strategies using environmental, social, and governance scores that are crucial to Roper Industries' 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 Roper Industries 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 Roper Industries at lower prices. For example, an investor can purchase Roper 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 Roper Industries' 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 Roper Industries

0.71STSensata TechnologiesPairCorr
0.84TDYTeledyne TechnologiesPairCorr
0.64TMOThermo Fisher ScientificPairCorr
0.86WWDWoodward Fiscal Year End 17th of November 2022 PairCorr

Roper Industries Market Sensitivity And Downside Risk

Roper Industries' beta coefficient measures the volatility of Roper 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 Roper stock's returns against your selected market. In other words, Roper Industries's beta of 1.16 provides an investor with an approximation of how much risk Roper Industries stock can potentially add to one of your existing portfolios.
Roper Industries exhibits very low volatility with skewness of -0.29 and kurtosis of 0.52. However, we advise investors to further study Roper Industries technical indicators to make sure all market info is available and is reliable. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Roper Industries' stock risk against market volatility during both bullying and bearish trends. The higher level of volatility that comes with bear markets can directly impact Roper Industries' 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.

Roper Industries Implied Volatility

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

Roper Beta

    
  1.16  
Roper 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

    
  1.76  
It is essential to understand the difference between upside risk (as represented by Roper Industries's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Roper Industries stock's daily returns or price. Since the actual investment returns on holding a position in Roper Industries 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 Roper Industries.

Using Roper Put Option to Manage Risk

Put options written on Roper Industries grant holders of the option the right to sell a specified amount of Roper Industries at a specified price within a specified time frame. The put buyer has a limited loss and, while not fully unlimited gains, as the price of Roper Stock cannot fall below zero, the put buyer does gain as the price drops. So, one way investors can hedge Roper Industries' position is by buying a put option against it. The put option used this way is usually referred to as insurance. If an undesired outcome occurs and loss on holding Roper Industries will be realized, the loss incurred will be offset by the profits made with the option trade.

Roper Industries' PUT expiring on 2022-08-19

   Profit   
Share
       Roper Industries Price At Expiration  

Current Roper Industries Insurance Chain

DeltaGammaOpen IntExpirationCurrent SpreadLast Price
Put
2022-08-19 PUT at $520.0-0.86050.003212022-08-1984.5 - 93.448.0View
Put
2022-08-19 PUT at $500.0-0.99585.0E-412022-08-1964.5 - 73.535.7View
Put
2022-08-19 PUT at $480.0-0.82290.005512022-08-1944.6 - 53.131.0View
Put
2022-08-19 PUT at $470.0-0.79920.006772022-08-1934.5 - 43.324.2View
Put
2022-08-19 PUT at $460.0-0.78220.008732022-08-1925.0 - 32.945.6View
Put
2022-08-19 PUT at $450.0-0.79590.0131122022-08-1918.1 - 24.415.8View
Put
2022-08-19 PUT at $440.0-0.70090.0217162022-08-1911.1 - 12.513.97View
Put
2022-08-19 PUT at $430.0-0.46470.0227102022-08-195.6 - 7.28.27View
Put
2022-08-19 PUT at $420.0-0.27220.0171772022-08-192.75 - 3.93.8View
Put
2022-08-19 PUT at $410.0-0.16760.01083732022-08-191.15 - 3.111.0View
Put
2022-08-19 PUT at $400.0-0.09730.00671152022-08-190.25 - 2.151.2View
View All Roper Industries Options

Roper Industries Stock Volatility Analysis

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

Historical Volatility

This type of stock volatility measures Roper Industries' fluctuations based on previous trends. It's commonly used to predict Roper Industries' 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 Roper Industries' 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. Roper Industries 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.
.

Roper Industries Projected Return Density Against Market

Considering the 90-day investment horizon the stock has the beta coefficient of 1.1633 indicating as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Roper Industries will likely underperform.
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 Roper Industries 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 Roper Industries 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 Roper 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. Roper Industries is significantly underperforming DOW.
   Predicted Return Density   
       Returns  
Roper Industries' volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Roper Industries 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.

Roper Industries 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 Roper Industries 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 Roper Industries 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 Roper 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 Roper Industries is 7319.85. The daily returns are distributed with a variance of 3.09 and standard deviation of 1.76. The mean deviation of Roper Industries is currently at 1.33. For similar time horizon, the selected benchmark (DOW) has volatility of 1.31
α
Alpha over DOW
-0.04
β
Beta against DOW1.16
σ
Overall volatility
1.76
Ir
Information ratio -0.03

Roper Industries Stock Return Volatility

Roper Industries historical daily return volatility represents how much Roper Industries stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The firm has volatility of 1.7575% on return distribution over 90 days investment horizon. By contrast, DOW inherits 1.2698% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
       Timeline  

About Roper Industries Volatility

Volatility is a rate at which the price of Roper Industries 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 Roper Industries may increase or decrease. In other words, similar to Roper's beta indicator, it measures the risk of Roper Industries and helps estimate the fluctuations that may happen in a short period of time. So if prices of Roper Industries 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 Capitalization16.7 B18 B
Roper Technologies, Inc. designs and develops software, and engineered products and solutions. The company was incorporated in 1981 and is based in Sarasota, Florida. Roper Industries operates under Specialty Industrial Machinery classification in the United States and is traded on New York Stock Exchange. It employs 19300 people.

Roper Industries Investment Opportunity

Roper Industries has a volatility of 1.76 and is 1.39 times more volatile than DOW. 15  of all equities and portfolios are less risky than Roper Industries. Compared to the overall equity markets, volatility of historical daily returns of Roper Industries is lower than 15 () of all global equities and portfolios over the last 90 days.
Use Roper Industries to protect your portfolios against small market fluctuations. Benchmarks are essential to demonstrate the utility of optimization algorithms. The stock experiences a normal downward trend and little activity. Check odds of Roper Industries to be traded at $426.7 in 90 days. .

Very poor diversification

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

Roper Industries Additional Risk Indicators

The analysis of Roper Industries' 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 Roper Industries' investment and either accepting that risk or mitigating it. Along with some common measures of Roper Industries 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(0.07)
Market Risk Adjusted Performance(0.08)
Mean Deviation1.35
Coefficient Of Variation(1,889)
Standard Deviation1.79
Variance3.21
Information Ratio(0.026601)
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.

Roper Industries 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 Roper Industries 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. Roper Industries' 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, Roper Industries' 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 Roper Industries.
Additionally, take a look at Your Equity Center. Note that the Roper Industries information on this page should be used as a complementary analysis to other Roper Industries' 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.

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When running Roper Industries price analysis, check to measure Roper Industries' 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 Roper Industries is operating at the current time. Most of Roper Industries' value examination focuses on studying past and present price action to predict the probability of Roper Industries' future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Roper Industries' price. Additionally, you may evaluate how the addition of Roper Industries to your portfolios can decrease your overall portfolio volatility.
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Is Roper Industries' 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 Roper Industries. If investors know Roper 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 Roper Industries 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
-0.063
Market Capitalization
45.8 B
Quarterly Revenue Growth YOY
0.1
Return On Assets
0.0423
Return On Equity
0.0819
The market value of Roper Industries is measured differently than its book value, which is the value of Roper that is recorded on the company's balance sheet. Investors also form their own opinion of Roper Industries' value that differs from its market value or its book value, called intrinsic value, which is Roper Industries' 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 Roper Industries' market value can be influenced by many factors that don't directly affect Roper Industries' 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 Roper Industries' value and its price as these two are different measures arrived at by different means. Investors typically determine Roper Industries value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Roper Industries' 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.