Alphamark Actively Managed Etf Volatility
| SMCP Etf | USD 29.74 0.00 0.00% |
We consider AlphaMark Actively very steady. AlphaMark Actively secures Sharpe Ratio (or Efficiency) of 0.0882, which signifies that the etf had a 0.0882% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for AlphaMark Actively Managed, which you can use to evaluate the volatility of the entity. Please confirm AlphaMark Actively's Downside Deviation of 1.31, mean deviation of 0.8651, and Risk Adjusted Performance of 0.0505 to double-check if the risk estimate we provide is consistent with the expected return of 0.1%. Key indicators related to AlphaMark Actively's volatility include:
30 Days Market Risk | Chance Of Distress | 30 Days Economic Sensitivity |
AlphaMark Actively 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 AlphaMark daily returns, and it is calculated using variance and standard deviation. We also use AlphaMark's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of AlphaMark Actively volatility.
AlphaMark |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as AlphaMark Actively 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 AlphaMark Actively at lower prices. For example, an investor can purchase AlphaMark 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 AlphaMark Actively'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 AlphaMark Etf
| 0.93 | VB | Vanguard Small Cap | PairCorr |
| 0.81 | IJR | iShares Core SP | PairCorr |
| 0.91 | IWM | iShares Russell 2000 | PairCorr |
| 0.97 | VRTIX | Vanguard Russell 2000 | PairCorr |
| 0.97 | VTWO | Vanguard Russell 2000 | PairCorr |
| 0.97 | FNDA | Schwab Fundamental Small | PairCorr |
| 0.81 | SPSM | SPDR Portfolio SP | PairCorr |
| 0.98 | DFAS | Dimensional Small Cap | PairCorr |
| 0.81 | VIOO | Vanguard SP Small | PairCorr |
Moving against AlphaMark Etf
| 0.81 | HUM | Humana Inc Report 24th of April 2024 | PairCorr |
| 0.8 | FNGD | MicroSectors FANG Index Upward Rally | PairCorr |
AlphaMark Actively Market Sensitivity And Downside Risk
AlphaMark Actively's beta coefficient measures the volatility of AlphaMark etf compared to the systematic risk of the entire 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 AlphaMark etf's returns against your selected market. In other words, AlphaMark Actively's beta of 1.52 provides an investor with an approximation of how much risk AlphaMark Actively etf can potentially add to one of your existing portfolios. AlphaMark Actively Managed has relatively low volatility with skewness of -0.4 and kurtosis of 0.43. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure AlphaMark Actively's etf risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact AlphaMark Actively'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 financial instruments as prices fall.
3 Months Beta |Analyze AlphaMark Actively Demand TrendCheck current 90 days AlphaMark Actively correlation with market (NYSE Composite)AlphaMark Beta |
AlphaMark standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity 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 | 1.15 |
It is essential to understand the difference between upside risk (as represented by AlphaMark Actively's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of AlphaMark Actively's daily returns or price. Since the actual investment returns on holding a position in alphamark etf 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 AlphaMark Actively.
AlphaMark Actively Etf Volatility Analysis
Volatility refers to the frequency at which AlphaMark Actively etf price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with AlphaMark Actively's price changes. Investors will then calculate the volatility of AlphaMark Actively's etf to predict their future moves. A etf that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A etf with relatively stable price changes has low volatility. A highly volatile etf 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 AlphaMark Actively's volatility:
Historical Volatility
This type of etf volatility measures AlphaMark Actively's fluctuations based on previous trends. It's commonly used to predict AlphaMark Actively's future behavior based on its past. However, it cannot conclusively determine the future direction of the etf.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for AlphaMark Actively's current market price. This means that the etf will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on AlphaMark Actively'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. AlphaMark Actively 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.
AlphaMark Actively Projected Return Density Against Market
Given the investment horizon of 90 days the etf has the beta coefficient of 1.5213 . This usually implies as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, AlphaMark Actively 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 AlphaMark Actively or AlphaMark 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 AlphaMark Actively's price will be affected by overall etf 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 AlphaMark etf'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.
AlphaMark Actively Managed has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming the NYSE Composite. Predicted Return Density |
| Returns |
What Drives an AlphaMark Actively Price Volatility?
Several factors can influence a etf's market 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.AlphaMark Actively Etf Risk Measures
Given the investment horizon of 90 days the coefficient of variation of AlphaMark Actively is 1133.66. The daily returns are distributed with a variance of 1.33 and standard deviation of 1.15. The mean deviation of AlphaMark Actively Managed is currently at 0.89. For similar time horizon, the selected benchmark (NYSE Composite) has volatility of 0.62
α | Alpha over NYSE Composite | -0.03 | |
β | Beta against NYSE Composite | 1.52 | |
σ | Overall volatility | 1.15 | |
Ir | Information ratio | 0 |
AlphaMark Actively Etf Return Volatility
AlphaMark Actively historical daily return volatility represents how much of AlphaMark Actively etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The ETF inherits 1.1515% risk (volatility on return distribution) over the 90 days horizon. By contrast, NYSE Composite accepts 0.6245% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About AlphaMark Actively Volatility
Volatility is a rate at which the price of AlphaMark Actively 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 AlphaMark Actively may increase or decrease. In other words, similar to AlphaMark's beta indicator, it measures the risk of AlphaMark Actively and helps estimate the fluctuations that may happen in a short period of time. So if prices of AlphaMark Actively 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.Under normal circumstances, the fund will invest at least 80 percent of its net assets directly or indirectly in small cap companies. Alphamark Actmg is traded on NASDAQ Exchange in the United States.
AlphaMark Actively's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on AlphaMark Etf over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much AlphaMark Actively's price varies over time.
3 ways to utilize AlphaMark Actively's volatility to invest better
Higher AlphaMark Actively's etf volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of AlphaMark Actively etf is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. AlphaMark Actively etf volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of AlphaMark Actively investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in AlphaMark Actively's etf can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of AlphaMark Actively's etf relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
AlphaMark Actively Investment Opportunity
AlphaMark Actively Managed has a volatility of 1.15 and is 1.85 times more volatile than NYSE Composite. 10 percent of all equities and portfolios are less risky than AlphaMark Actively. You can use AlphaMark Actively Managed to protect your portfolios against small market fluctuations. The etf experiences a normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of AlphaMark Actively to be traded at $29.44 in 90 days.Very poor diversification
The correlation between AlphaMark Actively Managed and NYA is 0.84 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding AlphaMark Actively Managed and NYA in the same portfolio, assuming nothing else is changed.
AlphaMark Actively Additional Risk Indicators
The analysis of AlphaMark Actively'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 AlphaMark Actively's investment and either accepting that risk or mitigating it. Along with some common measures of AlphaMark Actively etf'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.
| Risk Adjusted Performance | 0.0505 | |||
| Market Risk Adjusted Performance | 0.0583 | |||
| Mean Deviation | 0.8651 | |||
| Semi Deviation | 1.16 | |||
| Downside Deviation | 1.31 | |||
| Coefficient Of Variation | 1346.86 | |||
| Standard Deviation | 1.13 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential etfs, we recommend comparing similar etfs with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
AlphaMark Actively 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 AlphaMark Actively 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. AlphaMark Actively'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, AlphaMark Actively'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 AlphaMark Actively Managed.
When determining whether AlphaMark Actively is a good investment, qualitative aspects like company management, corporate governance, and ethical practices play a significant role. A comparison with peer companies also provides context and helps to understand if AlphaMark Etf is undervalued or overvalued. This multi-faceted approach, blending both quantitative and qualitative analysis, forms a solid foundation for making an informed investment decision about Alphamark Actively Managed Etf. Highlighted below are key reports to facilitate an investment decision about Alphamark Actively Managed Etf: Check out World Market Map to better understand how to build diversified portfolios, which includes a position in AlphaMark Actively Managed. Also, note that the market value of any etf could be tightly coupled with the direction of predictive economic indicators such as signals in main economic indicators. Note that the AlphaMark Actively information on this page should be used as a complementary analysis to other AlphaMark Actively'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 the USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.
The market value of AlphaMark Actively is measured differently than its book value, which is the value of AlphaMark that is recorded on the company's balance sheet. Investors also form their own opinion of AlphaMark Actively's value that differs from its market value or its book value, called intrinsic value, which is AlphaMark Actively'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 AlphaMark Actively's market value can be influenced by many factors that don't directly affect AlphaMark Actively'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 AlphaMark Actively's value and its price as these two are different measures arrived at by different means. Investors typically determine if AlphaMark Actively is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, AlphaMark Actively'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.