Novartis Volatility

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NVS -- USA Stock  

Fiscal Quarter End: 30th of June 2020  

We consider Novartis very steady. Novartis AG has Sharpe Ratio of 0.0095, which conveys that the firm had 0.0095% of return per unit of risk over the last 3 months. Our philosophy 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 Novartis, which you can use to evaluate future volatility of the firm. Please verify Novartis AG Mean Deviation of 2.13, Downside Deviation of 3.14 and Risk Adjusted Performance of 0.0173 to check out if the risk estimate we provide is consistent with the expected return of 0.0274%.

Search Volatility

Novartis 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 Novartis daily returns, and it is calculated using variance and standard deviation. We also use Novartis's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Novartis volatility.

  Interest Expense

90 Days Market Risk

Very steady

Chance of Distress

Below Average

90 Days Economic Sensitivity

Follows market closely

Novartis Market Sensitivity

As returns on market increase, Novartis returns are expected to increase less than the market. However, during bear market, the loss on holding Novartis will be expected to be smaller as well.
3 Months Beta |Analyze Novartis AG Demand Trend
Check current 30 days Novartis correlation with market (DOW)
β = 0.6208

Novartis Central Daily Price Deviation

Novartis AG Technical Analysis

The output start index for this execution was zero with a total number of output elements of sixty-one. Novartis Typical Price indicator is an average of each day price and can be used instead of closing price when creating different Novartis AG moving average lines. View also all equity analysis or get more info about typical price price transform indicator.

Novartis Projected Return Density Against Market

Considering 30-days investment horizon, Novartis has beta of 0.6208 indicating as returns on market go up, Novartis average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Novartis AG will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Novartis AG is significantly underperforming DOW.
 Predicted Return Density 
Considering 30-days investment horizon, the coefficient of variation of Novartis is 10535.74. The daily returns are destributed with a variance of 8.34 and standard deviation of 2.89. The mean deviation of Novartis AG is currently at 2.03. For similar time horizon, the selected benchmark (DOW) has volatility of 4.11
Alpha over DOW
Beta against DOW=0.62
Overall volatility
Information ratio =-0.02

Novartis Return Volatility

the enterprise has volatility of 2.8886% on return distribution over 30 days investment horizon. the entity inherits 4.0571% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

About Novartis Volatility

Volatility is a rate at which the price of Novartis 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 Novartis may increase or decrease. In other words, similar to Novartis's beta indicator, it measures the risk of Novartis and helps estimate the fluctuations that may happen in a short period of time. So if prices of Novartis 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.

Novartis Investment Opportunity

DOW has a standard deviation of returns of 4.06 and is 1.4 times more volatile than Novartis AG. 25  of all equities and portfolios are less risky than Novartis. Compared to the overall equity markets, volatility of historical daily returns of Novartis AG is lower than 25 () of all global equities and portfolios over the last 30 days. Use Novartis AG to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Novartis to be traded at $95.66 in 30 days. . As returns on market increase, Novartis returns are expected to increase less than the market. However, during bear market, the loss on holding Novartis will be expected to be smaller as well.

Novartis correlation with market

correlation synergy
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Novartis AG and equity matching DJI index in the same portfolio.

Novartis Current Risk Indicators

Novartis Suggested Diversification Pairs

Additionally, see Stocks Correlation. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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