Great Elm Group Stock Volatility
| GEGGL Stock | USD 23.42 0.02 0.09% |
As of now, Great Stock is very steady. Great Elm Group holds Efficiency (Sharpe) Ratio of 0.11, which attests that the entity had a 0.11% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Great Elm Group, which you can use to evaluate the volatility of the firm. Please check out Great Elm's Downside Deviation of 1.11, risk adjusted performance of 0.056, and Market Risk Adjusted Performance of (0.34) to validate if the risk estimate we provide is consistent with the expected return of 0.0962%. Key indicators related to Great Elm's volatility include:
30 Days Market Risk | Chance Of Distress | 30 Days Economic Sensitivity |
Great Elm 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 Great daily returns, and it is calculated using variance and standard deviation. We also use Great's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Great Elm volatility.
Great |
ESG Sustainability
While most ESG disclosures are voluntary, Great Elm's sustainability indicators can be used to identify proper investment strategies using environmental, social, and governance scores that are crucial to Great Elm's managers and investors.Environmental | Governance | Social |
Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Great Elm at lower prices. For example, an investor can purchase Great stock that has halved in price over a short period. This will lower their average cost per share, thereby improving the overall portfolio performance when market normalizes.
Moving together with Great Stock
| 0.61 | V | Visa Class A Fiscal Year End 22nd of October 2024 | PairCorr |
| 0.66 | DIST | Distoken Acquisition | PairCorr |
| 0.64 | AB | AllianceBernstein | PairCorr |
| 0.64 | AC | Associated Capital | PairCorr |
| 0.81 | BN | Brookfield Corp | PairCorr |
| 0.87 | BX | Blackstone Group Earnings Call This Week | PairCorr |
Moving against Great Stock
Great Elm Market Sensitivity And Downside Risk
Great Elm's beta coefficient measures the volatility of Great stock 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 Great stock's returns against your selected market. In other words, Great Elm's beta of -0.15 provides an investor with an approximation of how much risk Great Elm stock can potentially add to one of your existing portfolios. Great Elm Group has relatively low volatility with skewness of 0.43 and kurtosis of 3.02. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Great Elm's stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Great Elm's 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 financial instruments as prices fall.
3 Months Beta |Analyze Great Elm Group Demand TrendCheck current 90 days Great Elm correlation with market (Dow Jones Industrial)Great Beta |
Great 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 | 0.91 |
It is essential to understand the difference between upside risk (as represented by Great Elm's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Great Elm's daily returns or price. Since the actual investment returns on holding a position in great 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 Great Elm.
Great Elm Group Stock Volatility Analysis
Volatility refers to the frequency at which Great Elm stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Great Elm's price changes. Investors will then calculate the volatility of Great Elm'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 Great Elm's volatility:
Historical Volatility
This type of stock volatility measures Great Elm's fluctuations based on previous trends. It's commonly used to predict Great Elm'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 Great Elm's current market price. This means that the stock will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Great Elm'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. Great Elm Group 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.
Great Elm Projected Return Density Against Market
Assuming the 90 days horizon Great Elm Group has a beta of -0.1505 . This usually indicates as returns on the benchmark increase, returns on holding Great Elm are expected to decrease at a much lower rate. During a bear market, however, Great Elm Group is likely to outperform the market.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 Great Elm or Capital Markets 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 Great Elm'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 Great 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.
Great Elm Group has an alpha of 0.0686, implying that it can generate a 0.0686 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Great Elm Price Volatility?
Several factors can influence a stock'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.Great Elm Stock Risk Measures
Assuming the 90 days horizon the coefficient of variation of Great Elm is 950.92. The daily returns are distributed with a variance of 0.84 and standard deviation of 0.91. The mean deviation of Great Elm Group is currently at 0.58. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.83
α | Alpha over Dow Jones | 0.07 | |
β | Beta against Dow Jones | -0.15 | |
σ | Overall volatility | 0.91 | |
Ir | Information ratio | -0.06 |
Great Elm Stock Return Volatility
Great Elm historical daily return volatility represents how much of Great Elm stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company shows 0.9146% volatility of returns over 90 . By contrast, Dow Jones Industrial accepts 0.8312% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Great Elm Volatility
Volatility is a rate at which the price of Great Elm 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 Great Elm may increase or decrease. In other words, similar to Great's beta indicator, it measures the risk of Great Elm and helps estimate the fluctuations that may happen in a short period of time. So if prices of Great Elm 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.3 ways to utilize Great Elm's volatility to invest better
Higher Great Elm's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Great Elm Group stock 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. Great Elm Group stock 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 Great Elm Group investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Great Elm's stock 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 Great Elm's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Great Elm Investment Opportunity
Great Elm Group has a volatility of 0.91 and is 1.1 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of Great Elm Group is lower than 8 percent of all global equities and portfolios over the last 90 days. You can use Great Elm Group to enhance the returns of your portfolios. The stock experiences a normal upward fluctuation. Check odds of Great Elm to be traded at $24.59 in 90 days.Good diversification
The correlation between Great Elm Group and DJI is -0.13 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Great Elm Group and DJI in the same portfolio, assuming nothing else is changed.
Great Elm Additional Risk Indicators
The analysis of Great Elm'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 Great Elm's investment and either accepting that risk or mitigating it. Along with some common measures of Great Elm stock'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 | 0.056 | |||
| Market Risk Adjusted Performance | (0.34) | |||
| Mean Deviation | 0.5917 | |||
| Semi Deviation | 0.7111 | |||
| Downside Deviation | 1.11 | |||
| Coefficient Of Variation | 1511.85 | |||
| Standard Deviation | 0.9437 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stocks, we recommend comparing similar stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Great Elm 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 Great Elm 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. Great Elm'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, Great Elm'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 Great Elm Group.
When determining whether Great Elm Group is a strong investment it is important to analyze Great Elm's competitive position within its industry, examining market share, product or service uniqueness, and competitive advantages. Beyond financials and market position, potential investors should also consider broader economic conditions, industry trends, and any regulatory or geopolitical factors that may impact Great Elm's future performance. For an informed investment choice regarding Great Stock, refer to the following important reports: Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Great Elm Group. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in price. You can also try the Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Is Asset Management & Custody Banks space 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 Great Elm. If investors know Great 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 Great Elm listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.
The market value of Great Elm Group is measured differently than its book value, which is the value of Great that is recorded on the company's balance sheet. Investors also form their own opinion of Great Elm's value that differs from its market value or its book value, called intrinsic value, which is Great Elm'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 Great Elm's market value can be influenced by many factors that don't directly affect Great Elm'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 Great Elm's value and its price as these two are different measures arrived at by different means. Investors typically determine if Great Elm is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Great Elm'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.