JAPAN LOGISTICS (Germany) Volatility
| 8UT Stock | EUR 555.00 -5.00 -0.89% |
JAPAN LOGISTICS FUND remains associated with a low volatility profile over the chosen period. The current Sharpe Ratio (Efficiency) for JAPAN LOGISTICS FUND is 0.044, demonstrating favorable reward-to-risk behavior over the last 3 months. We found 27 technical indicators contributing to the current risk picture.
Sharpe Ratio = 0.044
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | 8UT |
Estimated Market Risk
| 0.95 actual daily | 8 92% of assets are more volatile |
Expected Return
| 0.04 actual daily | 0 Most of other assets have higher returns |
Risk-Adjusted Return
| 0.04 actual daily | 3 97% of assets perform better |
For JAPAN LOGISTICS FUND, recent data highlights a Market Risk Adjusted Performance of 1.2%, a Risk of 0.95, and a Risk Adjusted Performance of 0.05%. Monthly averages suggest JAPAN LOGISTICS is positioned around 3% of its historical performance band. Correlation characteristics influence diversification outcomes.
Key indicators related to JAPAN LOGISTICS's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
For options traders, JAPAN LOGISTICS's implied volatility surface provides a forward-looking estimate of future price dispersion. When implied volatility for JAPAN LOGISTICS is significantly above realized volatility, options premiums may be elevated relative to historical norms.
JAPAN |
Volatility Strategy
JAPAN LOGISTICS FUND return movement contributes differently across allocation frameworks. Current statistical measures show total volatility near 0.95% with a beta coefficient of 0.0341, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.044, evaluates return per unit of total risk. An alpha value of 0.045 reflects performance relative to systematic market exposure. Expected return estimates near 0.0419% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Company-specific developments can alter return variability.
Main indicators related to JAPAN LOGISTICS's market risk premium analysis include:
Beta 0.0341 | Alpha 0.045 | Risk 0.95 | Sharpe Ratio 0.044 | Expected Return 0.0419 |
Sensitivity To Market
JAPAN LOGISTICS FUND market-relative volatility is reflected in its beta of 0.0341. This value results from regression analysis against benchmark returns. Total dispersion currently approximates 0.95%.JAPAN LOGISTICS FUND has shown return movement that ranges from typical to sharp depending on market conditions. Current dispersion statistics include standard deviation near 0.94%. For JAPAN LOGISTICS FUND, price swings may be influenced by sector movement and company-specific headlines.
3 Months Beta |Analyze JAPAN LOGISTICS FUND Demand TrendCheck current 90 days JAPAN LOGISTICS correlation with market (Dow Jones Industrial)Downside Risk
The standard deviation of JAPAN prices measures volatility as the average daily spread from the mean over your selected horizon. High standard deviation implies high volatility; low standard deviation implies price stability.
Standard Deviation | 0.95 |
For a complete risk picture of JAPAN LOGISTICS, investors should examine both standard deviation (upside risk proxy) and downside deviation or semi-deviation of JAPAN LOGISTICS's returns (downside risk proxy). For JAPAN LOGISTICS FUND, recent data highlights a Downside Deviation of 1.08, a Downside Variance of 1.16, and a Maximum Drawdown of 3.60.
Stock Volatility Analysis
Understanding JAPAN LOGISTICS volatility allows investors to better quantify the risk of holding JAPAN LOGISTICS's stock. Volatility metrics help portfolio managers set stop-losses and size positions appropriately for JAPAN LOGISTICS.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. JAPAN LOGISTICS FUND 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.
Projected Return Density Against Market
Assuming a 90-day horizon JAPAN LOGISTICS has a beta of 0.0341 . This suggests as returns on the market go up, JAPAN LOGISTICS's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding JAPAN LOGISTICS FUND is expected to be smaller as well.Both systematic and unsystematic risks influence JAPAN LOGISTICS. Market-wide movements drive the former, while company or sector-specific developments drive the latter. Beta estimates market responsiveness. For JAPAN LOGISTICS FUND, recent data highlights a Downside Deviation of 1.08, a Mean Deviation of 0.77, and a Semi Deviation of 0.76.
Predicted Return Density |
| Returns |
What Drives JAPAN LOGISTICS's Price Volatility?
Several factors can influence JAPAN LOGISTICS's market volatility:Industry Dynamics
Sector-level events can directly affect JAPAN LOGISTICS's price stability. Regulatory changes, supply disruptions, or shifts in demand within JAPAN LOGISTICS's industry may create volatility even when the broader market is calm. Competitive dynamics and industry consolidation can also amplify price swings for companies like JAPAN LOGISTICS.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for JAPAN LOGISTICS's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward JAPAN LOGISTICS. During periods of economic expansion, JAPAN LOGISTICS's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.JAPAN LOGISTICS's Company-Specific Factors
Volatility can also stem from events unique to JAPAN LOGISTICS. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in JAPAN LOGISTICS's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on JAPAN LOGISTICS's share price.Stock Risk Measures
Assuming a 90-day horizon the coefficient of variation of JAPAN LOGISTICS is 2273.92. The daily returns are distributed with a variance of 0.91 and standard deviation of 0.95. The mean deviation of JAPAN LOGISTICS FUND is currently at 0.77. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.79
α | Alpha over Dow Jones | 0.04 | |
β | Beta against Dow Jones | 0.03 | |
σ | Overall volatility | 0.95 | |
Ir | Information ratio | 0.14 |
Stock Return Volatility
JAPAN LOGISTICS historical daily return volatility represents how much of JAPAN LOGISTICS stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company reported 0.9522% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial has volatility of 0.8248% on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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Risk-Adjusted Indicators
There is a big difference between JAPAN Stock performing well and JAPAN LOGISTICS Company doing well as a business compared to the competition. Without reviewing risk-adjusted indicators, investors may overweight recent returns and underweight the volatility required to achieve them. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| NVDG | 1.89 | 0.02 | 0.05 | -0.28 | 2.28 | 4.18 | 12.63 | |||
| NVD | 1.50 | 0.06 | 0.06 | 0.32 | 2.05 | 3.14 | 9.35 | |||
| NVD | 1.59 | 0.09 | 0.05 | 0.02 | 2.16 | 3.25 | 14.13 | |||
| ABEA | 1.03 | -0.04 | 0.00 | 0.42 | 0.00 | 2.08 | 6.09 | |||
| ABEA | 1.07 | 0.00 | 0.00 | -0.07 | 0.00 | 2.19 | 5.90 | |||
| ABEC | 1.05 | -0.02 | 0.00 | -0.36 | 0.00 | 2.27 | 5.50 | |||
| APC8 | 1.25 | -0.15 | 0.00 | 0.27 | 0.00 | 3.64 | 9.65 | |||
| ABEC | 1.08 | -0.01 | 0.00 | -0.12 | 0.00 | 2.23 | 5.87 | |||
| APC | 1.08 | -0.12 | 0.00 | -0.96 | 0.00 | 2.59 | 7.96 | |||
| APC | 1.02 | -0.10 | 0.00 | -0.27 | 0.00 | 2.43 | 9.28 |
Risk Metrics, Assumptions & Methodology
Volatility for JAPAN LOGISTICS measures return dispersion and uncertainty over time. Volatility contraction can precede expansion under certain regimes. JAPAN LOGISTICS has a market cap of 2.33 B.
For JAPAN LOGISTICS FUND, this section uses periodic company reporting and market reference feeds with Macroaxis normalization rules applied to keep cross-asset comparisons consistent. Intraday timing differences may exist. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Raphi Shpitalnik - Junior Member of Macroaxis Editorial BoardJAPAN LOGISTICS Investment Opportunity
JAPAN LOGISTICS FUND currently shows materially higher return volatility than Dow Jones Industrial, with a relative multiple of about 1.16. That added volatility may be acceptable only if the position is expected to deliver stronger return efficiency or diversification value.You can use JAPAN LOGISTICS FUND to protect your portfolios against small market fluctuations. This short-horizon strategy note focuses on what the latest move may imply for immediate trading context. It is most useful when combined with broader risk controls and position-sizing discipline. a moderate downward daily trend and can be a good diversifier. Check odds of JAPAN LOGISTICS to be traded at €543.9 in 90 days.Very good diversification
The correlation between 8UT and DJI is -0.24, which Macroaxis classifies as Very good diversification for the selected horizon. This matters because lower overlap can improve diversification, while higher overlap leaves more of the same risk inside the portfolio.
JAPAN LOGISTICS Additional Risk Indicators
Looking at additional risk metrics for JAPAN LOGISTICS FUND frames how the position may behave under different market and portfolio conditions. Used correctly, these measures can support both standalone risk assessment and portfolio-level hedging decisions.
| Risk Adjusted Performance | 0.0456 | |||
| Market Risk Adjusted Performance | 1.24 | |||
| Mean Deviation | 0.7685 | |||
| Semi Deviation | 0.7643 | |||
| Downside Deviation | 1.08 | |||
| Coefficient Of Variation | 1804.7 | |||
| Standard Deviation | 0.94 |
JAPAN LOGISTICS Suggested Diversification Pairs
Using JAPAN LOGISTICS in a pair-trading setup can improve risk control because gains and losses are judged against a second position instead of against the market alone. This framework is most useful when investors want to hedge directional moves caused by sector headlines or broad market pressure.
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 JAPAN LOGISTICS 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. JAPAN LOGISTICS'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, JAPAN LOGISTICS'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 JAPAN LOGISTICS FUND.
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