CommVault Systems Stock Volatility
| CVLT Stock | USD 80.13 0.09 0.11% |
CommVault Systems keeps a minimal volatility profile over the selected analytical period. CommVault Systems registers a Sharpe Ratio (Efficiency) of -0.13, implying poor risk-adjusted performance over the last 3 months. We identified 24 technical signals influencing current risk dynamics.
Sharpe Ratio = -0.1274
| High Returns | Best Equity | |||
| Good Returns | ||||
| Average Returns | ||||
| Small Returns | ||||
| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | CVLT |
CommVault Systems posted a Market Risk Adjusted Performance of -0.3%, a Risk of 4.65, and a Risk Adjusted Performance of -0.1% for the reported period. Based on monthly moving average, CommVault Systems is not realizing its theoretical return maximum. Placing it within a well-diversified portfolio can reduce volatility and improve returns.
Key indicators related to CommVault Systems' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Comparing CommVault Systems' current volatility against its historical average helps investors identify whether CommVault Systems is in a period of elevated or suppressed risk. Elevated volatility often coincides with uncertainty about earnings, regulatory changes, or macro conditions.
CommVault | Build portfolio with CommVault Stock |
Volatility Strategy
CommVault Systems fluctuations may alter downside contribution within diversified portfolios. Current statistical measures show total volatility near 4.65% with a beta coefficient of 1.83, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.13, evaluates return per unit of total risk. An alpha value of -0.44 reflects performance relative to systematic market exposure. Expected return estimates near -0.59% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Risk appetite shifts can affect dispersion levels.
Main indicators related to CommVault Systems' market risk premium analysis include:
Beta 1.83 | Alpha -0.44 | Risk 4.65 | Sharpe Ratio -0.13 | Expected Return -0.59 |
Moving together with CommVault Stock
Moving against CommVault Stock
| 0.78 | PFE | Pfizer Inc | PairCorr |
| 0.73 | KO | Coca Cola | PairCorr |
| 0.72 | T | ATT Inc Earnings Call Tomorrow | PairCorr |
| 0.7 | WMT | Walmart Common Stock | PairCorr |
| 0.7 | XOM | Exxon Mobil Corp Aggressive Push | PairCorr |
| 0.67 | CVX | Chevron Corp | PairCorr |
| 0.65 | CAT | Caterpillar | PairCorr |
| 0.63 | AMGN | Amgen Inc | PairCorr |
| 0.61 | TRV | The Travelers Companies | PairCorr |
| 0.56 | CSCO | Cisco Systems | PairCorr |
Sensitivity To Market
Market sensitivity for CommVault Systems is expressed through a beta of 1.83, based on regression between asset returns and market returns. Total price dispersion is near 4.65%.CommVault Systems price movement reflects recent variability that can be tracked through standard deviation (4.65%) and downside deviation (0.0%). For stocks, volatility can be sensitive to changes in rates, inflation expectations, and overall market tone.
| α | -0.4446 | β | 1.83 | Check current 90 days CommVault Systems correlation with market (Dow Jones Industrial)
Downside Risk
Standard deviation is the primary measure of CommVault daily price volatility relative to its mean over a specified period. High values reflect high volatility; low values reflect a stable price pattern.
Standard Deviation | 4.65 |
An important distinction for CommVault Systems investors is between standard deviation (total volatility, including upside) and downside deviation, which measures only the risk of loss in CommVault Systems' returns. CommVault Systems posted a Maximum Drawdown of 35.55 for the reported period.
Stock Volatility Analysis
Tracking CommVault Systems volatility helps market participants understand the degree of price uncertainty. Sharp price swings in CommVault Systems' stock often accompany major news events, earnings announcements, or macro shifts.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. CommVault Systems 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
Given the investment horizon of 90 days CommVault Systems has a beta of 1.8297 suggesting as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, CommVault Systems will likely underperform.CommVault Systems combines broad market sensitivity with company or sector-specific developments. Diversification may lower asset-specific risk, but systematic volatility remains inherent. CommVault Systems posted a Mean Deviation of 2.34 and a Standard Deviation of 4.65 for the reported period.
Predicted Return Density |
| Returns |
What Drives CommVault Systems' Price Volatility?
Several factors can influence CommVault Systems' market volatility:Industry Dynamics
Sector-level events can directly affect CommVault Systems' price stability. Regulatory changes, supply disruptions, or shifts in demand within CommVault Systems' industry may create volatility even when the broader market is calm. Competitive dynamics and industry consolidation can also amplify price swings for companies like CommVault Systems.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for CommVault Systems' price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward CommVault Systems. During periods of economic expansion, CommVault Systems' price tends to benefit from broader market optimism, while downturns can amplify selling pressure.CommVault Systems' Company-Specific Factors
Volatility can also stem from events unique to CommVault Systems. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in CommVault Systems' stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on CommVault Systems' share price.Stock Risk Measures
Given the investment horizon of 90 days the coefficient of variation of CommVault Systems is -784.79. The daily returns are distributed with a variance of 21.58 and standard deviation of 4.65. The mean deviation of CommVault Systems is currently at 2.34. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | -0.4446 | |
β | Beta against Dow Jones | 1.83 | |
σ | Overall volatility | 4.65 | |
Ir | Information ratio | -0.1111 |
Stock Return Volatility
Volatility for CommVault Systems quantifies the day-to-day dispersion of stock returns around their historical average. The firm carries 4.6454% return volatility across the 90-day horizon. As a benchmark, Dow Jones Industrial has volatility of 0.8012% 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
| High negative correlations
|
Risk-Adjusted Indicators
CommVault Systems Company may look attractive on headline returns alone, but deeper analysis often tells a different story. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze CommVault Systems' multiple risk-adjusted performance indicators across the competitive landscape. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| STUB | 3.95 | -0.88 | 0.00 | -0.70 | 0.00 | 6.68 | 25.95 | |||
| BULL | 2.56 | -0.44 | 0.00 | -0.23 | 0.00 | 4.34 | 19.08 | |||
| FOUR | 2.52 | -0.43 | 0.00 | -0.37 | 0.00 | 5.12 | 23.18 | |||
| FROG | 3.51 | -0.52 | 0.00 | -2.60 | 0.00 | 6.39 | 31.73 | |||
| LFUS | 1.99 | 0.63 | 0.22 | 0.29 | 2.10 | 5.25 | 12.69 | |||
| DSGX | 1.79 | -0.34 | 0.00 | -9.70 | 0.00 | 3.49 | 11.20 | |||
| SRAD | 2.09 | -0.30 | 0.00 | -0.63 | 0.00 | 3.49 | 16.98 | |||
| SOUN | 3.10 | -0.25 | 0.00 | -0.18 | 0.00 | 6.32 | 22.82 | |||
| CWAN | 0.53 | 0.12 | 0.32 | 0.28 | 0.36 | 1.32 | 9.67 | |||
| WAY | 2.21 | -0.35 | 0.00 | -0.53 | 0.00 | 4.29 | 12.73 |
Risk Metrics, Assumptions & Methodology
Volatility for CommVault Systems measures return dispersion and uncertainty over time. Return spread influences portfolio contribution and drawdown risk. CommVault Systems has a market cap of 3.48 B, P/E of 123.34, ROE of 34.49%.
Unless otherwise specified, data for CommVault Systems is compiled from periodic company reporting and market reference feeds and standardized for comparability. Updates may occur throughout the day. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Gabriel Shpitalnik - Member of Macroaxis Editorial BoardCommVault Systems Investment Opportunity
CommVault Systems is about 5.81 times more volatile than Dow Jones Industrial based on recent return behavior. The higher-risk profile should usually be reviewed beside Sharpe Ratio, downside risk, and catalyst strength before the position is sized up.You can use CommVault Systems to enhance the returns of your portfolios. This price-change note interprets the latest move in the context of short-horizon trading behavior. It is intended to separate routine noise from more speculative bursts in price action. a normal upward fluctuation. Check odds of CommVault Systems to be traded at $84.14 in 90 days.Modest diversification
For the present investment horizon, the measured correlation between CVLT and DJI stands at 0.2, or Modest diversification. Used correctly, the chart helps investors judge whether adding the second position genuinely diversifies the first.
CommVault Systems Additional Risk Indicators
A broader risk-indicator set for CommVault Systems can improve buy, hold, hedge, and sell decisions by adding context beyond the most common measures. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | -0.09 | |||
| Market Risk Adjusted Performance | -0.32 | |||
| Mean Deviation | 2.34 | |||
| Coefficient Of Variation | -784.79 | |||
| Standard Deviation | 4.65 | |||
| Variance | 21.58 | |||
| Information Ratio | -0.11 |
CommVault Systems Suggested Diversification Pairs
A pair strategy built around CommVault Systems is useful when investors want to reduce directional market exposure while still expressing a relative-value idea. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
Risk reduction through pair trading is real but has limits - not every type of exposure can be offset by a second leg. CommVault Systems' exposure to overall market risk stays intact regardless of pairing. The value of a second leg lies in reducing CommVault Systems' idiosyncratic risk - the part that comes from company-level events rather than macro conditions.
Additional Tools for CommVault Stock Analysis
| Funds Screener Find actively-traded funds from around the world traded on over 30 global exchanges | |
| Stock Screener Find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook. | |
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
| CEOs Directory Screen CEOs from public companies around the world | |
| Investing Opportunities Build portfolios using our predefined set of ideas and optimize them against your investing preferences | |
| Portfolio Manager State of the art Portfolio Manager to monitor and improve performance of your invested capital | |
| Technical Analysis Check basic technical indicators and analysis based on most latest market data | |
| Portfolio Dashboard Portfolio dashboard that provides centralized access to all your investments | |
| Portfolio Anywhere Track or share privately all of your investments from the convenience of any device |