Frequency Electronics Stock Volatility
| FEIM Stock | USD 42.43 -0.07 -0.16% |
Recent trading patterns suggest Frequency Electronics maintains a high volatility profile. Frequency Electronics posts a Sharpe Ratio (Efficiency) of -0.0157, showing negative reward per unit of risk over the last 3 months. There are 27 technical indicators affecting the current volatility pattern.
Sharpe Ratio = -0.0157
| High Returns | Best Equity | |||
| Good Returns | ||||
| Average Returns | ||||
| Small Returns | ||||
| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
| Negative Returns | FEIM |
Frequency Electronics posted a Market Risk Adjusted Performance of 0.2%, a Risk of 5.06, and a Risk Adjusted Performance of 0.1% for the reported period. Moving average data indicates Frequency Electronics is not operating at maximum efficiency. A well-diversified portfolio allocation can reduce market risk and improve total performance.
Key indicators related to Frequency Electronics' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Volatility analysis for Frequency Electronics draws on both historical price data and forward-looking implied volatility from the options market. Together these measures provide a comprehensive view of Frequency Electronics' risk profile.
Frequency | Build portfolio with Frequency Stock |
Volatility Strategy
Observed trading dispersion in Frequency Electronics can affect long-term allocation structure. Current statistical measures show total volatility near 5.06% with a beta coefficient of 2.35, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.0157, evaluates return per unit of total risk. An alpha value of 0.62 reflects performance relative to systematic market exposure. Expected return estimates near -0.0794% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Valuation adjustments may drive price swings.
Main indicators related to Frequency Electronics' market risk premium analysis include:
Beta 2.35 | Alpha 0.62 | Risk 5.06 | Sharpe Ratio -0.02 | Expected Return -0.08 |
Sensitivity To Market
Frequency Electronics systematic risk exposure is reflected in a beta value of 2.35. Beta is derived from regression analysis comparing asset and benchmark returns. Measured volatility currently stands near 5.06%.Over the current lookback period, Frequency Electronics shows a high volatility profile, using downside deviation (5.28%) as a primary reference. Equity volatility can rise when analyst revisions or guidance changes shift expectations quickly.
| α | 0.62 | β | 2.35 | Check current 90 days Frequency Electronics correlation with market (Dow Jones Industrial)
Downside Risk
Standard deviation for Frequency expresses the daily price volatility over a selected time horizon as a spread around the mean. High values indicate volatile instruments; low values indicate stable ones.
Standard Deviation | 5.06 |
For Frequency Electronics investors, the distinction between upside and downside risk matters. Standard deviation measures total volatility including favorable moves, while downside deviation and semi-deviation isolate the loss risk in Frequency Electronics' daily returns. Frequency Electronics posted a Downside Deviation of 5.28, a Downside Variance of 27.89, and a Maximum Drawdown of 44.47 for the reported period.
Stock Volatility Analysis
Volatility describes the degree to which Frequency Electronics stock price fluctuates in either direction. Highly volatile stocks like Frequency Electronics can offer significant profit opportunities, but also come with heightened risk.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Frequency Electronics 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 Frequency Electronics has a beta of 2.348 . This usually indicates as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Frequency Electronics will likely underperform.Systematic risk links Frequency Electronics to overall stock market cycles, while unsystematic risk stems from company or sector-specific developments. Diversification addresses the latter, but macro sensitivity persists. Beta measures relative responsiveness. Frequency Electronics posted a Downside Deviation of 5.28, a Mean Deviation of 4.28, and a Semi Deviation of 5.15 for the reported period.
Predicted Return Density |
| Returns |
What Drives Frequency Electronics' Price Volatility?
Several factors can influence Frequency Electronics' market volatility:Industry Dynamics
Sector-level events can directly affect Frequency Electronics' price stability. Regulatory changes, supply disruptions, or shifts in demand within Frequency Electronics' industry may create volatility even when the broader market is calm. Competitive dynamics and industry consolidation can also amplify price swings for companies like Frequency Electronics.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for Frequency Electronics' price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward Frequency Electronics. During periods of economic expansion, Frequency Electronics' price tends to benefit from broader market optimism, while downturns can amplify selling pressure.Frequency Electronics' Company-Specific Factors
Volatility can also stem from events unique to Frequency Electronics. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in Frequency Electronics' stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on Frequency Electronics' share price.Stock Risk Measures
Given the investment horizon of 90 days the coefficient of variation of Frequency Electronics is -6372.41. The daily returns are distributed with a variance of 25.63 and standard deviation of 5.06. The mean deviation of Frequency Electronics is currently at 3.9. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | 0.62 | |
β | Beta against Dow Jones | 2.35 | |
σ | Overall volatility | 5.06 | |
Ir | Information ratio | 0.08 |
Stock Return Volatility
Frequency Electronics historical daily return volatility represents how much of Frequency Electronics stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm reported 5.0624% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial has volatility of 0.8255% 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
There is a big difference between Frequency Stock performing well and Frequency Electronics Company doing well as a business compared to the competition. Risk-adjusted metrics allow investors to compare Frequency Electronics' efficiency and downside exposure against peers in a more meaningful way. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| BKTI | 2.02 | 0.14 | 0.05 | 0.06 | 2.77 | 4.09 | 13.26 | |||
| MVIS | 4.12 | -0.22 | 0.00 | -0.15 | 0.00 | 7.23 | 44.41 | |||
| TBCH | 1.73 | -0.33 | 0.00 | -0.45 | 0.00 | 2.93 | 10.45 | |||
| AUDC | 1.72 | 0.00 | 0.00 | -0.09 | 0.00 | 2.95 | 17.33 | |||
| AVNW | 1.67 | 0.38 | 0.13 | 0.11 | 1.99 | 3.40 | 17.89 | |||
| CNDT | 3.36 | -0.54 | 0.00 | -0.27 | 0.00 | 6.84 | 24.46 | |||
| RMNI | 1.91 | -0.22 | 0.00 | -0.24 | 0.00 | 3.38 | 26.17 | |||
| CRNT | 2.05 | 0.28 | 0.09 | 0.08 | 2.12 | 4.29 | 11.07 | |||
| DDD | 4.09 | 0.58 | 0.09 | 0.08 | 3.80 | 10.55 | 33.41 | |||
| TSAT | 4.19 | 0.56 | 0.07 | 0.17 | 5.87 | 7.30 | 28.67 |
Risk Metrics, Assumptions & Methodology
Volatility for Frequency Electronics measures return dispersion and uncertainty over time. Range expansion increases sensitivity to market stress conditions. Frequency Electronics has a market cap of 415.55 M, P/E of 156.93, ROE of 12.85%.
Inputs for Frequency Electronics come from periodic company reporting and market reference feeds and are mapped into a consistent schema for analysis. Sell-side coverage, where present, supplements the data shown. Some fields can appear with publication lag. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Michael Smolkin - Member of Macroaxis Board of DirectorsFrequency Electronics Investment Opportunity
Measured over the selected horizon, Frequency Electronics carries roughly 6.1 times the return volatility of Dow Jones Industrial. Investors typically want to know whether the additional volatility is buying them more upside or simply more noise.You can use Frequency Electronics to protect your portfolios against small market fluctuations. This directional read frames the latest price swing through a simple momentum and follow-through lens. It is most useful when combined with broader risk controls and position-sizing discipline. a normal downward trend and little activity. Check odds of Frequency Electronics to be traded at $42.01 in 90 days.Modest diversification
For the present investment horizon, the measured correlation between FEIM and DJI stands at 0.29, or Modest diversification. Used correctly, the chart helps investors judge whether adding the second position genuinely diversifies the first.
Frequency Electronics Additional Risk Indicators
Looking at additional risk metrics for Frequency Electronics helps investors judge 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 | 0.064 | |||
| Market Risk Adjusted Performance | 0.1871 | |||
| Mean Deviation | 4.28 | |||
| Semi Deviation | 5.15 | |||
| Downside Deviation | 5.28 | |||
| Coefficient Of Variation | 1438.12 | |||
| Standard Deviation | 6.12 |
Frequency Electronics Suggested Diversification Pairs
A pair strategy built around Frequency Electronics 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.
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 Frequency Electronics 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. Frequency Electronics' 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, Frequency Electronics' 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 Frequency Electronics.