Fast Retailing Co Stock Volatility
| FRCOF Stock | USD 419.52 14.27 3.52% |
Fast Retailing Co continues to trade with an elevated volatility profile through the current horizon. Fast Retailing Co posts a Sharpe Ratio (Efficiency) of 0.12, supporting positive efficiency readings over the last 3 months. We observed 30 technical indicators shaping the current volatility backdrop.
Sharpe Ratio = 0.1184
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Fast Retailing Co posted a Market Risk Adjusted Performance of 0.9%, a Risk of 2.46, and a Risk Adjusted Performance of 0.1% for the reported period. Fast Retailing has reached nearly 9% of its prior moving-average-defined range. Portfolio-level dispersion may shift depending on exposure weight.
Key indicators related to Fast Retailing's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Investors holding Fast Retailing should monitor Fast Retailing's rolling volatility as part of ongoing risk management. A sudden spike in Fast Retailing volatility, even without a directional price move, can signal increased uncertainty and potential for larger price swings ahead.
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Fast Retailing Volatility Strategy
Volatility clustering in Fast Retailing Co may influence portfolio rebalancing frequency. Current statistical measures show total volatility near 2.46% with a beta coefficient of 0.27, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.12, evaluates return per unit of total risk. An alpha value of 0.25 reflects performance relative to systematic market exposure. Expected return estimates near 0.29% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Trading volume spikes may widen dispersion.
Main indicators related to Fast Retailing's market risk premium analysis include:
Beta 0.27 | Alpha 0.25 | Risk 2.46 | Sharpe Ratio 0.12 | Expected Return 0.29 |
Moving together with Fast Pink Sheet
| 0.7 | ROST | Ross Stores | PairCorr |
| 0.91 | FRCOY | Fast Retailing | PairCorr |
| 0.73 | EOXFF | Euromax Resources | PairCorr |
| 0.75 | CSX | CSX Corporation | PairCorr |
Moving against Fast Pink Sheet
| 0.81 | PBCRY | Bank Central Asia | PairCorr |
| 0.79 | CTHR | Charles Colvard | PairCorr |
| 0.69 | PBCRF | PT Bank Central | PairCorr |
| 0.66 | LULU | Lululemon Athletica | PairCorr |
| 0.53 | PTAIF | PT Astra International | PairCorr |
Fast Retailing Sensitivity To Market
Fast Retailing'sThe systematic risk of Fast Retailing Co is captured by a beta reading of 0.27, indicating responsiveness to overall market fluctuations. Observed volatility is near 2.46%.Volatility measures for Fast Retailing Co summarize how wide the trading range has been over time. Downside deviation is about 4.03%. Equity volatility can compress in calm markets and expand quickly when uncertainty increases.
3 Months Beta |Analyze Fast Retailing Demand TrendCheck current 90 days Fast Retailing correlation with market (Dow Jones Industrial)Fast Retailing Downside Risk
Fast standard deviation is a volatility measure that captures how far daily prices deviate from their mean over the selected period. Volatile instruments have high standard deviations; stable instruments have low.
Standard Deviation | 2.46 |
Standard deviation captures Fast Retailing's total volatility, including favorable price movements that most investors don't consider risky. Downside deviation isolates the true loss risk in Fast Retailing's daily returns. Fast Retailing Co posted a Downside Deviation of 4.03, a Downside Variance of 16.24, and a Maximum Drawdown of 13.48 for the reported period.
Fast Retailing Pink Sheet Volatility Analysis
Volatility in Fast Retailing reflects the degree of uncertainty around Fast Retailing's pink sheet price. When Fast Retailing experiences high volatility, its pink sheet price can shift dramatically in a short period. Conversely, low Fast Retailing's volatility suggests price stability and predictability.
Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Fast Retailing 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.
Fast Retailing Projected Return Density Against Market
Assuming a 90-day horizon Fast Retailing has a beta of 0.2694 . This usually indicates as returns on the market go up, Fast Retailing's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding Fast Retailing Co is expected to be smaller as well.Fast Retailing volatility reflects broader pink sheet market cycles alongside company or sector-specific developments. Diversified portfolios reduce specific exposure but not systemic risk. Fast Retailing Co posted a Downside Deviation of 4.03, a Mean Deviation of 1.40, and a Semi Deviation of 1.95 for the reported period.
Predicted Return Density |
| Returns |
What Drives a Fast Retailing Price Volatility?
Several factors can influence a pink sheet'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 investor attention to the company. This positive attention may impact the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Fast Retailing Pink Sheet Risk Measures
Assuming a 90-day horizon the coefficient of variation of Fast Retailing is 844.3. The daily returns are distributed with a variance of 6.07 and standard deviation of 2.46. The mean deviation of Fast Retailing Co is currently at 1.52. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.77
α | Alpha over Dow Jones | 0.25 | |
β | Beta against Dow Jones | 0.27 | |
σ | Overall volatility | 2.46 | |
Ir | Information ratio | 0.11 |
Fast Retailing Pink Sheet Return Volatility
Fast Retailing historical daily return volatility represents how much of Fast Retailing pink sheet's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company shows 2.4632% volatility of returns over 90 trading days. By contrast, Dow Jones Industrial accepts 0.7724% volatility on return distribution over a 90-day horizon. Performance |
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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 Fast Pink Sheet performing well and Fast Retailing Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Fast Retailing's 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| BYDDY | 1.76 | 0.00 | 0.00 | -0.02 | 0.00 | 4.87 | 11.92 | |||
| CFRHF | 1.81 | -0.21 | 0.00 | -0.23 | 0.00 | 4.55 | 12.17 | |||
| CFRUY | 1.30 | -0.26 | 0.00 | -0.39 | 0.00 | 1.84 | 9.87 | |||
| IDEXY | 1.08 | -0.06 | 0.00 | -0.11 | 0.00 | 2.05 | 10.96 | |||
| CHDRF | 1.29 | -0.33 | 0.00 | 1.02 | 0.00 | 2.46 | 20.41 | |||
| CHDRY | 2.31 | -0.23 | 0.00 | -1.55 | 0.00 | 4.43 | 16.07 | |||
| BYDDF | 1.71 | -0.01 | 0.00 | -0.02 | 0.00 | 4.25 | 11.99 | |||
| FYGGY | 3.20 | 0.13 | 0.02 | 0.84 | 3.91 | 10.34 | 27.53 | |||
| HNNMY | 1.22 | 0.04 | 0.02 | 0.08 | 1.72 | 3.23 | 7.59 | |||
| IDEXF | 1.69 | -0.02 | 0.00 | -0.08 | 0.00 | 3.65 | 12.92 |
About Fast Retailing Volatility Analysis
Volatility for Fast Retailing measures return dispersion and uncertainty over time. Market stress typically elevates dispersion and correlation risk. Fast Retailing has market cap of 63.41 B, P/E of 65.95, ROE of 19.22%.
Unless otherwise specified, financial data for Fast Retailing Co is derived from periodic company reporting (annual and quarterly where available). Asset-level metrics are computed daily by Macroaxis LLC and refreshed regularly based on asset type. Updates may occur throughout the day.
Fast Retailing Investment Opportunity
Measured over the selected horizon, Fast Retailing Co carries roughly 3.19 times the return volatility of Dow Jones Industrial. That added volatility may be acceptable only if the position is expected to deliver stronger return efficiency or diversification value.You can use Fast Retailing Co to enhance the returns of your portfolios. This price-change note interprets the latest move in the context of short-horizon trading behavior. It works best as a directional cue rather than as a standalone forecast. an expected bullish sentiment for its category. Check odds of Fast Retailing to be traded at $503.42 in 90 days.Poor diversification
Across the chosen horizon, FRCOF and DJI show a correlation of 0.63 and fall into the Poor diversification bucket. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.
Fast Retailing Additional Risk Indicators
Risk analysis around Fast Retailing Co becomes more useful when investors review secondary indicators that can confirm, refine, or challenge the basic volatility picture. Used correctly, these measures can support both standalone risk assessment and portfolio-level hedging decisions.
| Risk Adjusted Performance | 0.0917 | |||
| Market Risk Adjusted Performance | 0.9355 | |||
| Mean Deviation | 1.4 | |||
| Semi Deviation | 1.95 | |||
| Downside Deviation | 4.03 | |||
| Coefficient Of Variation | 905.96 | |||
| Standard Deviation | 2.35 |
Fast Retailing Suggested Diversification Pairs
Pair trading with Fast Retailing can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. 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 Fast Retailing 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. Fast Retailing'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, Fast Retailing'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 Fast Retailing Co.
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