Firstrand (South Africa) Volatility

Firstrand Volatility Strategy

Main indicators related to Firstrand's market risk premium analysis include:

Moving together with Firstrand Stock

Moving against Firstrand Stock

Firstrand Sensitivity To Market

3 Months Beta |Analyze Firstrand Demand TrendCheck current 90 days Firstrand correlation with market (Dow Jones Industrial)

Firstrand Downside Risk

Standard Deviation

1.55

Firstrand Stock Volatility Analysis

Firstrand Projected Return Density Against Market

Assuming the 90 days trading horizon Firstrand has a beta of 0.4904 . This usually indicates as returns on the market go up, Firstrand average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Firstrand will be expected to be much smaller as well. Firstrand has an alpha of 0.0907, implying that it can generate a 0.0907 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Firstrand's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how firstrand stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Firstrand 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 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.

Firstrand Stock Risk Measures

Firstrand Stock Return Volatility

Firstrand historical daily return volatility represents how much of Firstrand stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm accepts 1.5492% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7925% volatility on return distribution over the 90 days horizon.

Related Correlations Analysis

Risk analysis around Firstrand 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.

Pair trading with Firstrand 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 Firstrand 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. Firstrand'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, Firstrand'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 Firstrand.