Luna Innovations Incorporated Stock Volatility
| LUNA Stock | USD 1.20 -0.08 -6.25% |
Luna Innovations Incorporated remains associated with high price volatility over the last 3 months. Luna Innovations Incorporated still shows a Sharpe ratio of 0.017, demonstrating favorable reward-to-risk behavior over the last 3 months. Current volatility conditions are reflected in 28 technical indicators.
Sharpe Ratio = 0.017
| High Returns | Best Equity | |||
| Good Returns | ||||
| Average Returns | ||||
| Small Returns | ||||
| Cash | Small Risk | Average Risk | LUNA | Huge Risk |
| Negative Returns |
For Luna Innovations Incorporated, recent data highlights a Market Risk Adjusted Performance of -0.2%, a Risk of 3.46, and a Risk Adjusted Performance of 0.04%. Based on monthly moving average positioning, Luna Innovations is operating near 1% of its observed historical performance range. In portfolio analysis, diversification may alter its risk-adjusted contribution. Diversification changes its relative contribution to total variance in a mixed allocation.
Key indicators related to Luna Innovations' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Luna Innovations Pink Sheet volatility depicts how high the prices fluctuate around the mean price. Higher volatility implies greater uncertainty about Luna Innovations' future price, while lower volatility suggests more predictable behavior. The volatility of Luna Innovations is a critical input for portfolio construction and diversification.
Luna |
Volatility Strategy
Luna Innovations Incorporated return movement contributes differently across allocation frameworks. Current statistical measures show total volatility near 3.46% with a beta coefficient of -0.77, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.017, evaluates return per unit of total risk. An alpha value of 0.16 reflects performance relative to systematic market exposure. Expected return estimates near 0.0586% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Industry trends may alter price sensitivity.
Main indicators related to Luna Innovations' market risk premium analysis include:
Beta -0.77 | Alpha 0.16 | Risk 3.46 | Sharpe Ratio 0.017 | Expected Return 0.0586 |
Moving together with Luna Pink Sheet
| 0.63 | BKRKF | PT Bank Rakyat | PairCorr |
| 0.81 | CAT | Caterpillar | PairCorr |
| 0.75 | T | ATT Inc Sell-off Trend | PairCorr |
| 0.84 | MCD | McDonalds | PairCorr |
| 0.66 | TRV | The Travelers Companies | PairCorr |
| 0.63 | XOM | Exxon Mobil Corp Aggressive Push | PairCorr |
| 0.8 | JNJ | Johnson Johnson | PairCorr |
| 0.8 | DD | Dupont De Nemours | PairCorr |
| 0.73 | PFE | Pfizer Inc | PairCorr |
Moving against Luna Pink Sheet
| 0.65 | PBCRF | PT Bank Central | PairCorr |
| 0.64 | HPQ | HP Inc Aggressive Push | PairCorr |
| 0.5 | PBCRY | Bank Central Asia | PairCorr |
| 0.49 | DIS | Walt Disney | PairCorr |
| 0.41 | AXP | American Express | PairCorr |
Sensitivity To Market
Luna Innovations Incorporated market-relative volatility is reflected in its beta of -0.77. This value results from regression analysis against benchmark returns. Total dispersion currently approximates 3.46%.Luna Innovations Incorporated has shown return movement that ranges from typical to sharp depending on market conditions. Current dispersion statistics include standard deviation near 5.68%. This stock section uses plain language to describe measured variability and downside movement.
3 Months Beta |Analyze Luna Innovations Demand TrendCheck current 90 days Luna Innovations correlation with market (Dow Jones Industrial)Downside Risk
Luna standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. High standard deviation indicates a volatile instrument; low standard deviation indicates a more stable one. Standard deviation for Luna provides a statistical measure of daily price variability relative to the mean.
Standard Deviation | 3.46 |
It is essential to understand the difference between upside risk and downside risk for Luna Innovations. Standard deviation measures total volatility including favorable moves, while downside deviation isolates the loss risk in Luna Innovations' daily returns. Both total and downside risk metrics contribute to a thorough analysis of Luna Innovations. For Luna Innovations Incorporated, recent data highlights a Downside Deviation of 6.06, a Downside Variance of 36.67, and a Maximum Drawdown of 47.62.
Pink Sheet Volatility Analysis
Volatility refers to the frequency at which Luna Innovations pink sheet price increases or decreases within a specified period. It is generally measured from either the standard deviation or variance between returns from that same pink sheet. A pink sheet with high volatility can produce outsized gains or losses compared to a low-volatility alternative.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Luna Innovations 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 Luna Innovations Incorporated has a beta of -0.7745 . This indicates that as returns on the benchmark increase, returns on Luna Innovations tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, Luna Innovations Incorporated is likely to outperform the market.Both systematic and unsystematic risks influence Luna Innovations. Market-wide movements drive the former, while company or sector-specific developments drive the latter. Beta estimates market responsiveness. For Luna Innovations Incorporated, recent data highlights a Downside Deviation of 6.06, a Mean Deviation of 2.68, and a Semi Deviation of 3.33.
Predicted Return Distribution |
| Density |
What Drives Luna Innovations' Price Volatility?
Industry Dynamics
Regulatory updates, demand shifts, and competitive changes in the Electronic Equipment, Instruments & Components sector can move Luna Innovations' volatility even when broad indices are stable.Political and Economic Environment
Rates, inflation expectations, and policy headlines can shift discount rates and risk appetite for Luna Innovations.Luna Innovations' Company-Specific Factors
Earnings surprises, guidance changes, management decisions, and litigation risk are common catalysts for sharp re-pricing in Luna Innovations' shares.Pink Sheet Risk Measures
Given the investment horizon of 90 days the coefficient of variation of Luna Innovations is 5898.91. The daily returns are distributed with a variance of 11.97 and standard deviation of 3.46. The mean deviation of Luna Innovations Incorporated is currently at 1.91. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.82
α | Alpha over Dow Jones | 0.16 | |
β | Beta against Dow Jones | -0.7745 | |
σ | Overall volatility | 3.46 | |
Ir | Information ratio | 0.04 |
Pink Sheet Return Volatility
Luna Innovations historical daily return volatility represents how much of Luna Innovations pink sheet's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company reported 3.4595% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial has volatility of 0.8467% 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
Strong recent returns in Luna Pink Sheet do not always mean Luna Innovations Company is outperforming peers on business quality. Reviewing Luna Innovations' risk-adjusted indicators gives a clearer view of whether returns are being earned efficiently. These indicators are quantitative in nature and help investors evaluate volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| ACFN | 4.11 | 0.64 | 0.12 | 0.23 | 4.36 | 12.11 | 42.26 | |||
| WSTL | 2.45 | 0.13 | 0.05 | 0.28 | 2.93 | 5.04 | 12.17 | |||
| SILLF | 2.45 | -0.18 | 0.00 | 0.11 | 0.00 | 0.00 | 79.87 | |||
| NYWKF | 2.40 | -0.46 | 0.00 | -5.55 | 0.00 | 6.58 | 18.36 | |||
| VSQTF | 3.43 | -0.53 | 0.00 | -0.40 | 0.00 | 6.25 | 21.87 | |||
| AILE | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| RAASY | 4.92 | 0.46 | 0.05 | -1.04 | 7.23 | 10.53 | 66.67 | |||
| MHUBF | 4.24 | -0.10 | 0.00 | -0.19 | 0.00 | 9.84 | 40.75 | |||
| KDCXF | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| AVAI | 5.08 | 0.25 | 0.04 | 0.54 | 5.04 | 13.04 | 43.16 |
Risk Metrics, Assumptions & Methodology
Standard deviation for Luna Innovations measures how widely returns scatter around their average over a given period. Return scatter increases when new information or regime shifts widen the distribution of outcomes. Luna Innovations has a market cap of 37.13 M, P/E of 17.66, ROE of -1.23%.
Data shown for Luna Innovations Incorporated is aggregated from periodic company reporting and market reference feeds and normalized across reporting formats. Source publication timing can introduce delays. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Raphi Shpitalnik - Junior Member of Macroaxis Editorial BoardLuna Innovations Investment Opportunity
Luna Innovations Incorporated is about 4.07 times more volatile than Dow Jones Industrial based on recent return behavior. Investors typically want to know whether the additional volatility is buying them more upside or simply more noise.You can use Luna Innovations Incorporated to protect the portfolio 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 very speculative downward sentiment. The market maybe over-reacting. Check odds of Luna Innovations to be traded at $1.14 in 90 days.Moderate diversification
For the present investment horizon, the measured correlation between Luna Innovations and Dow Jones stands at 0.22, or Moderate diversification. A 0.22 reading means Luna Innovations and Dow Jones have partial price overlap, offering some diversification benefit.
Luna Innovations Additional Risk Indicators
A broader risk-indicator set for Luna Innovations Incorporated can improve buy, hold, hedge, and sell decisions by adding context beyond the most common measures. This is most useful when investors want to understand whether the current opportunity is being paid for with reasonable risk.
| Risk Adjusted Performance | 0.039 | |||
| Market Risk Adjusted Performance | -0.25 | |||
| Mean Deviation | 2.68 | |||
| Semi Deviation | 3.33 | |||
| Downside Deviation | 6.06 | |||
| Coefficient Of Variation | 2700.81 | |||
| Standard Deviation | 5.68 |
Luna Innovations Suggested Diversification Pairs
Pair analysis around Luna Innovations Incorporated matters because it can turn one security idea into a more market-neutral structure. Used properly, pair trading is less about prediction in isolation and more about identifying relative mispricing between related positions.
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 Luna Innovations 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. Luna Innovations' 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, Luna Innovations' 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 Luna Innovations Incorporated.
Popular Tools for Luna Pink Sheet analysis
| Pattern Recognition Use different Pattern Recognition models to identify potential trend changes across multiple global exchanges | |
| Portfolio Holdings Check your current holdings and cash position to determine if your portfolio needs rebalancing | |
| Headlines Timeline Stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity | |
| Price Exposure Probability Analyze equity upside and downside potential for a given time horizon across multiple markets | |
| Premium Stories Follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope | |
| Cryptocurrency Center Build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency | |
| CEOs Directory Screen CEOs from public companies around the world | |
| Economic Indicators Top statistical indicators that provide insights into how an economy is performing | |
| Efficient Frontier Plot and analyze your portfolio and positions against risk-return landscape of the market. |