NGEx Minerals Stock Volatility
| NGEX Stock | 25.23 1.58 6.68% |
The present risk profile is informed by 28 technical indicators. NGEx Minerals continues to trade with above-average price volatility through the last 3 months. NGEx Minerals reports a Sharpe ratio of 0.0207, supporting positive efficiency readings over the last 3 months.
Sharpe Ratio = 0.0207
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| Cash | Small Risk | Average Risk | NGEX | Huge Risk |
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Estimated Market Risk
| 3.81 actual daily | 34 66% of assets are more volatile |
Expected Return
| 0.08 actual daily | 1 99% of assets have higher returns |
Risk-Adjusted Return
| 0.02 actual daily | 1 99% of assets perform better |
NGEx Minerals reported a Market Risk Adjusted Performance of 0.01%, a Risk of 3.81, and a Risk Adjusted Performance of 0.01%. Monthly performance positioning shows NGEx Minerals operating at about 1% of its measured historical range. Its effect inside a well-diversified portfolio would be influenced by cross-asset correlation. In a well-diversified portfolio, overall dispersion would reflect cross-asset dynamics. Reviewing monthly trend data can help contextualize NGEx Minerals's current positioning.
Key indicators related to NGEx Minerals' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
The risk model for NGEx Minerals incorporates multiple volatility measures including realized volatility and beta. This statistical measure reflects the magnitude of NGEx Minerals's typical price swings and is a primary input in options pricing models. NGEx Minerals' beta measures how much NGEx Minerals's price moves relative to the broad market. When implied volatility for NGEx Minerals is above realized volatility, options premiums may be elevated relative to norms.
NGEx |
Volatility Strategy
Volatility clustering in NGEx Minerals may influence portfolio rebalancing frequency. Current statistical measures show total volatility near 3.81% with a beta coefficient of 2.33, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.0207, evaluates return per unit of total risk. An alpha value of 0.14 reflects performance relative to systematic market exposure. Expected return estimates near 0.0788% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Analyst revisions may increase short-term dispersion.
Main indicators related to NGEx Minerals' market risk premium analysis include:
Beta 2.33 | Alpha 0.14 | Risk 3.81 | Sharpe Ratio 0.0207 | Expected Return 0.0788 |
Moving together with NGEx Stock
| 0.84 | TECK-B | Teck Resources | PairCorr |
| 0.67 | IVN | Ivanhoe Mines | PairCorr |
| 0.63 | SKE | Skeena Resources Earnings Call This Week | PairCorr |
| 0.76 | FOM | Foran Mining | PairCorr |
Moving against NGEx Stock
Sensitivity To Market
The systematic risk of NGEx Minerals is captured by a beta reading of 2.33, indicating responsiveness to overall market fluctuations. Observed volatility is near 3.81%.Volatility measures for NGEx Minerals summarize how wide the trading range has been over time. Downside deviation is about 3.69%. For stocks, volatility is commonly tied to sentiment shifts and revisions in forward expectations.
3 Months Beta |Analyze NGEx Minerals Demand TrendCheck current 90 days NGEx Minerals correlation with market (Dow Jones Industrial)Downside Risk
The standard deviation of NGEx measures the spread of its daily returns around the mean. Highly volatile instruments have large standard deviations; stable instruments have small ones. Standard deviation of NGEx is a key measure of price volatility reflecting the average daily deviation from the mean. More volatile instruments exhibit higher standard deviations over equivalent time periods.
Standard Deviation | 3.81 |
Standard deviation and downside deviation are complementary tools for assessing NGEx Minerals's risk. Investors specifically concerned with loss potential should use downside deviation or semi-deviation of NGEx Minerals' returns. For investors in NGEx Minerals, understanding the difference between standard deviation and downside deviation is important. Semi-deviation of NGEx Minerals' returns captures only losses, providing a more focused risk measure. NGEx Minerals reported a Downside Deviation of 3.69, a Downside Variance of 13.63, and a Maximum Drawdown of 16.13.
Stock Volatility Analysis
In evaluating NGEx Minerals as an investment, volatility is a primary indicator of risk. High volatility generally means the stock price moves dramatically in a short period of time. Investors with a lower risk tolerance generally prefer stocks exhibiting lower volatility. Volatility metrics help portfolio managers set stop-losses and size positions appropriately for NGEx Minerals.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. NGEx Minerals 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
Assuming the 90-day trading horizon NGEx Minerals has a beta of 2.3305 . This 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, NGEx Minerals will likely underperform.NGEx Minerals volatility reflects broader stock market cycles alongside company or sector-specific developments. Diversified portfolios reduce specific exposure but not systemic risk. NGEx Minerals reported a Downside Deviation of 3.69, a Mean Deviation of 2.93, and a Semi Deviation of 3.63.
Predicted Return Distribution |
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What Drives NGEx Minerals' Price Volatility?
Industry Dynamics
Peer results and sector re-ratings in the Basic Materials sector often influence how investors price NGEx Minerals' risk.Political and Economic Environment
Macro data and central-bank signals can change valuation assumptions and short-term positioning around NGEx Minerals.NGEx Minerals' Company-Specific Factors
Company-specific events such as product updates, strategic actions, or execution issues can trigger volatility clusters.Stock Risk Measures
Assuming the 90-day trading horizon the coefficient of variation of NGEx Minerals is 4833.41. The daily returns are distributed with a variance of 14.5 and standard deviation of 3.81. The mean deviation of NGEx Minerals is currently at 3.07. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.82
α | Alpha over Dow Jones | 0.14 | |
β | Beta against Dow Jones | 2.33 | |
σ | Overall volatility | 3.81 | |
Ir | Information ratio | 0.02 |
Stock Return Volatility
Daily return volatility for NGEx Minerals measures how far stock returns deviate from their average on a day-to-day basis. The firm shows 3.8079% volatility of returns over 90 trading days. For comparison, Dow Jones Industrial has volatility of 0.8467% on return distribution over a 90-day investment 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
Evaluating NGEx Stock requires separating price momentum from underlying operating strength versus competitors. Peer-relative risk metrics add context on drawdown behavior, consistency, and return quality. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| NG | 4.31 | 0.06 | 0.00 | -0.03 | 0.00 | 7.96 | 31.36 | |||
| USA | 4.90 | 0.53 | 0.06 | 0.10 | 6.24 | 8.70 | 32.50 | |||
| ERD | 3.41 | -0.01 | 0.00 | -0.06 | 0.00 | 6.28 | 25.72 | |||
| KNT | 2.64 | 0.16 | 0.03 | 0.03 | 4.22 | 4.71 | 16.04 | |||
| OLA | 3.44 | 0.25 | 0.04 | 0.10 | 5.22 | 6.38 | 24.24 | |||
| WGX | 2.91 | 0.09 | 0.01 | 0.00 | 4.24 | 5.35 | 18.58 | |||
| SJ | 1.24 | 0.16 | 0.11 | 0.16 | 1.44 | 3.63 | 9.05 | |||
| DSV | 3.98 | 0.20 | 0.02 | 0.03 | 5.48 | 7.98 | 26.75 | |||
| TXG | 3.40 | 0.05 | 0.00 | -0.03 | 0.00 | 5.94 | 18.98 |
Risk Metrics, Assumptions & Methodology
Beta for NGEx Minerals measures the share of volatility attributable to broad market movements versus company-specific factors. Beta instability across periods suggests the relationship between market risk and asset volatility is shifting. NGEx Minerals has a market cap of 5.13 B, ROE of -38.87%.
Unless otherwise specified, data for NGEx Minerals 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:
Ellen Johnson - Member of Macroaxis Editorial BoardNGEx Minerals Investment Opportunity
Measured over the selected horizon, NGEx Minerals carries roughly 4.48 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 NGEx Minerals to enhance the returns of the portfolio. This directional read frames the latest price swing through a simple momentum and follow-through lens. It works best as a directional cue rather than as a standalone forecast. a very speculative upward sentiment. Check odds of NGEx Minerals to be traded at 31.54 in 90 days.Poor diversification
NGEx Minerals currently posts a 0.79 correlation with Dow Jones, indicating a Poor diversification relationship for the active sample. A 0.79 reading means NGEx Minerals and Dow Jones have substantial price overlap, limiting diversification benefit.
NGEx Minerals Additional Risk Indicators
Looking at additional risk metrics for NGEx Minerals frames how the position may behave under different market and portfolio conditions. The stronger process compares similar securities with comparable growth and valuation context before ranking one as more or less risky.
| Risk Adjusted Performance | 0.0123 | |||
| Market Risk Adjusted Performance | 0.0144 | |||
| Mean Deviation | 2.93 | |||
| Semi Deviation | 3.63 | |||
| Downside Deviation | 3.69 | |||
| Coefficient Of Variation | 18088.26 | |||
| Standard Deviation | 3.68 |
NGEx Minerals Suggested Diversification Pairs
Pair trading with NGEx Minerals can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. A disciplined pair strategy still requires monitoring because correlation can weaken when market regimes change.
Pair diversification lowers overall risk, though certain risk categories remain unaffected regardless of how positions are paired. Systematic risk - the risk tied to the overall market - cannot be eliminated by pairing NGEx Minerals with another position. However, NGEx Minerals' company-specific risk can be partially offset by selecting a pair that does not move in lockstep with NGEx Minerals.
More Resources for NGEx Stock Analysis
Other Information on Investing in NGEx Stock
Financial ratios represent how different financial values are linked for NGEx Minerals. The format ensures financial data remains comparable across time periods.