Saputo Inc Stock Volatility
| SAP Stock | CAD 42.95 -0.21 -0.49% |
The latest read on Saputo Inc points to a low volatility profile over the designated window. Saputo Inc indicates a Sharpe Ratio (Efficiency) of 0.0937, pointing to consistent risk-adjusted returns over the last 3 months. Our analysis points to 29 technical indicators driving current risk behavior.
Sharpe Ratio = 0.0937
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Estimated Market Risk
| 1.25 actual daily | 11 89% of assets are more volatile |
Expected Return
| 0.12 actual daily | 2 98% of assets have higher returns |
Risk-Adjusted Return
| 0.09 actual daily | 7 93% of assets perform better |
For Saputo Inc, recent data highlights a Market Risk Adjusted Performance of -0.3%, a Risk of 1.25, and a Risk Adjusted Performance of 0.1%. Trend analysis shows S A P trading at roughly 7% of its established return corridor. Diversification changes its relative contribution to total variance.
Key indicators related to S A P's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
The volatility of S A P is a critical input for portfolio construction. Assets with low correlation and moderate volatility - like S A P in certain environments - can improve a portfolio's risk-adjusted return by adding diversification without excessive S A P's price.
SAP |
S A P Volatility Strategy
Saputo Inc dispersion metrics describe how it interacts with cross-asset exposure. Current statistical measures show total volatility near 1.25% with a beta coefficient of -0.47, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.0937, evaluates return per unit of total risk. An alpha value of 0.13 reflects performance relative to systematic market exposure. Expected return estimates near 0.12% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Growth repricing can increase short-term volatility.
Main indicators related to S A P's market risk premium analysis include:
Beta -0.47 | Alpha 0.13 | Risk 1.25 | Sharpe Ratio 0.0937 | Expected Return 0.12 |
Moving against SAP Stock
S A P Sensitivity To Market
S A P'sSaputo Inc beta coefficient, currently -0.47, measures relative volatility compared to the broader market index. It is calculated using regression slope methodology. Total risk is approximately 1.25%.Saputo Inc has displayed return variability that can be compared across instruments using standard deviation (1.24%). For Saputo Inc, dispersion metrics describe what happened historically across the selected window.
3 Months Beta |Analyze SAPuto Inc Demand TrendCheck current 90 days S A P correlation with market (Dow Jones Industrial)S A P Downside Risk
Standard deviation for SAP provides a statistical measure of daily price variability relative to the mean over a chosen period. High values mean high volatility; low values mean stability.
Standard Deviation | 1.25 |
Investors analyzing S A P should consider both total and downside risk. Standard deviation measures total price dispersion, while semi-deviation and downside deviation focus on the loss risk embedded in S A P's returns. For Saputo Inc, recent data highlights a Downside Deviation of 1.09, a Downside Variance of 1.19, and a Maximum Drawdown of 6.42.
SAPuto Inc Stock Volatility Analysis
For traders and investors in S A P, volatility is both a risk factor and a source of opportunity. Sudden spikes in S A P's stock volatility can lead to rapid gains or steep losses. Long-term investors in S A P often use volatility as a signal to accumulate or trim.
Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. SAPuto Inc 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.
S A P Projected Return Density Against Market
Assuming the 90-day trading horizon Saputo Inc has a beta of -0.4716 . This usually implies that as returns on the benchmark increase, returns on S A P tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, Saputo Inc is likely to outperform the market.The risk profile of S A P includes exposure to market fluctuations and company or sector-specific developments. Systematic components persist despite diversification. For Saputo Inc, recent data highlights a Downside Deviation of 1.09, a Mean Deviation of 0.95, and a Semi Deviation of 0.97.
Predicted Return Density |
| Returns |
What Drives a S A P 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.S A P Stock Risk Measures
Assuming the 90-day trading horizon the coefficient of variation of S A P is 1066.85. The daily returns are distributed with a variance of 1.56 and standard deviation of 1.25. The mean deviation of Saputo Inc is currently at 0.95. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.77
α | Alpha over Dow Jones | 0.13 | |
β | Beta against Dow Jones | -0.4716 | |
σ | Overall volatility | 1.25 | |
Ir | Information ratio | 0.12 |
S A P Stock Return Volatility
S A P historical daily return volatility represents how much of S A P stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm assumes 1.25% volatility of returns over a 90-day investment horizon. 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 SAP Stock performing well and S A P 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 S A P'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| TPX-B | 1.65 | -0.04 | 0.00 | -0.16 | 0.00 | 3.38 | 8.26 | |||
| WN | 0.90 | 0.03 | 0.03 | -0.15 | 1.28 | 2.27 | 7.20 | |||
| EMP-A | 1.17 | -0.02 | 0.00 | 0.03 | 0.00 | 3.03 | 10.48 | |||
| L | 0.96 | 0.06 | 0.05 | -0.43 | 1.25 | 2.53 | 9.55 | |||
| PBH | 0.96 | -0.01 | 0.00 | 0.02 | 1.58 | 2.30 | 9.94 | |||
| SWP | 0.81 | 0.01 | 0.01 | -0.35 | 1.34 | 2.27 | 6.41 | |||
| MFI | 1.11 | 0.22 | 0.20 | -0.77 | 0.96 | 2.55 | 6.01 | |||
| BU | 3.25 | 0.50 | 0.14 | -4.07 | 3.25 | 9.26 | 21.43 |
About S A P Volatility Analysis
Volatility for S A P measures return dispersion and uncertainty over time. Dispersion trends provide context for structural risk posture. S A P has market cap of 17.41 B, P/E of 22.33, ROE of 9.41%.
Unless otherwise specified, financial data for Saputo Inc 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.
S A P Investment Opportunity
Measured over the selected horizon, Saputo Inc carries roughly 1.62 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 Saputo Inc to protect your portfolios against small market fluctuations. This price-change note interprets the latest move in the context of short-horizon trading behavior. It gives extra weight to the size of the move, the quote level, and whether the instrument trades in a hype-prone venue. a normal downward trend and little activity. Check odds of S A P to be traded at C$42.52 in 90 days.Modest diversification
Across the chosen horizon, SAP and DJI show a correlation of 0.28 and fall into the Modest diversification bucket. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.
S A P Additional Risk Indicators
Risk analysis around Saputo Inc 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 | -0.27 | |||
| Mean Deviation | 0.946 | |||
| Semi Deviation | 0.9689 | |||
| Downside Deviation | 1.09 | |||
| Coefficient Of Variation | 876.37 | |||
| Standard Deviation | 1.24 |
S A P Suggested Diversification Pairs
Pair trading with S A P 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.
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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 S A P 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. S A P'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, S A P'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 Saputo Inc.
More Resources for SAP Stock Analysis
Other Information on Investing in SAP Stock
Financial ratios for S A P provide valuation context across profits, cash flow, and enterprise value. They help compare SAP across valuation measures.