STMICROELECTRONICS (Germany) Volatility
| SGM Stock | EUR 28.92 0.15 0.52% |
STMICROELECTRONICS now displays a very low volatility profile across the designated horizon. STMICROELECTRONICS posts a Sharpe Ratio (Efficiency) of 0.13, confirming positive risk-adjusted behavior over the last 3 months. There are 29 technical indicators affecting the current volatility pattern.
Sharpe Ratio = 0.1303
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| Cash | Small Risk | Average Risk | High Risk | Huge Risk |
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Estimated Market Risk
| 3.97 actual daily | 35 65% of assets are more volatile |
Expected Return
| 0.52 actual daily | 10 90% of assets have higher returns |
Risk-Adjusted Return
| 0.13 actual daily | 10 90% of assets perform better |
For STMICROELECTRONICS, recent data highlights a Market Risk Adjusted Performance of -4.8%, a Risk of 3.97, and a Risk Adjusted Performance of 0.1%. STMICROELECTRONICS is tracking at approximately 10% of its historical trend range. Within a diversified framework, contribution depends on allocation size.
Key indicators related to STMICROELECTRONICS's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Volatility for STMICROELECTRONICS can be decomposed into systematic risk (driven by broad market conditions) and idiosyncratic risk (driven by STMICROELECTRONICS's company-specific factors). Beta captures the systematic component, while total standard deviation captures both.
STMICROELECTRONICS |
STMICROELECTRONICS Volatility Strategy
Market cycles can shift how STMICROELECTRONICS participates in overall return dispersion. Current statistical measures show total volatility near 3.97% with a beta coefficient of -0.13, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of 0.13, evaluates return per unit of total risk. An alpha value of 0.62 reflects performance relative to systematic market exposure. Expected return estimates near 0.52% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Valuation adjustments may drive price swings.
Main indicators related to STMICROELECTRONICS's market risk premium analysis include:
Beta -0.13 | Alpha 0.62 | Risk 3.97 | Sharpe Ratio 0.13 | Expected Return 0.52 |
Moving against STMICROELECTRONICS Stock
STMICROELECTRONICS Sensitivity To Market
STMICROELECTRONICS'sSTMICROELECTRONICS shows a beta coefficient of -0.13, measuring correlation and volatility relative to benchmark movements. Regression slope analysis defines its systematic risk contribution. Current volatility measures about 3.97%.This overview focuses on observed volatility for STMICROELECTRONICS and how returns have fluctuated. Downside deviation currently reads near 0.89%. Equity volatility can rise when analyst revisions or guidance changes shift expectations quickly.
| α | 0.62 | β | -0.1274 | Check current 90 days STMICROELECTRONICS correlation with market (Dow Jones Industrial)
STMICROELECTRONICS Downside Risk
STMICROELECTRONICS standard deviation measures daily price dispersion from the mean, providing a proxy for volatility over the selected time period. Volatile instruments have higher standard deviations; stable ones have lower.
Standard Deviation | 3.97 |
Upside and downside risks in STMICROELECTRONICS are not symmetric. While standard deviation captures total price dispersion, semi-deviation and downside deviation measure only the loss risk in STMICROELECTRONICS's daily returns. For STMICROELECTRONICS, recent data highlights a Downside Deviation of 0.89, a Downside Variance of 0.79, and a Maximum Drawdown of 7.65.
STMICROELECTRONICS Stock Volatility Analysis
Market participants monitor STMICROELECTRONICS volatility to assess the stock's price stability. When STMICROELECTRONICS's volatility is elevated, prices can swing by several percentage points in a single session. Sustained low volatility in STMICROELECTRONICS typically signals a stable trading environment.
Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. STMICROELECTRONICS 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.
STMICROELECTRONICS Projected Return Density Against Market
Assuming the 90-day trading horizon STMICROELECTRONICS has a beta of -0.1274 . This usually implies that as returns on the benchmark increase, returns on STMICROELECTRONICS tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, STMICROELECTRONICS is likely to outperform the market.Risk assessment for STMICROELECTRONICS separates macro-driven volatility from company or sector-specific developments. Market risk cannot be diversified away, though asset-specific exposure can be moderated. For STMICROELECTRONICS, recent data highlights a Downside Deviation of 0.89, a Mean Deviation of 1.18, and a Standard Deviation of 3.83.
Predicted Return Density |
| Returns |
What Drives a STMICROELECTRONICS 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.STMICROELECTRONICS Stock Risk Measures
Assuming the 90-day trading horizon the coefficient of variation of STMICROELECTRONICS is 767.51. The daily returns are distributed with a variance of 15.75 and standard deviation of 3.97. The mean deviation of STMICROELECTRONICS is currently at 1.01. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.77
α | Alpha over Dow Jones | 0.62 | |
β | Beta against Dow Jones | -0.1274 | |
σ | Overall volatility | 3.97 | |
Ir | Information ratio | 0.17 |
STMICROELECTRONICS Stock Return Volatility
STMICROELECTRONICS historical daily return volatility represents how much of STMICROELECTRONICS stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm assumes 3.9682% volatility of returns over a 90-day investment horizon. By contrast, Dow Jones Industrial accepts 0.7735% volatility on return distribution over a 90-day 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
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Risk-Adjusted Indicators
There is a big difference between STMICROELECTRONICS Stock performing well and STMICROELECTRONICS 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 STMICROELECTRONICS'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| 7R10 | 2.82 | 0.49 | 0.12 | 0.69 | 3.13 | 7.98 | 22.82 | |||
| SRI | 1.02 | 0.03 | 0.00 | -0.12 | 0.00 | 5.26 | 20.56 | |||
| KEC | 3.55 | 0.23 | 0.03 | 0.28 | 4.38 | 12.50 | 28.43 | |||
| 3I7 | 1.23 | 0.37 | 0.23 | -3.35 | 1.21 | 3.06 | 9.18 | |||
| SI3 | 0.57 | 0.02 | 0.02 | 0.22 | 0.92 | 2.10 | 6.47 | |||
| 4OQ1 | 1.07 | 0.10 | 0.10 | 3.67 | 1.10 | 2.24 | 7.11 | |||
| 33Z | 0.55 | 0.04 | 0.00 | 0.18 | 0.00 | 2.40 | 7.94 |
About STMICROELECTRONICS Volatility Analysis
Volatility for STMICROELECTRONICS measures return dispersion and uncertainty over time. Swing amplitude frames exposure planning and risk limits. STMICROELECTRONICS has a market cap of 38.51 B. 
Raphi Shpitalnik ยท Junior Member of Macroaxis Editorial Board
Unless otherwise specified, financial data for STMICROELECTRONICS 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.
STMICROELECTRONICS Stock is Curated By:
Raphi Shpitalnik ยท Junior Member of Macroaxis Editorial BoardSTMICROELECTRONICS Investment Opportunity
Measured over the selected horizon, STMICROELECTRONICS carries roughly 5.16 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 STMICROELECTRONICS to enhance the returns of your portfolios. 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 moderate upward volatility. Check odds of STMICROELECTRONICS to be traded at €31.81 in 90 days.Very good diversification
Across the chosen horizon, SGM and DJI show a correlation of -0.25 and fall into the Very good diversification bucket. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.
STMICROELECTRONICS Additional Risk Indicators
Risk analysis around STMICROELECTRONICS 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 | 0.1349 | |||
| Market Risk Adjusted Performance | -4.85 | |||
| Mean Deviation | 1.18 | |||
| Downside Deviation | 0.8866 | |||
| Coefficient Of Variation | 609.45 | |||
| Standard Deviation | 3.83 | |||
| Variance | 14.7 |
STMICROELECTRONICS Suggested Diversification Pairs
Pair trading with STMICROELECTRONICS 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 STMICROELECTRONICS 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. STMICROELECTRONICS'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, STMICROELECTRONICS'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 STMICROELECTRONICS.
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