I'm guessing that poster didn't really understand the fundamental concept of CAPM based on their quote "The CAPM says there is a risk free rate (rf) to which a risk premium (rm * beta) is added. The total of rf and rm*beta gives the exp. rate of return." I'm not good enough to explain CAPM in a forum posting. However in broad terms I'll say that he/she a. probably didn't grasp the impact on total portfolio variance of combining negatively correlated assets, which requires a basic prob stats background, and b. has the intuitive concept of CAPM backwards, i.e. it doesn't "give" the expected rate of return of a security, it shows what expected rate of return is required given a security's systematic risk.
very volatile, high volume small cap stocks???
- Thread starter cashclay
- Start date
Again this is oversimplifying because it ignores idiosyncratic risk which often accounts for the majority of volatility on a single highly volatile stock. For example, GPRO is one of the most volatile stocks out there. Its Beta, .6. GPRO can gyrate wildly, but as long as those gyrations don't correlate with the movement of the market as a whole it's not going to have a large (or large negative) Beta. The OP is probably looking for these type of idiosyncratic risk volatilities, which would be stocks like single product type tech companies (GPRO, SCTY, GRPN, TSLA), or pharma companies with pending study result announcements. If they just want to make a beta play, then a 3X or -3X spx fund will have a daily beta of pretty close to 3/-3 (note the daily part though).
I say for day trading because the trader im current;l following is meir barack,
See the setting below:
Screen result:
Source:
http://www.marketvolume.com/stocks/mostvolatiletoday.asp
Hmm. I have the feeling that this scanner is not using the correct volatility value.
It seems to use just the Low and High in the given time frame for computing its own interpretation of volatility.
If that is indeed the case then it's mathematically not valid and the results are questionable.
And: volume alone isn't much useful. Instead one should compute "volume * price", and take that as one of the criterias...
ATR (Average True Range) uses difference between High and low and previous day close, this screener ignores the previous day close, still the volatility rating is quite correct. You may try to calculate the various volatility indicators (Absolute ATR, Standard deviation and etc) for a few stocks in the list to see whether rating is correct:
http://www.marketvolume.com/stocks/volatility.asp?s=FREE&t=freeseas-inc
The question is what you need. Do you need to calculate precise volatility for a stock or do you need top 50 most volatile stocks traded in a specific price range with minimum average volume?
If you need top 50 most volatile stocks traded in a specific price range with minimum average volume than you do not really need a precise formula. Maybe, by using the precise formula which uses previous day close in volatility calculations you will have a couple of extra stocks (which consistently have swings at the market opens) in the top 50. However, with averaging over the past 30 days it is going to be just a few...
http://www.marketvolume.com/stocks/volatility.asp?s=FREE&t=freeseas-inc
The question is what you need. Do you need to calculate precise volatility for a stock or do you need top 50 most volatile stocks traded in a specific price range with minimum average volume?
If you need top 50 most volatile stocks traded in a specific price range with minimum average volume than you do not really need a precise formula. Maybe, by using the precise formula which uses previous day close in volatility calculations you will have a couple of extra stocks (which consistently have swings at the market opens) in the top 50. However, with averaging over the past 30 days it is going to be just a few...