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Price Volatility Ranks between 50 & max Rate this Topic:
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raworks
Posted : Monday, June 4, 2012 12:36:00 PM
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Joined: 6/1/2012
Posts: 8

This is a condition in one of the canned easy scans. I look for price volatility in conditions & indicators and it is not there. I also can not expand it to see how it is formed. Probably derived from Beta, a column choice but how does a column choice become something that is ranked in an easy scan?

Bruce_L
Posted : Monday, June 4, 2012 12:42:58 PM


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Joined: 10/7/2004
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The most understandable description of TC2000's built in Price Volatility Criteria is in the Volatility as per TC2005 topic. You can add it to an EasyScan by selecting Add Condition while in the Conditions tab of the EasyScan and choosing Price Volatility (start typing it to limit the available Conditions).



-Bruce
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raworks
Posted : Monday, June 4, 2012 1:47:07 PM
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Joined: 6/1/2012
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Pardon me if I think you have not really answered my question.

 

In finance, the Beta (β) of a stock or portfolio is a number describing the volatility of an asset in relation to the volatility of the benchmark that said asset is being compared to. This benchmark is generally the overall financial market and is often estimated via the use of representative indices, such as the S&P 500.[

Given this definition of Beta and the fact that it is a column choice, how do I use that column value in an easy scan where I can rank the values so I get Prive Volatility Ranks between 50 & Max

Bruce_L
Posted : Monday, June 4, 2012 2:06:10 PM


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You didn't ask anything at all about beta in your original question. You asked about Price Volatility and how to add it to an EasyScan after seeing Price Volatility in a canned EasyScan and making the incorrect assumption that it was derived from beta.

Beta is one of the built in System Criteria just like Price Volatility.

Morningstar Fundamentals

Beta - The coefficient which measures the volatility of a stock's returns relative to the market (S&P 500). It is based on a 36/60-month historical regression of the return on the stock onto the return on the S&P 500: Ri = a + (Rm) + e where Ri is the monthly total returns on the stock, a is the stock's Alpha, Rm is the monthly total returns on the market (S&P 500), and e is a random error term. A minimum of 12 monthly returns are required for this calculation. A beta of 1 means that the market and the stock move up or down together, at the same rate. That is, a 5% up or down move in the market should theoretically result in a 5% up or down move in the stock. A beta coefficient of 2 suggests that the stock will tend to fluctuate twice as much as the market. That is, if the market moves up 5%, then the stock should move up 10%. A beta coefficient of 0.5 indicates that the stock will move one-half as much as the market, either up or down. A negative beta indicates the stock tends to move in the opposite direction from the general market. That is, the stock price declines when the overall market is rising, or rises when the overall market is declining. Negative beta stocks are rare.

You can add it to an EasyScan in the same way you would add Price Volatility to an EasyScan. Select Add Condition while in the Conditions tab of the EasyScan.

You would change the drop down to the right of the word Beta in the window that comes up to Rank and adjust the EasyScan Rangefinder to 50 to Max to just for the percentile rank of beta to above 50%.



-Bruce
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chrisdwilliams
Posted : Wednesday, October 3, 2012 4:10:49 PM
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Joined: 2/16/2012
Posts: 3

Just to be clear, can you confirm that the definition of the column "Price Volatility" is given under the topic you reference above (Volatility as per TC2005), where it is described as "Volatility (Relative Volatility)"?

That would make sense, and I don't mean to split hairs here, just want to be sure that I understand the calculation used (noting that the calculation given is only an example and includes two holidays).

Bruce_L
Posted : Wednesday, October 3, 2012 4:24:30 PM


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The current definition given for the Price Volatility fundamental system criteria is given in the Morningstar Fundamentals topic.

Price Volatility - The stock's calendar weekly percentage magnitude change over the last 13 calendar weeks is averaged. The stock's final volatility is found by multiplying its average by 10.

This definition replaced the definition which was given at the time the Volatility as per TC2005 was written and quoted there.

Price Volatility - (Relative Volatility) This is a measure of the propensity of a stock’s share price to fluctuate widely. The stock’s past changes in share price whether up or down, are compared with price changes in all stocks. This indicator is calculated as follows: The stock’s weekly percentage rise over the last 13 weeks is summed and averaged. The stock’s finial volatility is found by dividing its average of 13-week movements by the median value for all stocks.

Everything below this quoted definition in the Volatility as per TC2005 explains how Price Volitality is actually calculated (both at the time and currently). These calculations did not match the definition of Price Volatility given at the time. Thes calculations do match the current definition of Price Volatility and this is why the definition was changed.



-Bruce
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