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Super Micro Computer, Inc.(SMCI)
NASDAQ

Risk Analysis & Market Sentiment

$32.42
1.02 (3.25%)

Risk Analysis & Market Sentiment

Comprehensive risk, liquidity, and regime view for SMCI

Data Quality: 87.5/100

Snapshot of your risk profile

  • Volatility Context: With 69.59% annualized volatility, expect typical daily moves of approximately 4.4% percentage.
  • Downside Risk: The 95% VaR indicates that on 1 out of every 20 days, losses could exceed -4.32%. Ensure your stop-losses are wide enough to survive normal noise but tight enough to catch this break.
  • Liquidity: Low liquidity suggests you can likely enter and exit easily at current volume.
95% VaR
-4.32%
30d Vol
69.59%
Max DD
-84.84%
Liquidity
72.1
Time horizon:

Position Risk Calculator

Estimate potential losses for a specific position size and holding period using VaR, CVaR, and historical drawdowns.

$
95% VaR
over horizon
$432
(-4.3%)
95% CVaR
bad tail days
$806
(-8.1%)
Max Drawdown
historical worst case
$8484
(-84.8%)

Risk Analysis

Value at Risk, risk-adjusted returns, and volatility measures

Confidence
87.50%

Return Distribution (Loss vs Gain)

Most daily moves cluster near 0%, with rarer large moves in the tails. Use this to gauge how often typical days versus shock days occur for SMCI.

Volatility Structure (Trend vs Mean)

Recent 30-day volatility is 78.6%, which is calmer than usual compared with its long-term mean of 90.6%.

Tail & Distribution Risk (Shock Probability)

Fat Tail (<-2%)
Fat Tail (>2%)

Over the sample, fat-tail days show a bias toward loss days, with approximately 155 extreme loss buckets and 149 extreme gain buckets populated.

Drawdown Analytics (Depth of Loss)

The worst historical drawdown reached -84.8%. The current drawdown sits around -72.7%, helping you calibrate pain vs opportunity.

Value at Risk (VaR)
Conf: 92.00%

95% VaR
-4.32%
99% VaR
-9.29%
95% CVaR
-8.06%
99% CVaR
-15.40%
VaR Methodology
Method: Historical Simulation (Percentile)Sample Size: 3452Conf 95%: 0.05Conf 99%: 0.01Period: 3452dModel: Daily
CVaR Methodology
Method: Average of tail losses (Historical - Conditional)Tail 95%: 173Tail 99%: 35

Performance RatiosConf: 85.00%

Sharpe
0.57
Sortino
0.79
Ratio Methodology
Sharpe Period: 3452dSortino Period: 3452dRf Rate: 3.60%Daily Rf: 0.00014Source: ^IRX (13-week T-bill)Ann. Factor: 15.8745Downside: Only negative excess returns

Volatility & Drawdown
Conf: 92.00%

30d Annual Vol
69.59%
Hist. Annual Vol
57.51%
Max Drawdown
-84.84%
Vol/DD Methodology
30d Method: Std Dev * sqrt(252)30d Sample: 30dAnn. Factor: 15.8745Hist Method: Std Dev * sqrt(252)Hist Sample: 3452dDD Period: 3453dTrading Days: 252

Market & Distribution

Beta
1.52
Skewness
0.72
Kurtosis
23.44
Distrib Methodology
Skew Period: 3452dKurt Period: 3452dSkew Interpret: Negative = left tail risk

Liquidity Profile
Conf: 73.98%

72.1
Liquidity Score
Illiquidity Risk
Low
Vol. Consistency60.00
Market Depth Score1.50
Liquidity Methodology
Method: Hasbrouck Modified Volume Model (2009)Period: 90dActual Sample: 61dVol Wgt: 60Vol Bench: 10000000Mcap Wgt: 15Est. Stability: 25Stability Metric: Volume Coefficient of VariationFreshness: Daily (updated with market close)Sufficient Data: True

Bankruptcy Risk
Conf: 90.00%

4.57
Altman Z-Score
Zone
Safe

Component Ratios

Work. Cap / Assets0.71
Ret. Earn / Assets0.24
EBIT / Assets0.09
Mkt Val / Liab2.52
Sales / Assets1.57
Altman Methodology
Calculation: Altman Z-Score (1968)Period: annualSource: SEC EDGAR via yfinanceFiling: 10-KData Age: 53dCoeffs: A=1.2, B=1.4, C=3.3, D=0.6, E=1Completeness: 100%Imputed: No

Market Regime

Current PhaseBalanced
Regime Data Coverage100.00%
Bull Volatility
0.57
Corr. Volatility
0.63
Downside Cap
0.97

Analyst & Forecast Scenarios

Price targets from analyst estimates and forecast models - shown for educational reference only.

NOT FINANCIAL ADVICE: These scenarios reflect third-party analyst targets and forecast model outputs. They are provided for educational purposes only and should not be used as the sole basis for investment decisions. Past performance and forecasts do not guarantee future results.
Optimistic Scenario
Source: Analyst High / Forecast Max
Price Target$63.00
Potential Change+94.3%
Base Scenario
Source: Analyst Mean / 1Y Forecast
Price Target$41.31
Potential Change+27.4%
Pessimistic Scenario
Source: Analyst Low / Forecast Min
Price Target$15.00
Potential Change-53.7%
Data Sources & Methodology:
  • Optimistic: Based on analyst high target prices and maximum forecast values from monthly projections
  • Base: Uses analyst consensus (mean) target or 1-year forecast from predictive models
  • Pessimistic: Derived from analyst low targets and minimum forecast values
  • These are third-party estimates and model outputs, not guarantees. Actual prices may differ significantly.

Risk Regime Matrix – Regime × Volatility × Liquidity

Qualitative summary of the current environment with actionable trading guidance based on regime, volatility and liquidity metrics.

Regime
Balanced
Volatility
high (69.6%)
Liquidity Level
low

Mixed or transitional regime - combine technical and fundamental analysis.

Recommended Risk Parameters

Stop Loss: 2x ATR
Position Size: 85%

Action Items:

✓ Use standard risk management (2x ATR stops)

✓ Reduce size if uncertain (80-90% of normal)

✓ Monitor key support/resistance for direction

✓ Diversify across multiple setups

💧 Low liquidity: Use limit orders and scale entries/exits

📊 Beta Comparison

Stock Beta

1.52

Market (S&P 500)

1.00

🚀 Aggressive
+52% vs benchmark

What This Means

Aggressive - Significantly more volatile (52% above Market (S&P 500)), higher risk/reward

When Market (S&P 500) moves up 10%, this stock typically moves 15.2% in the same direction. Higher beta means amplified gains in bull markets but also amplified losses in downturns.

📈 Volatility in Historical Context

Current

69.6%

Percentile

30th

Avg

90.6%

Min: 38.9%Max: 212.3%
Low Volatility

What This Means

Current volatility of 69.6% is at the 30th percentile of its historical range. This is below the historical average of 90.6%, suggesting relatively stable price action.

Trading Implications:

Below average volatility - Good environment for trend following. Standard position sizing appropriate.

Risk Disclaimer: All risk metrics and sentiment indicators are based on historical data and should not be considered as investment advice. Risk measures may not predict future performance, and sentiment can change rapidly. Please consult with a financial advisor before making investment decisions.
Calculated: 2/22/2026, 11:42:36 PM
ver: 1 | method: RiskAnalyzer.comprehensive_risk_profile_with_metadata

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