We consider Procter Gamble not too risky. The Procter Gamble
maintains Sharpe Ratio (i.e. Efficiency) of 0.1535 which implies The Procter Gamble
had 0.1535% of return per unit of risk over the last 1 month. Our philosophy towards forecasting volatility of a stock is to use all available market data together with company specific technical indicators
that cannot be diversified away. We have found twenty-one technical indicators
for The Procter Gamble which you can use to evaluate future volatility of the company. Please check The Procter Gamble Coefficient Of Variation
of 651.26, Semi Deviation
of 0.6577 and Market Risk Adjusted Performance
of 0.30 to confirm if risk estimate we provide are consistent with the epected return of 0.1451%. Procter Gamble has performance score of 10 on a scale of 0 to 100. The organization holds Beta of -0.4351 which implies as returns on market increase, returns on owning Procter Gamble are expected to decrease at a much smaller rate. During bear market, Procter Gamble is likely to outperform the market.. Although it is extremely important to respect The Procter Gamble current trending patterns, it is better to be realistic regarding the information on equity existing price patterns. The philosophy towards forecasting future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing The Procter Gamble technical indicators you can presently evaluate if the expected return of 0.1451% will be sustainable into the future. The Procter Gamble right now holds a risk of 0.9447%. Please check The Procter Gamble Information Ratio as well as the relationship between Potential Upside and Kurtosis to decide if The Procter Gamble will be following its historical price patterns.
|15 days auto-correlation|| 0.38 |
Below average predictability
The Procter Gamble Company has below average predictability. Overlapping area represents the amount of predictability between Procter Gamble time series from June 19, 2018 to July 4, 2018 and July 4, 2018 to July 19, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of The Procter Gamble price movement. The serial correlation of 0.38 indicates that just about 38.0% of current Procter Gamble price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.38|
|Spearman Rank Test|| 0.06|
|Price Variance|| 0.33|
|Lagged Price Variance|| 0.61|