Macroaxis considers Deere not too risky given 1 month investment horizon. Deere Company secures Sharpe Ratio (or Efficiency) of 0.4731 which denotes Deere Company had 0.4731% of return per unit of standard deviation over the last 1 month. Our philosophy in predicting 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 technical indicators for Deere Company which you can use to evaluate future volatility of the firm. Please utilize Deere Company Downside Deviation of 0.5969, Mean Deviation of 0.6435 and Coefficient Of Variation of 186.65 to check if our risk estimates are consistent with your expectations.
|Time Horizon||30 Days Login to change|
Deere Market Sensitivity
|As returns on market increase, Deere returns are expected to increase less than the market. However during bear market, the loss on holding Deere will be expected to be smaller as well.One Month Beta |Analyze Deere Company Demand TrendCheck current 30 days Deere correlation with market (DOW)|
β = 0.6643
Deere Company Technical Analysis
Projected Return Density Against MarketAllowing for the 30-days total investment horizon, Deere has beta of 0.6643 suggesting as returns on market go up, Deere average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Deere Company will be expected to be much smaller as well. Moreover, Deere Company has an alpha of 0.3051 implying that it can potentially generate 0.3051% excess return over DOW after adjusting for the inherited market risk (beta).
Allowing for the 30-days total investment horizon, the coefficient of variation of Deere is 211.36. The daily returns are destributed with a variance of 0.86 and standard deviation of 0.93. The mean deviation of Deere Company is currently at 0.68. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44