Deere Risk Analysis

Deere Company -- USA Stock  

USD 149.15  1.05  0.71%

Macroaxis considers Deere to be not too risky. Deere Company secures Sharpe Ratio (or Efficiency) of -0.1061 which denotes Deere Company had -0.1061% of return per unit of standard deviation over the last 2 months. Macroaxis philosophy in predicting risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Deere Company exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Deere Company Mean Deviation of 1.78 to check risk estimate we provide.
 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.
2 Months Beta |Analyze Deere Company Demand Trend
Check current 30 days Deere correlation with market (DOW)
β = 0.3383
Deere Small BetaDeere Company Beta Legend

Deere Company Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Deere Company Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Deere has beta of 0.3383 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. Additionally, Deere Company has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Allowing for the 30-days total investment horizon, the coefficient of variation of Deere is -942.67. The daily returns are destributed with a variance of 4.73 and standard deviation of 2.17. The mean deviation of Deere Company is currently at 1.76. For similar time horizon, the selected benchmark (DOW) has volatility of 1.69
α
Alpha over DOW
=0.25
β
Beta against DOW=0.34
σ
Overall volatility
=2.17
Ir
Information ratio =0.1

Actual Return Volatility

Deere Company accepts 2.1741% volatility on return distribution over the 30 days horizon. DOW inherits 1.4224% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Deere Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Close to average

60 Days Economic Sensitivity

Slowly supersedes market

Total Debt

Deere Company Total Debt History

Total Debt

Investment Outlook

Deere Investment Opportunity
Deere Company has a volatility of 2.17 and is 1.53 times more volatile than DOW. 20% of all equities and portfolios are less risky than Deere. Compared to the overall equity markets, volatility of historical daily returns of Deere Company is lower than 20 (%) of all global equities and portfolios over the last 30 days. Use Deere Company to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Deere to be traded at $164.07 in 30 days. 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.

Deere correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Deere Company and equity matching DJI index in the same portfolio.
Additionally see Investing Opportunities. Please also try Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.