Deere Risk Analysis

Deere Company -- USA Stock  

USD 167.9  2.42  1.42%

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 Trend
Check current 30 days Deere correlation with market (DOW)
β = 0.6643
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 seventeen. 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 0.6643 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
=0.31
β
Beta against DOW=0.66
σ
Overall volatility
=0.93
Ir
Information ratio =0.27

Actual Return Volatility

Deere Company accepts 0.9271% volatility on return distribution over the 30 days horizon. DOW inherits 0.4559% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Deere Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Follows market closely

Total Debt

Deere Company Total Debt History

Total Debt

Largest Trends

Deere Largest Period Trend
 157.95 
  
 156.51 
1.44  0.91%
Lowest period price (30 days)
 168.53 
  
 170.32 
1.79  1.06%
Highest period price (30 days)

Investment Outlook

Deere Investment Opportunity
Deere Company has a volatility of 0.93 and is 2.02 times more volatile than DOW. 8% 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 8 (%) of all global equities and portfolios over the last 30 days. Use Deere Company to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Deere to be traded at $162.86 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

Weak 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.