Macroaxis considers Pepsico relatively not risky. Pepsico Inc
maintains Sharpe Ratio (i.e. Efficiency) of -0.13 which implies Pepsico Inc
had -0.13% of return per unit of risk over the last 1 month. Macroaxis philosophy towards forecasting 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
. Pepsico Inc exposes twenty-seven different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Pepsico Inc Coefficient Of Variation
of (774), Semi-Deviation of 1.1 and Risk Adjusted Performance of (0.12) to confirm risk estimate we provide.
Projected Return Density against Market
Considering 30-days investment horizon, Pepsico has beta of 0.51 . This implies as returns on market go up, Pepsico avarage returns are expected to increase less than the benchmark. However during bear market, the loss on holding Pepsico Inc will be expected to be much smaller as well. Moreover, Pepsico Inc has alpha of 0.51 implying that it can potentially generate 0.51% excess return over S&P 500 after adjusting for the inherited market risk (beta).
Predicted Return Density
Considering 30-days investment horizon, the coefficient of variation of Pepsico is -773.78. The daily returns are destributed with a variance of 0.58 and standard deviation of 0.76. The mean deviation of Pepsico Inc is currently at 0.58. For similar time horizon, the selected benchmark (S&P 500) has volatility of 0.89
Actual Return Volatility
Pepsico Inc has volatility of 0.76%
on return distribution over 30 days investment horizon. S&P 500 shows 0.89% volatility of returns over 30 trading days.