Macroaxis considers Premuda abnormally risky. Premuda SpA
maintains Sharpe Ratio (i.e. Efficiency) of -0.17 which implies Premuda SpA
had -0.17% 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
. Premuda SpA exposes twenty-seven different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Premuda SpA Coefficient Of Variation
of (597) and Risk Adjusted Performance of (0.07) to confirm risk estimate we provide.
Projected Return Density against Market
Assuming 30 trading days horizon, Premuda SpA has beta of -0.31 . This implies as returns on benchmark increase, returns on holding Premuda are expected to decrease at a much smaller rate. During bear market, however, Premuda SpA is likely to outperform the market. Additionally, Premuda SpA has negative alpha implying that risk taken by holding this equity is not justified. The company is significantly underperforming S&P 500
Predicted Return Density
Assuming 30 trading days horizon, the coefficient of variation of Premuda is -596.67. The daily returns are destributed with a variance of 3.96 and standard deviation of 1.99. The mean deviation of Premuda SpA is currently at 1.26. For similar time horizon, the selected benchmark (S&P 500) has volatility of 0.45
Actual Return Volatility
Premuda SpA shows 1.99% volatility of returns over 30 trading days. S&P 500 shows 0.45% volatility of returns over 30 trading days.