Macroaxis considers Trimble not too volatile. Trimble Navigation L
owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.25 which indicates Trimble Navigation L
had -0.25% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring 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
. Trimble Navigation Limited exposes twenty-seven different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Trimble Semi-Deviation
of 1.74, Coefficient Of Variation
of (400.18) and Risk Adjusted Performance of (0.21) to make sure to check risk estimate we provide.
Projected Return Density against Market
Given investment horizon of 30 days, the stock has beta cooficient of 1.2 . This entails as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Trimble will likely underperform. In addition to that, Trimble Navigation Limited has alpha of 1.2 implying that it can potentially generate 1.2% excess return over S&P 500 after adjusting for the inherited market risk (beta).
Predicted Return Density
Given investment horizon of 30 days, the coefficient of variation of Trimble is -400.18. The daily returns are destributed with a variance of 2.08 and standard deviation of 1.44. The mean deviation of Trimble Navigation Limited is currently at 1.18. For similar time horizon, the selected benchmark (S&P 500) has volatility of 0.84
Actual Return Volatility
Trimble Navigation Limited inherits 1.44% risk (volatility on return distribution) over the 30 days horizon. S&P 500 shows 0.84% volatility of returns over 30 trading days.