Glanbia plc (Ireland) Risk Analysis And Volatility Evaluation

GL9 -- Ireland Stock  

EUR 14.67  0.47  3.31%

We consider Glanbia plc not very risky. Glanbia plc holds Efficiency (Sharpe) Ratio of 0.0266 which attests that Glanbia plc had 0.0266% of return per unit of standard deviation over the last 1 month. Our philosophy in determining volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Glanbia plc which you can use to evaluate future volatility of the corporation. Please check out Glanbia plc Market Risk Adjusted Performance of 0.0806 and Risk Adjusted Performance of 0.0466 to validate if risk estimate we provide are consistent with the epected return of 0.0444%.
Horizon     30 Days    Login   to change

Glanbia plc Market Sensitivity

As returns on market increase, Glanbia plc returns are expected to increase less than the market. However during bear market, the loss on holding Glanbia plc will be expected to be smaller as well.
One Month Beta |Analyze Glanbia plc Demand Trend
Check current 30 days Glanbia plc correlation with market (DOW)
β = 0.7976
Glanbia plc Small BetaGlanbia plc Beta Legend

Glanbia plc Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Glanbia plc 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.

Glanbia plc Projected Return Density Against Market

Assuming 30 trading days horizon, Glanbia plc has beta of 0.7976 . This indicates as returns on market go up, Glanbia plc average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Glanbia plc will be expected to be much smaller as well. Moreover, Glanbia plc has an alpha of 0.1941 implying that it can potentially generate 0.1941% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Glanbia plc is 3762.7. The daily returns are destributed with a variance of 2.79 and standard deviation of 1.67. The mean deviation of Glanbia plc is currently at 1.27. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.19
β
Beta against DOW=0.80
σ
Overall volatility
=1.67
Ir
Information ratio =0.14

Glanbia plc Return Volatility

Glanbia plc assumes 1.6703% volatility of returns over the 30 days investment horizon. DOW inherits 1.0404% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Glanbia plc Volatility Factors

30 Days Market Risk

Not very risky

Chance of Distress in 24 months

High

30 Days Economic Sensitivity

Follows market closely

Investment Outlook

Glanbia plc Investment Opportunity

Glanbia plc has a volatility of 1.67 and is 1.61 times more volatile than DOW. 15% of all equities and portfolios are less risky than Glanbia plc. Compared to the overall equity markets, volatility of historical daily returns of Glanbia plc is lower than 15 (%) of all global equities and portfolios over the last 30 days. Use Glanbia plc to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of Glanbia plc to be traded at €17.6 in 30 days. As returns on market increase, Glanbia plc returns are expected to increase less than the market. However during bear market, the loss on holding Glanbia plc will be expected to be smaller as well.

Glanbia plc correlation with market

Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Glanbia plc and equity matching DJI index in the same portfolio.

Glanbia plc Volatility Indicators

Glanbia plc Current Risk Indicators

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