Glanbia plc (Ireland) Risk Analysis And Volatility Evaluation

GL9 -- Ireland Stock  

EUR 16.51  0.09  0.54%

Macroaxis considers Glanbia plc not very risky given 2 months investment horizon. Glanbia plc holds Efficiency (Sharpe) Ratio of 0.1721 which attests that Glanbia plc had 0.1721% of return per unit of standard deviation over the last 2 months. 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 utilize Glanbia plc Market Risk Adjusted Performance of (60.41) and Risk Adjusted Performance of 0.2358 to validate if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Glanbia plc Market Sensitivity

As returns on market increase, returns on owning Glanbia plc are expected to decrease at a much smaller rate. During bear market, Glanbia plc is likely to outperform the market.
2 Months Beta |Analyze Glanbia plc Demand Trend
Check current 30 days Glanbia plc correlation with market (DOW)
β = -0.0059

Glanbia plc Central Daily Price Deviation

Glanbia plc Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. 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 avgprice price transform indicator.

Glanbia plc Projected Return Density Against Market

Assuming 30 trading days horizon, Glanbia plc has beta of -0.0059 . This indicates as returns on benchmark increase, returns on holding Glanbia plc are expected to decrease at a much smaller rate. During bear market, however, Glanbia plc is likely to outperform the market. Moreover, Glanbia plc has an alpha of 0.3558 implying that it can potentially generate 0.3558% 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 580.97. The daily returns are destributed with a variance of 4.05 and standard deviation of 2.01. The mean deviation of Glanbia plc is currently at 1.39. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.36
β
Beta against DOW=0.0059
σ
Overall volatility
=2.01
Ir
Information ratio =0.23

Glanbia plc Return Volatility

Glanbia plc assumes 2.0118% volatility of returns over the 30 days investment horizon. DOW inherits 1.2765% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Glanbia plc Volatility Factors

60 Days Market Risk

Not very risky

Chance of Distress in 24 months

Quite high

60 Days Economic Sensitivity

Moves indifferently to market move

Investment Outlook

Glanbia plc Investment Opportunity

Glanbia plc has a volatility of 2.01 and is 1.57 times more volatile than DOW. 18% 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 18 (%) of all global equities and portfolios over the last 30 days.

Glanbia plc Volatility Indicators

Glanbia plc Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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