Macroaxis considers PERSIMMON PLC to be not very risky. PERSIMMON PLC LS maintains Sharpe Ratio (i.e. Efficiency) of -0.1072 which implies PERSIMMON PLC LS had -0.1072% of return per unit of standard deviation over the last 2 months. Macroaxis approach into 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. PERSIMMON PLC LS exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check PERSIMMON PLC LS Market Risk Adjusted Performance of
(1.04) and Risk Adjusted Performance of (0.14) to confirm risk estimate we provide.
|Horizon||30 Days Login to change|
PERSIMMON PLC Market Sensitivity
|As returns on market increase, PERSIMMON PLC returns are expected to increase less than the market. However during bear market, the loss on holding PERSIMMON PLC will be expected to be smaller as well.2 Months Beta |Analyze PERSIMMON PLC LS Demand TrendCheck current 30 days PERSIMMON PLC correlation with market (DOW)|
β = 0.319
PERSIMMON PLC Central Daily Price Deviation
PERSIMMON PLC LS Technical Analysis
PERSIMMON PLC Projected Return Density Against MarketAssuming 30 trading days horizon, PERSIMMON PLC has beta of 0.319 . This implies as returns on market go up, PERSIMMON PLC average returns are expected to increase less than the benchmark. However during bear market, the loss on holding PERSIMMON PLC LS 10 will be expected to be much smaller as well. Additionally, PERSIMMON PLC LS 10 has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
Predicted Return Density
Assuming 30 trading days horizon, the coefficient of variation of PERSIMMON PLC is -932.99. The daily returns are destributed with a variance of 8.69 and standard deviation of 2.95. The mean deviation of PERSIMMON PLC LS 10 is currently at 2.02. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
|Alpha over DOW||=||0.3|
|Beta against DOW||=||0.32|
PERSIMMON PLC Return VolatilityPERSIMMON PLC LS 10 assumes 2.9472% volatility of returns over the 30 days investment horizon. DOW inherits 1.2919% risk (volatility on return distribution) over the 30 days horizon.
Use Bollinger Bands indicator to analyze target price for a given investing horizon
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PERSIMMON PLC LS 10 has a volatility of 2.95 and is 2.29 times more volatile than DOW. 26% of all equities and portfolios are less risky than PERSIMMON PLC. Compared to the overall equity markets, volatility of historical daily returns of PERSIMMON PLC LS 10 is lower than 26 (%) of all global equities and portfolios over the last 30 days. Use PERSIMMON PLC LS 10 to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of PERSIMMON PLC to be traded at 26.44 in 30 days. As returns on market increase, PERSIMMON PLC returns are expected to increase less than the market. However during bear market, the loss on holding PERSIMMON PLC will be expected to be smaller as well.
PERSIMMON PLC correlation with market
Additionally take a look at Your Equity Center. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.