PERSIMMON PLC (Germany) Risk Analysis And Volatility Evaluation

OHP -- Germany Stock  

EUR 25.08  0.13  0.52%

Macroaxis considers PERSIMMON PLC to be not too volatile. PERSIMMON PLC LS maintains Sharpe Ratio (i.e. Efficiency) of -0.2258 which implies PERSIMMON PLC LS had -0.2258% of return per unit of standard deviation over the last 1 month. 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 10.13 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.
One Month Beta |Analyze PERSIMMON PLC LS Demand Trend
Check current 30 days PERSIMMON PLC correlation with market (DOW)
β = 0.0226
PERSIMMON PLC Small BetaPERSIMMON PLC LS Beta Legend

PERSIMMON PLC LS Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. PERSIMMON PLC LS 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.

PERSIMMON PLC Projected Return Density Against Market

Assuming 30 trading days horizon, PERSIMMON PLC has beta of 0.0226 . 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 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of PERSIMMON PLC is -442.82. The daily returns are destributed with a variance of 2.51 and standard deviation of 1.58. The mean deviation of PERSIMMON PLC LS 10 is currently at 1.21. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.23
β
Beta against DOW=0.0226
σ
Overall volatility
=1.58
Ir
Information ratio =0.03

PERSIMMON PLC Return Volatility

PERSIMMON PLC LS 10 assumes 1.5832% volatility of returns over the 30 days investment horizon. DOW inherits 1.0609% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

PERSIMMON PLC Investment Opportunity

PERSIMMON PLC LS 10 has a volatility of 1.58 and is 1.49 times more volatile than DOW. 14% 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 14 (%) 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 moderate upward volatility. Check odds of PERSIMMON PLC to be traded at €27.59 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

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding PERSIMMON PLC LS 10 and equity matching DJI index in the same portfolio.

PERSIMMON PLC Volatility Indicators

PERSIMMON PLC LS 10 Current Risk Indicators

Additionally take a look at Your Equity Center. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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