Public Service Risk Analysis

Macroaxis considers Public Service to be not too volatile. Public Service Enter maintains Sharpe Ratio (i.e. Efficiency) of -0.0080 which implies Public Service Enter had -0.0080% of return per unit of risk over the last 1 month. Macroaxis philosophy towards 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. Public Service Enter exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Public Service Enter Coefficient Of Variation of 1810.76, Semi Deviation of 1.7 and Risk Adjusted Performance of 0.0384 to confirm risk estimate we provide.
Investment Horizon     30 Days    Login   to change

Public Service Market Sensitivity

As returns on market increase, returns on owning Public Service are expected to decrease at a much smaller rate. During bear market, Public Service is likely to outperform the market.
One Month Beta |Analyze Public Service Enter Demand Trend
Check current 30 days Public Service correlation with market (NYSE)
β = -0.4365
Public Service Almost negative betaPublic Service Enter Beta Legend

Projected Return Density Against Market

Considering 30-days investment horizon, Public Service Enterprise Group Inc has beta of -0.4365 . This implies as returns on benchmark increase, returns on holding Public Service are expected to decrease at a much smaller rate. During bear market, however, Public Service Enterprise Group Inc is likely to outperform the market. Moreover, Public Service Enterprise Group Inc has an alpha of 0.1814 implying that it can potentially generate 0.1814% excess return over NYSE after adjusting for the inherited market risk (beta).
 Predicted Return Density 
Benchmark  Embed   Returns 
Considering 30-days investment horizon, the coefficient of variation of Public Service is -12449.34. The daily returns are destributed with a variance of 3.2 and standard deviation of 1.79. The mean deviation of Public Service Enterprise Group Inc is currently at 1.34. For similar time horizon, the selected benchmark (NYSE) has volatility of 0.57
α
Alpha over NYSE
= 0.18 
βBeta against NYSE=(0.44)
σ
Overall volatility
= 1.79 
 IrInformation ratio =(0.06)

Actual Return Volatility

Public Service Enterprise Group Inc has volatility of 1.7897% on return distribution over 30 days investment horizon. NYSE inherits 0.4268% risk (volatility on return distribution) over the 30 days horizon.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Close to average

30 Days Economic Sensitivity

Almost neglects market
Total Debt
Public Service Enter Total Debt History
Largest Trends
Public Service Largest Period Trend
Investment Outlook
Public Service Investment Opportunity
Public Service Enterprise Group Inc has a volatility of 1.79 and is 4.16 times more volatile than NYSE. 17% of all equities and portfolios are less risky than Public Service. Compared to the overall equity markets, volatility of historical daily returns of Public Service Enterprise Group Inc is lower than 17 (%) of all global equities and portfolios over the last 30 days. Use Public Service Enterprise Group Inc to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Public Service to be traded at 41.2 in 30 days. As returns on market increase, returns on owning Public Service are expected to decrease at a much smaller rate. During bear market, Public Service is likely to outperform the market.

Public Service correlation with market

Good diversification
Overlapping area represents amount of risk that can be diversified away by holding Public Service Enterprise Grou and equity matching NYA index in the same portfolio