Papa Johns Risk Analysis And Volatility Evaluation

PZZA -- USA Stock  

USD 46.71  0.48  1.04%

Macroaxis considers Papa Johns not too risky given 1 month investment horizon. Papa Johns Internati maintains Sharpe Ratio (i.e. Efficiency) of 0.2647 which implies Papa Johns Internati had 0.2647% of return per unit of risk over the last 1 month. Our philosophy towards forecasting 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 technical indicators for Papa Johns Internati which you can use to evaluate future volatility of the company. Please employ Papa Johns Internati Standard Deviation of 1.43, Downside Deviation of 0.7381 and Risk Adjusted Performance of 0.1239 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Papa Johns Market Sensitivity

Papa Johns returns are very sensitive to returns on the market. As market goes up or down, Papa Johns is expected to follow.
One Month Beta |Analyze Papa Johns Internati Demand Trend
Check current 30 days Papa Johns correlation with market (DOW)
β = 1.1129
Papa Johns llmost one BetaPapa Johns Internati Beta Legend

Papa Johns Internati Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Papa Johns Internati 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.

Papa Johns Projected Return Density Against Market

Given the investment horizon of 30 days, the stock has beta coefficient of 1.1129 . This implies Papa Johns International market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Papa Johns is expected to follow. Moreover, Papa Johns International has an alpha of 0.1732 implying that it can potentially generate 0.1732% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Papa Johns is 377.85. The daily returns are destributed with a variance of 2.13 and standard deviation of 1.46. The mean deviation of Papa Johns International is currently at 1.04. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.17
β
Beta against DOW=1.11
σ
Overall volatility
=1.46
Ir
Information ratio =0.13

Papa Johns Return Volatility

Papa Johns International inherits 1.461% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.4487% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Papa Johns Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Almost mirrors market

Investment Outlook

Papa Johns Investment Opportunity

Papa Johns International has a volatility of 1.46 and is 3.24 times more volatile than DOW. 13% of all equities and portfolios are less risky than Papa Johns. Compared to the overall equity markets, volatility of historical daily returns of Papa Johns International is lower than 13 (%) of all global equities and portfolios over the last 30 days. Use Papa Johns International to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Papa Johns to be traded at $51.38 in 30 days. Papa Johns returns are very sensitive to returns on the market. As market goes up or down, Papa Johns is expected to follow.

Papa Johns correlation with market

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Papa Johns International Inc and equity matching DJI index in the same portfolio.

Papa Johns Volatility Indicators

Papa Johns International Current Risk Indicators

Additionally take a look at Your Equity Center. Please also try Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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