Papa Johns Risk Analysis

Papa Johns International Inc -- USA Stock  

USD 61.04  1.13  1.89%

Macroaxis considers Papa Johns not too risky given 1 month investment horizon. Papa Johns Internati maintains Sharpe Ratio (i.e. Efficiency) of 0.1768 which implies Papa Johns Internati had 0.1768% 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 company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Papa Johns Internati which you can use to evaluate future volatility of the company. Please employ Papa Johns Internati Coefficient Of Variation of 656.13, Semi Deviation of 1.43 and Risk Adjusted Performance of 0.0669 to confirm if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Papa Johns Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Papa Johns will likely underperform.
One Month Beta |Analyze Papa Johns Internati Demand Trend
Check current 30 days Papa Johns correlation with market (DOW)
β = 1.9733
Papa Johns Large 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.

Projected Return Density Against Market

Given the investment horizon of 30 days, the stock has beta coefficient of 1.9733 . This implies as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Papa Johns will likely underperform. Additionally, Papa Johns International Inc 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 
Given the investment horizon of 30 days, the coefficient of variation of Papa Johns is 565.5. The daily returns are destributed with a variance of 3.08 and standard deviation of 1.75. The mean deviation of Papa Johns International Inc is currently at 1.29. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.2
β
Beta against DOW=1.97
σ
Overall volatility
=1.75
Ir
Information ratio =0.0141

Actual Return Volatility

Papa Johns International Inc inherits 1.7546% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.3852% 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

Very susceptible to market

Total Debt

Papa Johns Internati Total Debt History

Total Debt

Largest Trends

Papa Johns Largest Period Trend

Investment Outlook

Papa Johns Investment Opportunity
Papa Johns International Inc has a volatility of 1.75 and is 4.49 times more volatile than DOW. 16% 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 Inc is lower than 16 (%) of all global equities and portfolios over the last 30 days. Use Papa Johns International Inc to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Papa Johns to be traded at $67.14 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Papa Johns will likely underperform.

Papa Johns correlation with market

Very 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.