Papa Johns Risk Analysis And Volatility Evaluation

PZZA -- USA Stock  

USD 44.00  0.34  0.77%

Macroaxis considers Papa Johns to be not too volatile. Papa Johns Internati maintains Sharpe Ratio (i.e. Efficiency) of -0.1306 which implies Papa Johns Internati had -0.1306% of return per unit of risk over the last 2 months. 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. Papa Johns Internati exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Papa Johns Internati Coefficient Of Variation of (1,482) and Risk Adjusted Performance of (0.09) to confirm risk estimate we provide.
Interest Expense
Horizon     30 Days    Login   to change

Papa Johns Market Sensitivity

As returns on market increase, Papa Johns returns are expected to increase less than the market. However during bear market, the loss on holding Papa Johns will be expected to be smaller as well.
2 Months Beta |Analyze Papa Johns Internati Demand Trend
Check current 30 days Papa Johns correlation with market (DOW)
β = 0.0637

Papa Johns Central Daily Price Deviation

Papa Johns Internati Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. 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, Papa Johns has beta of 0.0637 . This implies as returns on market go up, Papa Johns average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Papa Johns International will be expected to be much smaller as well. Additionally, Papa Johns International 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 -765.47. The daily returns are destributed with a variance of 8.25 and standard deviation of 2.87. The mean deviation of Papa Johns International is currently at 1.74. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.2
β
Beta against DOW=0.06
σ
Overall volatility
=2.87
Ir
Information ratio =0.01

Papa Johns Return Volatility

Papa Johns International inherits 2.8719% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.2898% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Papa Johns Volatility Factors

60 Days Market Risk

Not too volatile

Chance of Distress in 24 months

60 Days Economic Sensitivity

Barely shadows market

Investment Outlook

Papa Johns Investment Opportunity

Papa Johns International has a volatility of 2.87 and is 2.22 times more volatile than DOW. 25% 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 25 (%) of all global equities and portfolios over the last 30 days. Use Papa Johns International to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Papa Johns to be traded at $43.12 in 30 days. As returns on market increase, Papa Johns returns are expected to increase less than the market. However during bear market, the loss on holding Papa Johns will be expected to be smaller as well.

Papa Johns correlation with market

correlation synergy
Significant 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 Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.
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