Procter Stock Volatility

PG -  USA Stock  

USD 147.12  1.90  1.27%

We consider Procter Gamble very steady. Procter Gamble maintains Sharpe Ratio (i.e., Efficiency) of 0.0671, which implies the firm had 0.0671% of return per unit of risk over the last 3 months. Our standpoint towards forecasting the 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-six technical indicators for Procter Gamble, which you can use to evaluate the future volatility of the company. Please check Procter Gamble Semi Deviation of 0.588, risk adjusted performance of 0.0857, and Coefficient Of Variation of 864.58 to confirm if the risk estimate we provide is consistent with the expected return of 0.0482%.

Procter Volatility 

 
Refresh
Procter Gamble Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Procter daily returns, and it is calculated using variance and standard deviation. We also use Procter's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Procter Gamble volatility.

720 Days Market Risk

Very steady

Chance of Distress

720 Days Economic Sensitivity

Slowly supersedes the market
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Procter Gamble can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Procter Gamble at lower prices. For example, an investor can purchase Procter stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Procter Gamble's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

Procter Gamble Market Sensitivity And Downside Risk

Procter Gamble's beta coefficient measures the volatility of Procter stock compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Procter stock's returns against your selected market. In other words, Procter Gamble's beta of 0.42 provides an investor with an approximation of how much risk Procter Gamble stock can potentially add to one of your existing portfolios.
Let's try to break down what Procter's beta means in this case. As returns on the market increase, Procter Gamble returns are expected to increase less than the market. However, during the bear market, the loss on holding Procter Gamble will be expected to be smaller as well.
3 Months Beta |Analyze Procter Gamble Demand Trend
Check current 90 days Procter Gamble correlation with market (DOW)

Procter Beta

    
  0.42  
Procter standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  0.72  
It is essential to understand the difference between upside risk (as represented by Procter Gamble's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Procter Gamble stock's daily returns or price. Since the actual investment returns on holding a position in Procter Gamble stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Procter Gamble.

Procter Gamble Implied Volatility

    
  23.15  
Procter Gamble's implied volatility exposes the market's sentiment of Procter Gamble stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Procter Gamble's implied volatility is high, the market thinks the stock has potential for high price swings in either direction. On the other hand, the low implied volatility suggests that Procter Gamble stock will not fluctuate a lot when Procter Gamble's options are near their expiration.

Procter Gamble Stock Volatility Analysis

Volatility refers to the frequency at which Procter Gamble stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Procter Gamble's price changes. Investors will then calculate the volatility of Procter Gamble's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Procter Gamble's volatility:

Historical Volatility

This type of stock volatility measures Procter Gamble's fluctuations based on previous trends. It's commonly used to predict Procter Gamble's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for Procter Gamble's current market price. This means that the stock will return to its initially predicted market price.
Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of Procter Gamble high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Procter Gamble closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

Procter Gamble Projected Return Density Against Market

Allowing for the 90-day total investment horizon Procter Gamble has a beta of 0.4245 indicating as returns on the market go up, Procter Gamble average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Procter Gamble will be expected to be much smaller as well.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Procter Gamble or Consumer Defensive sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Procter Gamble stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Procter stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has an alpha of 0.0749, implying that it can generate a 0.0749 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Procter Gamble's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Procter Gamble stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Company's Stock Price Volatility?

Several factors can influence a company's stock volatility:

Industry

Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.

Political and Economic environment

When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.

The Company's Performance

Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.

Procter Gamble Stock Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Procter Gamble or Consumer Defensive sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Procter Gamble stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Procter stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Allowing for the 90-day total investment horizon the coefficient of variation of Procter Gamble is 1489.99. The daily returns are distributed with a variance of 0.52 and standard deviation of 0.72. The mean deviation of Procter Gamble is currently at 0.57. For similar time horizon, the selected benchmark (DOW) has volatility of 0.75
α
Alpha over DOW
0.07
β
Beta against DOW0.42
σ
Overall volatility
0.72
Ir
Information ratio 0.12

Procter Gamble Stock Return Volatility

Procter Gamble historical daily return volatility represents how much Procter Gamble stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The firm accepts 0.7181% volatility on return distribution over the 90 days horizon. By contrast, DOW inherits 0.7681% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Procter Gamble Volatility

Volatility is a rate at which the price of Procter Gamble or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Procter Gamble may increase or decrease. In other words, similar to Procter's beta indicator, it measures the risk of Procter Gamble and helps estimate the fluctuations that may happen in a short period of time. So if prices of Procter Gamble fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
Last ReportedProjected for 2021
Market Capitalization316.3 B283.4 B
The Procter Gamble Company provides branded consumer packaged goods to consumers in North and Latin America, Europe, the Asia Pacific, Greater China, India, the Middle East, and Africa. The Procter Gamble Company was founded in 1837 and is headquartered in Cincinnati, Ohio. Procter Gamble operates under Household Personal Products classification in the United States and is traded on New York Stock Exchange. It employs 101000 people.

Nearest Procter long CALL Option Payoff at Expiration

Procter Gamble's implied volatility is one of the determining factors in the pricing options written on Procter Gamble. Implied volatility approximates the future value of Procter Gambleusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Procter Gamble over a specific time period.
View All Procter options
2021-12-03 CALL at $100.0 is a CALL option contract on Procter Gamble's common stock with a strick price of 100.0 expiring on 2021-12-03. The contract was not traded in recent days and, as of today, has 3 days remaining before the expiration. The option is currently trading at a bid price of $47.25, and an ask price of $51.3. The implied volatility as of the 30th of November is 200.0925.
 Profit 
Share
      Procter Gamble Price At Expiration 

Procter Gamble Investment Opportunity

DOW has a standard deviation of returns of 0.77 and is 1.07 times more volatile than Procter Gamble. of all equities and portfolios are less risky than Procter Gamble. Compared to the overall equity markets, volatility of historical daily returns of Procter Gamble is lower than 6 () of all global equities and portfolios over the last 90 days. Use Procter Gamble to protect your portfolios against small market fluctuations. The stock experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Procter Gamble to be traded at $142.71 in 90 days. . Let's try to break down what Procter's beta means in this case. As returns on the market increase, Procter Gamble returns are expected to increase less than the market. However, during the bear market, the loss on holding Procter Gamble will be expected to be smaller as well.

Very weak diversification

The correlation between Procter Gamble and DJI is Very weak diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Procter Gamble and DJI in the same portfolio assuming nothing else is changed.

Procter Gamble Additional Risk Indicators

The analysis of Procter Gamble's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Procter Gamble's investment and either accepting that risk or mitigating it. Along with some common measures of Procter Gamble stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Risk Adjusted Performance0.0857
Market Risk Adjusted Performance0.1759
Mean Deviation0.5528
Semi Deviation0.588
Downside Deviation0.7125
Coefficient Of Variation864.58
Standard Deviation0.6955
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Procter Gamble Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
BriaCell Therapeutics vs. Procter Gamble
SysCoin vs. Procter Gamble
Smart Bitcoin vs. Procter Gamble
Microsoft Corp vs. Procter Gamble
Plug Power vs. Procter Gamble
Arcbest Corp vs. Procter Gamble
Bitcoin SV vs. Procter Gamble
Bitcoin vs. Procter Gamble
Enovix Corp vs. Procter Gamble
GM vs. Procter Gamble
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Procter Gamble as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Procter Gamble's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Procter Gamble's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Procter Gamble.
Please check Your Equity Center. Note that the Procter Gamble information on this page should be used as a complementary analysis to other Procter Gamble's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.

Complementary Tools for Procter Stock analysis

When running Procter Gamble price analysis, check to measure Procter Gamble's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Procter Gamble is operating at the current time. Most of Procter Gamble's value examination focuses on studying past and present price action to predict the probability of Procter Gamble's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Procter Gamble's price. Additionally, you may evaluate how the addition of Procter Gamble to your portfolios can decrease your overall portfolio volatility.
Transaction History
View history of all your transactions and understand their impact on performance
Go
Pair Correlation
Compare performance and examine fundamental relationship between any two equity instruments
Go
Money Flow Index
Determine momentum by analyzing Money Flow Index and other technical indicators
Go
Portfolio File Import
Quickly import all of your third-party portfolios from your local drive in csv format
Go
Positions Ratings
Determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance
Go
Pattern Recognition
Use different Pattern Recognition models to time the market across multiple global exchanges
Go
Analyst Recommendations
Analyst recommendations and target price estimates broken down by several categories
Go
Is Procter Gamble's industry expected to grow? Or is there an opportunity to expand the business' product line in the future? Factors like these will boost the valuation of Procter Gamble. If investors know Procter will grow in the future, the company's valuation will be higher. The financial industry is built on trying to define current growth potential and future valuation accurately. All the valuation information about Procter Gamble listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.
The market value of Procter Gamble is measured differently than its book value, which is the value of Procter that is recorded on the company's balance sheet. Investors also form their own opinion of Procter Gamble's value that differs from its market value or its book value, called intrinsic value, which is Procter Gamble's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Procter Gamble's market value can be influenced by many factors that don't directly affect Procter Gamble's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Procter Gamble's value and its price as these two are different measures arrived at by different means. Investors typically determine Procter Gamble value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Procter Gamble's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.