Compass Group (UK) Volatility
| CPG Stock | 2,267 -24.00 -1.05% |
Compass Group PLC shows a minimal volatility profile over the current evaluation window. Compass Group PLC registers a Sharpe Ratio (Efficiency) of -0.044, reflecting negative risk-adjusted performance over the last 3 months. We reviewed 23 technical indicators influencing the latest risk profile.
Sharpe Ratio = -0.044
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Estimated Market Risk
| 1.48 actual daily | 13 87% of assets are more volatile |
Expected Return
| -0.07 actual daily | 0 Most of other assets have higher returns |
Risk-Adjusted Return
| -0.04 actual daily | 0 Most of other assets perform better |
Compass Group PLC posted a Market Risk Adjusted Performance of 0.2%, a Risk of 1.48, and a Total Risk Alpha of 0.05 for the reported period. Based on recent moving average trends, Compass Group has not achieved its theoretical performance maximum. Pairing it with a well-diversified portfolio structure may improve overall efficiency.
Key indicators related to Compass Group's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
The volatility profile of Compass Group determines how much Compass Group's price can move in either direction over a given time frame. Investors use volatility estimates to size positions, set stop-loss levels, and price the cost of hedging Compass Group exposure.
Compass |
Volatility Strategy
Volatility in Compass Group PLC reflects changing market conditions that influence diversification outcomes. Current statistical measures show total volatility near 1.48% with a beta coefficient of -0.15, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.044, evaluates return per unit of total risk. An alpha value of -0.0305 reflects performance relative to systematic market exposure. Expected return estimates near -0.0652% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Balance-sheet changes can affect risk perception.
Main indicators related to Compass Group's market risk premium analysis include:
Beta -0.15 | Alpha -0.03 | Risk 1.48 | Sharpe Ratio -0.04 | Expected Return -0.07 |
Moving against Compass Stock
| 0.75 | AAL | Anglo American PLC | PairCorr |
| 0.73 | 0YAA | Nova | PairCorr |
| 0.71 | GYM | GYM Group | PairCorr |
| 0.7 | EDEN | Eden Research plc | PairCorr |
| 0.66 | TEM | Templeton Emerging | PairCorr |
| 0.64 | 0R24 | Intel Corp | PairCorr |
| 0.63 | TYT | Toyota Motor Corp | PairCorr |
| 0.63 | 0K34 | Monster Beverage Corp | PairCorr |
| 0.62 | 0HTG | Cardinal Health | PairCorr |
| 0.62 | HSD | Hansard Global Plc | PairCorr |
Sensitivity To Market
The beta coefficient of -0.15 for Compass Group PLC measures how its returns respond to broader market changes. In regression terms, beta captures the slope between asset returns and index returns. Historical volatility is currently near 1.48%.Compass Group PLC return patterns over the selected horizon reflect a minimal level of variability, based on dispersion and downside-focused statistics. Sector rotation can change stock volatility even without company-specific events.
3 Months Beta |Analyze Compass Group PLC Demand TrendCheck current 90 days Compass Group correlation with market (Dow Jones Industrial)Downside Risk
Compass standard deviation quantifies the typical daily price movement relative to its average over your selected period. Volatile instruments show high standard deviation; stable instruments show low.
Standard Deviation | 1.48 |
The difference between upside risk and downside risk is meaningful for Compass Group investors. Upside risk is measured by Compass Group's standard deviation, while downside risk is captured by semi-deviation or downside deviation of Compass Group's daily returns. Compass Group PLC posted a Maximum Drawdown of 6.53 for the reported period.
Stock Volatility Analysis
When measuring the risk of Compass Group stock, volatility is a critical metric. It indicates how dramatically Compass Group's price swings over a specific time horizon. A stock with high volatility can produce outsized gains or losses compared to a low-volatility alternative.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. Compass Group PLC 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.
Projected Return Density Against Market
Assuming the 90-day trading horizon Compass Group PLC has a beta of -0.149 suggesting that as returns on the benchmark increase, returns on Compass Group tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, Compass Group PLC is likely to outperform the market.Compass Group carries exposure to broad market movements as well as company or sector-specific developments. While portfolio diversification can reduce asset-level risk, systematic volatility cannot be avoided. Standard deviation and beta quantify this exposure. Compass Group PLC posted a Mean Deviation of 1.15 and a Standard Deviation of 1.46 for the reported period.
Predicted Return Density |
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What Drives Compass Group's Price Volatility?
Several factors can influence Compass Group's market volatility:Industry Dynamics
Sector-level events can directly affect Compass Group's price stability. Regulatory changes, supply disruptions, or shifts in demand within Compass Group's industry may create volatility even when the broader market is calm. Competitive dynamics and industry consolidation can also amplify price swings for companies like Compass Group.Political and Economic Environment
Macroeconomic conditions and policy decisions shape the backdrop for Compass Group's price movements. Interest rate changes, trade policy shifts, and fiscal legislation can all alter investor sentiment toward Compass Group. During periods of economic expansion, Compass Group's price tends to benefit from broader market optimism, while downturns can amplify selling pressure.Compass Group's Company-Specific Factors
Volatility can also stem from events unique to Compass Group. Earnings surprises, management changes, product launches, or legal developments may trigger sharp price reactions in Compass Group's stock. Conversely, operational setbacks, guidance revisions, or data breaches can weigh on Compass Group's share price.Stock Risk Measures
Assuming the 90-day trading horizon the coefficient of variation of Compass Group is -2270.2. The daily returns are distributed with a variance of 2.19 and standard deviation of 1.48. The mean deviation of Compass Group PLC is currently at 1.16. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.79
α | Alpha over Dow Jones | -0.0305 | |
β | Beta against Dow Jones | -0.149 | |
σ | Overall volatility | 1.48 | |
Ir | Information ratio | 0.01 |
Stock Return Volatility
Volatility for Compass Group quantifies the day-to-day dispersion of stock returns around their historical average. The firm carries 1.4792% return volatility across the 90-day horizon. As a benchmark, Dow Jones Industrial has volatility of 0.8012% on return distribution over a 90-day investment horizon. Performance |
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Related Correlations Analysis
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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Risk-Adjusted Indicators
Compass Group Company may look attractive on headline returns alone, but deeper analysis often tells a different story. A thorough review of Compass Group's risk-adjusted indicators provides a clearer picture of whether returns are being earned efficiently. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| RSG | 2.58 | 0.54 | 0.16 | 0.78 | 3.09 | 6.74 | 18.90 | |||
| EMAN | 0.75 | -0.13 | 0.00 | -0.66 | 0.00 | 1.89 | 11.25 | |||
| 0NE1 | 1.43 | -0.26 | 0.00 | -0.63 | 0.00 | 2.72 | 14.98 | |||
| HOC | 2.97 | 0.63 | 0.17 | 0.58 | 3.36 | 6.64 | 22.28 | |||
| CAU | 0.44 | -0.08 | 0.00 | 5.52 | 0.00 | 1.15 | 4.41 | |||
| 0A2Z | 2.31 | -0.58 | 0.00 | -1.50 | 0.00 | 4.18 | 16.17 | |||
| 0HGR | 1.55 | 0.01 | 0.02 | -0.06 | 2.33 | 3.38 | 12.15 | |||
| EDV | 2.51 | 0.46 | 0.15 | 0.91 | 2.97 | 4.38 | 12.63 |
Risk Metrics, Assumptions & Methodology
Volatility for Compass Group measures return dispersion and uncertainty over time. Standard deviation provides a baseline measure of variability magnitude. Compass Group has a market cap of 38.55 B, ROE of 25.64%.
This section for Compass Group PLC is built from periodic company reporting and market reference feeds, with harmonization applied to align reporting definitions. Values may update on different source schedules. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Raphi Shpitalnik - Junior Member of Macroaxis Editorial BoardCompass Group Investment Opportunity
Measured over the selected horizon, Compass Group PLC carries roughly 1.85 times the return volatility of Dow Jones Industrial. The higher-risk profile should usually be reviewed beside Sharpe Ratio, downside risk, and catalyst strength before the position is sized up.You can use Compass Group PLC to protect your portfolios against small market fluctuations. This directional read frames the latest price swing through a simple momentum and follow-through lens. It works best as a directional cue rather than as a standalone forecast. a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Compass Group to be traded at 2198.99 in 90 days.Excellent diversification
CPG currently posts a -0.56 correlation with DJI, indicating a Excellent diversification relationship for the active sample. Used correctly, the chart helps investors judge whether adding the second position genuinely diversifies the first.
Compass Group Additional Risk Indicators
A broader risk-indicator set for Compass Group PLC can improve buy, hold, hedge, and sell decisions by adding context beyond the most common measures. A disciplined risk review helps investors decide whether exposure should be maintained, reduced, or offset elsewhere in the portfolio.
| Risk Adjusted Performance | -0.0032 | |||
| Market Risk Adjusted Performance | 0.1738 | |||
| Mean Deviation | 1.15 | |||
| Coefficient Of Variation | -10,106 | |||
| Standard Deviation | 1.46 | |||
| Variance | 2.12 | |||
| Information Ratio | 0.0113 |
Compass Group Suggested Diversification Pairs
Pair analysis around Compass Group PLC matters because it can turn one security idea into a more market-neutral structure. This framework is most useful when investors want to hedge directional moves caused by sector headlines or broad market pressure.
Risk reduction through pair trading is real but has limits - not every type of exposure can be offset by a second leg. Compass Group's exposure to overall market risk stays intact regardless of pairing. The value of a second leg lies in reducing Compass Group's idiosyncratic risk - the part that comes from company-level events rather than macro conditions.
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