Price / Earnings to Growth (Risk Adjusted), Rolling

What is the definition of PEGR Rolling?

The PEGR is the PEG ratio adjusted for risk. It is calculated as the Rolling PEG Ratio multiplied by the Beta of the share price.


Stockopedia explains PEGR Rolling...

Portfolios of low PEGR stocks have been shown to outperform both low PE and low PEG portfolios. If you can buy stocks on a low PEG that also have a low share price risk (low beta) then you may be able to build a winning portfolio.

A paper by Javier Estrada accused the PEG itself of being one dimensional due to the fact that it takes no account of the riskiness of a company’s share price. By adjusting the PEG by the share’s beta ( derived from the volatility of the share price) analysts can find a far more effective version of the PEG we like to call the PEGR which is calculated as {PE/G}xß . If you imagine company A being on a PE Ratio of 20 and PEG of 0.5 versus company B on a PE Ratio of 10 and PEG of 0.5. If company B was half as volatile as A, would it be a more attactive investment? The maths would suggest that in general yes. Estrada's study shows that low PEGR portfolios outperform both low PE and low PEG portfolios on a risk adjusted basis, suggesting that it may well be the true king of the value factors.

You can read more about the PEGR here.

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