By Anton Ladnyi, CFA · ex-Goldman Sachs · ex-J.P. MorganPublished Updated
RYCEY — H1 2026 results (July 30): operating profit £2.5B, up 46% YoY, with group operating margin expanding to 22.5% from 19.1% — H1 OP alone is already well over half the £4.0-4.2B full-year guide, making the FY2026 target look conservative.
Quantitative model rating — not individualized investment advice.
How Is This Rating Calculated?
A.L. Capital Advisory Equity Composite model · calculated 2026-08-08. Four calculation steps, in order — steps 1, 2 and 4 are rules-based; step 3 is a disclosed qualitative analyst overlay mapped to a fixed numerical scale:
1. Margin of safety → quantitative grade
RYCEY's margin of safety is -42.67% (base case $14 vs. price $20.62). Margin of safety here is defined as (fair value − price) / fair value — this is the formula the quant grade below is actually assigned from. It is not the same figure as the gauge's "Upside to Base" pill above, which uses (fair value − price) / price and will read a larger number for the same inputs. For comparison, the pure (unblended) DCF output alone implies a margin of safety of -134.58% (pure DCF base $9 vs. price $20.62) — the gap between this and the -42.67% blended figure above reflects the analyst-consensus blend.
Rules are cumulative (multiple can fire on the same ticker) and purely mechanical — no analyst judgment is involved in step 2.
3. Thesis conviction modifier
Analyst conviction: very high · modifier: +1.00. This is a qualitative analyst judgment on the written thesis, mapped to a fixed numeric modifier below — it is not algorithmically derived from a measurable indicator.
Analyst-conviction modifier scale
Conviction level
Modifier
Very High
+1.00
High
+0.60
Medium
+0.00
Low
-0.60
Very Low
-1.00
General guidance for the assigning analyst (not an algorithmic rule — conviction is assigned by editorial judgment on the written thesis, not computed): Very High/High — multiple thesis pillars confirmed by the most recent reported quarter, no unresolved red flags. Medium — mixed evidence, or a thesis not yet differentiated enough to lean either direction. Low/Very Low — one or more thesis pillars deteriorating, or a material data-quality concern. Assigned and reviewed each time the underlying thesis is updated (see the thesis "last updated" date on this page).
This is the exact formula the model runs — not a post-hoc explanation. Source: composite_grade.py, A.L. Capital Advisory Equity Composite.
RYCEY Price Target & Rating
RYCEY's quantitative grade is Avoid, with moderate downside risk (CVaR -16.2%), and quality metrics (net margin 13%, ROE 114%). Rolls-Royce Holdings plc (RYCEY) trades at $20.62 with a Avoid composite rating: a trailing P/E of 42.1x at a 91% premium to sector median, net margins of 13.1%, a blended fair-value range of $12–$17 suggesting a -43% margin of safety, beta 1.19 (moderate risk profile).
What Is RYCEY's DCF Intrinsic Value and Blended Fair Value Range?
RYCEY's blended fair-value range is $12–$17 (base case $14), against a current price of $20.62.
RYCEY blended fair-value gauge — bear case $12, base case $14, bull case $17, current price $20.62.
Price & DCF data as of
How Does RYCEY's Margin of Safety Change as the Price Moves?
Drag to simulate RYCEY's price moving between the blended bear ($12) and bull ($17) fair-value anchors — left for a price fall, right for a rise — and see how the margin of safety vs A.L. Capital Advisory's $14 blended base-case fair value changes. Starting point: the page's as-of price of $20.62 on 2026-08-08.
DCF Assumptions
Two-stage earnings-based DCF on forward EPS of $0.64 (Yahoo Finance forwardEps: provider-aggregated next-fiscal-year consensus estimate, not a fixed trailing-12-month window): explicit 5-year forecast at the stage-1 growth rate below, discounted at the CAPM cost of equity, plus a Gordon Growth terminal value at the terminal growth rate, also discounted at the CAPM cost of equity. This model discounts projected EPS — an equity-level metric — directly, not free cash flow, so the cost of equity is the theoretically correct discount rate; this is not a debt-weighted WACC (no cost of debt or capital-structure weighting is applied). Source: A.L. Capital Advisory DCF engine (api.py).
DCF assumptions by scenario
Input
Bear
Base
Bull
Stage-1 (near-term) growth
3.15%
7.00%
10.50%
Terminal growth
2.20%
2.20%
2.20%
CAPM cost of equity (discount rate)
12.10%
11.20%
10.30%
Forecast horizon
5 years
5 years
5 years
CAPM cost of equity = risk-free rate (4.66%, a live 10-year Treasury yield (Yahoo Finance ^TNX) fetched at page-generation time, 2026-08-08T10:09:42+00:00 UTC) + beta (1.19) × 5.5% equity risk premium, floored at 6% and capped at 18%. Stage-1 growth is a sector-level base rate (bear/bull apply 0.45x/1.50x multipliers); terminal growth is held constant across scenarios. Bear/bull cost of equity applies a ±8% relative adjustment to the base rate, clamped to the same 6–18% band.
The DCF output above is not the final intrinsic value shown elsewhere on this page. It is blended with the Wall Street analyst consensus price target to avoid extreme single-model divergence, weighted by analyst coverage depth (3 analysts covering this stock → 60.00% DCF / 40.00% consensus). The blended figure is the intrinsic value used for margin-of-safety and the composite rating.
DCF-to-intrinsic-value blend by scenario
Scenario
Pure DCF value
Analyst target used
Blended intrinsic value (displayed)
Bear
$6.83
$20.50
$12.30
Base
$8.79
$22.94
$14.45
Bull
$11.29
$24.62
$16.62
Blended value = (60.00% × pure DCF) + (40.00% × analyst target). Bear/bull scenarios blend against the analyst low/high target rather than the mean.
Analyst-coverage-to-consensus-weight tiers
Analyst coverage
Weight
0–1 analysts
0.00% consensus / 100.00% DCF
2–4 analysts
40.00% consensus / 60.00% DCF
5–19 analysts
65.00% consensus / 35.00% DCF
20+ analysts
75.00% consensus / 25.00% DCF
The consensus weight is a fixed step function of analyst coverage depth (above), not adjusted for target age, dispersion, or outliers — the mean/low/high analyst targets are used as reported by the data provider with no filtering.
Key Takeaways
Valuation: Avoid grade — P/E 42.1x — blended fair-value range $12–$17 implies -43% margin of safety
Risk: CVaR -16.2% (95th percentile, 1-month) indicates moderate tail exposure; beta of 1.19 amplifies broad market moves in both directions
Strengths: Size 4.0/5, 13% net margin, 114% ROE dominate the factor profile
Catalyst: SMR delivery schedule and financing drawdowns; £599M NWF deployment milestones; whether management raises FY2026 OP guidance following the strong H1 print.
Why AvoidTrading at a significant premium to intrinsic value — DCF and analyst consensus suggest limited margin of safety; valuation risk outweighs near-term upside
Main riskPremium multiple (42.1x P/E) demands consistent delivery
Tail riskCVaR -16.2% over one month at the 95th percentile
Blended fair-value range$12–$17 blended fair-value range; margin of safety -43%
Best useCore large-cap Industrials holding — not a source of diversified sector exposure
Next watchEarnings delivery and valuation re-rating catalysts
How Does RYCEY Score on the Five-Factor Quantitative Model?
RYCEY's composite five-factor score is 3.0/5, led by Size (4.0/5) and weakest on Value (2.0/5).
RYCEY five-factor radar — Value 2.0, Quality 3.0, Momentum 3.0, Volatility 3.0, Size 4.0 (out of 5).
Value
2.0 / 5
Quality
3.0 / 5
Momentum
3.0 / 5
Volatility
3.0 / 5
Size
4.0 / 5
RYCEY Five-Factor Quantitative Scores
Factor
Score
Value
2.0 / 5
Quality
3.0 / 5
Momentum
3.0 / 5
Volatility
3.0 / 5
Size
4.0 / 5
What Is RYCEY's AI-Era Durability and Disruption Risk?
AI Disruption Risk: Low
Rolls-Royce's defence backlog stands at £17.5bn -- more than three years of segment revenue with roughly 90% order cover already locked in for the remainder of 2026 -- and H1 2026 combat, submarine, and transport revenue grew 12%, 14%, and 14% respectively, with underlying profit up 46% to £2.53bn. The AI/autonomy angle is direct rather than aspirational: Rolls-Royce's AE 3007N engines powered the US Navy's MQ-25A Stingray through its first autonomous, digitally-programmed mission flight in April, and the UK's ten-year Defence Investment Plan earmarks £5bn specifically for autonomous-systems propulsion alongside £8.6bn for GCAP through 2030. Because Rolls-Royce sells engines and power systems rather than the software/autonomy stack itself, it is structurally less exposed to disintermediation by software-native entrants than platform-integrator primes are; its more credible risks are GCAP program execution and funding-timeline slippage, plus whether Power Systems' AI-data-center prime-power growth target (raised to 25% annually through 2030) actually materializes. The watch trigger is GCAP funding execution against the 2030 timeline and Power Systems order momentum from data-center customers.
Key Metrics
RYCEY Key Metrics — Rolls-Royce Holdings plc 2026
Metric
Value
Current Price
$20.62
P/E Ratio (TTM)
42.1x
Forward P/E
32.4x
P/S Ratio
7.4
EV/EBITDA
33.2
Beta
1.19
Net Margin
13.1%
ROE
114.5%
Debt/Equity
151.7%
Dividend Yield
0.71%
CVaR (95%, 1M)
-16.2%
Market Cap
$170.4B
1-Month CVaR Methodology
The 1M CVaR-95 figure shown in Key Metrics, the peer comparison table and this page's hero card is computed as follows:
Lookback: most recent 1 year of daily prices.
Return input: daily log returns on dividend/split-adjusted close prices.
Confidence level: 95% (worst 5% of the resulting rolling-month observations).
Quantile convention: floor-based cutoff — the worst floor(N × 0.05) rolling-month observations (minimum 1), not a rounded or interpolated percentile.
CVaR: arithmetic mean of that worst-5% tail, expressed as a percentage.
Corporate actions: reflected via adjusted-close pricing (dividends and splits are accounted for).
1M CVaR-95 by lookback window
Method
1M CVaR-95
Trailing 1-year historical
-16.2%
Trailing 3-year historical
-13.0%
Trailing 5-year historical
-22.7%
The 1-year figure is what appears elsewhere on this page. Because it is built from overlapping 21-day windows over a single year, it reflects roughly the last ~11 non-independent tail events and is sensitive to the specific market regime of that year — treat it as a trailing-window historical estimate, not a structurally stable long-run risk parameter. The 3- and 5-year figures use the same methodology over longer, more regime-diverse histories.
This is a separate calculation from the 1-Day VaR/CVaR shown in the Tail Risk Profile chart below, which uses raw (non-overlapping) daily returns rather than rolling monthly sums — see that chart's own methodology note for the daily-horizon convention.
Tail Risk Profile
Historical Simulation · Daily Log Returns
RYCEY — Daily Return Distribution
Rolls-Royce Holdings plc · 250 trading days · CVaR illustrated on real data
Aug 2025 – Aug 2026
Daily log returns
95%
-3.94%
1-Day VaR · 95%
95th-percentile loss threshold
-4.97%
1-Day CVaR · 95%
Avg loss in tail
13
Days in tail
of 250 sessions
250
Daily returns
Aug 2025 – Aug 2026
Historical VaR uses the nearest-rank convention: the worst observation within the tail (empirical (1−confidence) fraction of trading days). Historical CVaR is the arithmetic mean of all observations at or below that VaR threshold — so VaR is always included inside the CVaR tail, not one observation outside it.
Anton Ladnyi, CFA · A.L. Capital AdvisoryUpdated 2026-08-08
Rating Rationale
RYCEY — H1 2026 results (July 30): operating profit £2.5B, up 46% YoY, with group operating margin expanding to 22.5% from 19.1% — H1 OP alone is already well over half the £4.0-4.2B full-year guide, making the FY2026 target look conservative.
Investment Thesis
↑ Bull Case
H1 2026 actual: operating profit of £2.5B (+46% YoY) with margin expansion to 22.5% from 19.1% — H1 alone covers roughly 60% of the £4.0-4.2B full-year OP guidance, a very strong pace into H2.
FY2026 guidance maintained: OP £4.0-4.2B, FCF £3.6-3.8B — sustained double-digit FCF growth with credit upgrades to Moody's A3/Fitch A-
Power Systems data-centre power revenue +35% in FY2025 — direct AI infrastructure beneficiary; Q1 2026 power generation order intake +50% YoY, backlog £7.3B
SMR supply chain validated: Doosan Enerbility (Korea) secured supply chain role for 3 European SMR plants (Wylfa UK + Temelín Czech Republic) — May 28 milestone confirms commercial deliverability
Czech Republic EWC signed with CEZ Group — RR is the only company with multiple contractual SMR commitments in Europe; £599M UK National Wealth Fund financing committed for SMR subsidiary
EFH at 115% of 2019 levels in Q1 2026 (+5% YoY); large engine OE deliveries +18%, shop visits +12% — civil aerospace core fully recovered; Q2 results expected July 30
£7-9B share buyback program (2026-2028): over £750M completed of 2026 £2.5B tranche — structural capital return accelerating
2028 upgraded targets: OP £4.9-5.2B, FCF £5.0-5.3B, ROCE 23-26%; narrowbody engine re-entry confirmed — long-term product expansion beyond widebody monopoly
Sweden SMR win: Rolls-Royce SMR selected by Videberg Kraft (June 15) for 3 reactors — first Nordic country customer, validating pan-European SMR pipeline beyond UK (Wylfa) and Czech Republic (Temelín); Sweden's decision to restart nuclear fleet creates template for Finland, Poland, and Netherlands pipeline that consensus has not yet modelled
↓ Bear Case
EJ200 engine supply for Turkish Typhoons and Middle East carrier EFH — geopolitical disruption risk; Iran war disrupted EFH mid-2025 (though 'fully recovered' by April 2026)
Stock at 1,235p vs ATH 1,420p (Feb 2026) — down 13% from peak; consensus forecasts earnings declining ~3.6%/year avg over next 3 years before SMR/narrowbody revenues ramp
Defence segment: 20%+ OE delivery growth but remains minority (~25%) of total revenue; margin less visible than Power Systems
SMR and narrowbody programmes involve high upfront costs and long payback periods — stretch near-term cash allocation even with NWF support
What Changes the Rating
↑Catalyst:SMR revenue recognised in H2 2026 + Power Systems EBITDA margin above 20% + EFH hitting 120% of 2019
The rating on RYCEY is driven by a factor profile that is genuinely mixed — there is no clean narrative here, which is itself a signal worth taking seriously. What I watch on this name is earnings consistency — specifically whether delivery against consensus is stable or deteriorating. That is usually where the rating gets confirmed or challenged before the price reflects it. The scenario that changes my read is a genuine valuation reset — not a small pullback, but a re-rating that reflects the actual risk profile. Until that happens, the risk/reward is not there.
— Anton Ladnyi, CFA
Earnings History
RYCEY Earnings History — EPS Surprise Rate 2026
Quarter
EPS Est. (consensus)
EPS Actual (adjusted, consensus basis)
Surprise
Q2 2026
—
$0.19
—
Q4 2025
—
$0.17
—
Q2 2025
—
$0.52
—
Q4 2024
—
$0.16
—
EPS Actual is on the same adjusted/non-GAAP basis as the consensus estimate it is compared against (excludes one-time items, consistent with how Wall Street EPS estimates are typically constructed) — it will generally differ from the company's GAAP diluted EPS as reported in its official financial statements. Verify the GAAP figure against the issuer's original earnings release if that basis is what you need.
How Has RYCEY Performed vs. Wall Street EPS Estimates?
RYCEY quarterly EPS — estimate vs. actual.
Earnings Projections
RYCEY Forward EPS Consensus Estimates 2026
Quarter
EPS Est.
YoY EPS
Analysts
Q1 2027
~$0.08
-52.7%
2
Q2 2027
~$0.16
-17.0%
3
~ Estimated from annual consensus — not a direct analyst survey
What Are Wall Street's EPS Estimates for RYCEY?
Wall Street's next-quarter consensus EPS estimate for RYCEY is $0.16.
RYCEY consensus EPS estimates, next quarter $0.16, 4 quarters shown.
RYCEY — P/E 42.1x · Beta 1.19 • Composite rating: Avoid • CVaR from one-year daily history · historical simulation
Editorial Analyst Scenarios
Revenue growth × exit multiple (editorial, not mechanically reproducible from disclosed inputs) · hover each scenario for detail · current price $20.62
▼
Bear Case
$10
-49.1%
Implied NTM P/E: 18.8x (target ÷ next-4Q consensus EPS — distinct from the exit multiple below, which is applied to a later-year EPS estimate)
8.0 revenue CAGR · 13.0 exit multiple
◆
Base Case
$18
-10.3%
Implied NTM P/E: 33.1x (target ÷ next-4Q consensus EPS — distinct from the exit multiple below, which is applied to a later-year EPS estimate)
15.0 revenue CAGR · 17.0 exit multiple
▲
Bull Case
$26
+26.1%
Implied NTM P/E: 46.6x (target ÷ next-4Q consensus EPS — distinct from the exit multiple below, which is applied to a later-year EPS estimate)
22.0 revenue CAGR · 22.0 exit multiple
How Correlated Is RYCEY With Its Sector Peers?
1 of 10 peer pairs correlated above 0.60, indicating meaningful historical diversification across the selected names, although all remain exposed to common equity, sector and macro factors.
RYCEY pairwise correlation heatmap across 5 peers — 1 of 10 pairs above 0.60.
1 of 10 peer pairs correlated above 0.60, indicating meaningful historical diversification across the selected names, although all remain exposed to common equity, sector and macro factors.
Extended Analysis — Buy, Hold or Sell? Risk Factors. Portfolio Fit.
Is RYCEY a buy, hold, or sell?
RYCEY carries a quantitative grade of Avoid. The trailing P/E of 42.1 sits 91% above the Industrials sector median of 22.0x — a premium that demands sustained earnings delivery. Our two-stage, EPS-based DCF model produces a pure model range of $7–$11. After blending with Street consensus targets, the displayed fair-value range is $12–$17 — implying a -43% margin of safety vs. blended base fair value at the current price of $20.62. The width of the range reflects genuine uncertainty in the terminal growth rate assumption: the correct framework is a probability-weighted distribution over scenarios, not a single point estimate. See the DCF valuation framework for full methodology.
Analyst estimate revisions are trending upward.
What are RYCEY's key risk factors?
With a beta of 1.19, RYCEY exhibits an above-market risk profile relative to the broad market. The 95th-percentile CVaR of -16.2% on a one-month horizon should inform position sizing directly: at a 10% portfolio weight, this standalone tail outcome corresponds to approximately 1.6% of portfolio value before accounting for correlations with other holdings — not a marginal portfolio CVaR contribution, which depends on the full covariance structure. Net margins stand at 13.1%. Return on equity of 114.5% indicates highly efficient capital allocation. Leverage is moderate with debt-to-equity at 152%.
How does RYCEY fit in a diversified portfolio?
At typical HENRY portfolio weights — 10–20% of the equity allocation — RYCEY carries a beta of 1.19, meaning it amplifies broad market moves proportionally. The appropriate weight is not a function of conviction alone, but of the full covariance structure across all holdings. See the Ledoit-Wolf covariance framework for the methodology behind these calculations.
Among closely correlated names, RYCEY shows the strongest co-movement with EADSY (0.68), BAESY (0.52), THLEF (0.22). Investors seeking diversification should note these correlation dynamics when constructing multi-asset portfolios.
True portfolio risk is a function of the full covariance structure across all holdings — not individual stock metrics. The Portfolio Health Check quantifies this at the portfolio level: it surfaces hidden concentration, marginal CVaR contributions, and the degree to which your overall allocation deviates from an optimal risk-adjusted mandate. The RYCEY analysis here is a single node in that larger structure.
What is RYCEY's AI-Era Durability & Disruption Risk Score?
Rolls-Royce's defence backlog stands at £17.5bn -- more than three years of segment revenue with roughly 90% order cover already locked in for the remainder of 2026 -- and H1 2026 combat, submarine, and transport revenue grew 12%, 14%, and 14% respectively, with underlying profit up 46% to £2.53bn. The AI/autonomy angle is direct rather than aspirational: Rolls-Royce's AE 3007N engines powered the US Navy's MQ-25A Stingray through its first autonomous, digitally-programmed mission flight in April, and the UK's ten-year Defence Investment Plan earmarks £5bn specifically for autonomous-systems propulsion alongside £8.6bn for GCAP through 2030. Because Rolls-Royce sells engines and power systems rather than the software/autonomy stack itself, it is structurally less exposed to disintermediation by software-native entrants than platform-integrator primes are; its more credible risks are GCAP program execution and funding-timeline slippage, plus whether Power Systems' AI-data-center prime-power growth target (raised to 25% annually through 2030) actually materializes. The watch trigger is GCAP funding execution against the 2030 timeline and Power Systems order momentum from data-center customers.
What is RYCEY's intrinsic value and DCF price target?
A.L. Capital Advisory's model produces a blended fair-value range (25% pure DCF, 75% analyst consensus for well-covered names) of $12 (bear case) to $17 (bull case) for Rolls-Royce Holdings plc (RYCEY). At $20.62, the margin of safety vs. blended base case is -43% (positive = discount to fair value; negative = premium). The bear-to-bull spread reflects genuine sensitivity to the two dominant DCF inputs: the terminal growth rate and the CAPM cost of equity (this model discounts EPS, an equity-level metric, so the cost of equity rather than a debt-weighted WACC is the applicable discount rate). Terminal value typically accounts for 60-80% of total intrinsic value in most equity DCF models, which is why a range is more analytically sound than a point estimate. The central analytical question is not what the DCF outputs as a single number but which growth trajectory the current market price already discounts. All DCF analysis follows CFA Institute standards and is conducted by Anton Ladnyi, CFA (ex-Goldman Sachs, ex-J.P. Morgan) · A.L. Capital Advisory. Full methodology: DCF Valuation Framework →
Is RYCEY a buy or sell in 2026?
Rolls-Royce Holdings plc (RYCEY) carries a Avoid quantitative rating from A.L. Capital Advisory, set by Discounted Cash Flow margin-of-safety band with no analyst-conviction overlay applied. Five-factor model scoring (Value, Quality, Momentum, Volatility, Size) and CVaR tail risk measurement are shown separately on the page. At $20.62, the margin of safety vs. blended base fair value is -43% (blended fair-value range: $12 bear – $17 bull). That places the current price in the Premium zone of A.L. Capital Advisory's DCF framework, which sets the quantitative grade component that determines this rating. Composite factor score: 3.0/5. Strongest factor: Size (4.0/5). Weakest factor: Value (2.0/5). Trailing P/E: 42.1x. Analysis by Anton Ladnyi, CFA (ex-Goldman Sachs, ex-J.P. Morgan) · A.L. Capital Advisory. Full methodology: Rating Methodology (this page) →
What is the average analyst target price for RYCEY?
Wall Street consensus target for RYCEY: $22.94 (+11.3% upside from the current price of $20.62). The analyst target range spans $20.50 (most bearish) to $24.62 (most bullish). Consensus recommendation: Buy. Note that analyst price targets typically reflect a 12-month forward horizon and are derived from a blend of DCF, comparable-company, and sum-of-the-parts analysis. A.L. Capital Advisory's Avoid composite rating is calculated from the blended margin-of-safety grade, applicable automatic fundamental penalties, and a disclosed qualitative analyst-conviction overlay — not from five-factor scores or CVaR, which are supporting diagnostics shown elsewhere on this page. The displayed blended fair value combines the standalone DCF output with Street consensus for well-covered names (see the DCF Assumptions box for the exact blend weight), so it does not track Street consensus mechanically, but it is not fully independent of it either. When the composite rating and the Street consensus recommendation diverge, the divergence itself is informative: it can reflect differences in time horizon, valuation methodology, or the degree to which the current price already discounts the consensus case. Analysis by Anton Ladnyi, CFA (ex-Goldman Sachs, ex-J.P. Morgan) · A.L. Capital Advisory. Full methodology: Data & Sources (this page) →
How does RYCEY score on Value, Quality, Momentum, Volatility, and Size?
RYCEY five-factor scores (A.L. Capital Advisory, 1–5 scale): Value 2.0/5 (below average) — measures the trailing P/E multiple versus the sector median (not the DCF or blended fair-value range, which are separate metrics on this page); Quality 3.0/5 (neutral) — captures profitability metrics including return on equity (ROE: 114.5%) and net margin (13.1%) — sustained above-peer ROE and margins are the model's proxy for economic moat and pricing power; Momentum 3.0/5 (neutral) — reflects recent price trajectory and earnings surprise consistency; Volatility 3.0/5 (neutral) — inverse measure derived from beta, where lower historical volatility earns a higher score; Size 4.0/5 (above average) — market capitalisation rank (mega-cap $1T+ scores 5/5). Composite: 3.0/5. Factor scores above 4.0 signal a tailwind in that dimension; below 2.0 signals a material headwind. Analysis by Anton Ladnyi, CFA (ex-Goldman Sachs, ex-J.P. Morgan) · A.L. Capital Advisory.
What is RYCEY's tail risk and CVaR?
The 95th-percentile Conditional Value at Risk (CVaR) for RYCEY on a one-month horizon is -16.2%. CVaR represents the expected average loss in the worst 5% of monthly outcomes — a more conservative tail risk measure than standard VaR, which only marks the loss threshold. Beta of 1.19 indicates above-market systematic sensitivity with amplified drawdown exposure — beta measures historical sensitivity to market moves, not total volatility. For reference, a diversified S&P 500 ETF carries a one-month CVaR of roughly -8% to -12% in normal market conditions; individual equity CVaR is higher due to idiosyncratic risk. At the portfolio level, what matters is the marginal CVaR contribution of each holding — not its standalone figure. The A.L. Capital Advisory Portfolio Health Check quantifies each position's marginal tail-risk contribution across your entire holdings. Analysis by Anton Ladnyi, CFA (ex-Goldman Sachs, ex-J.P. Morgan) · A.L. Capital Advisory. Full methodology: CVaR & Tail-Risk Methodology →
What would trigger a rating upgrade or downgrade for RYCEY?
Upgrade trigger: Upgrade to Strong Buy on evidence of accelerating earnings surprise magnitude combined with improvement in the Value factor score — specifically if the current 42.1x P/E is supported by an upward revision to DCF terminal growth assumptions. Downgrade trigger: Continued earnings misses or deteriorating balance sheet quality reducing the Quality factor score below 2.0/5. These triggers are reassessed each time the underlying fundamentals, price, or earnings data refresh — the current Avoid rating is not held on a fixed review calendar. Analysis by Anton Ladnyi, CFA (ex-Goldman Sachs, ex-J.P. Morgan) · A.L. Capital Advisory. Full methodology: Rating Methodology (this page) →
How does RYCEY contribute to portfolio risk and diversification?
RYCEY carries a beta of 1.19 (high-volatility / growth-sensitive relative to the broad equity market). A beta above 1.0 means the position amplifies market moves in both directions at a typical portfolio weight. Strongest peer co-movement: EADSY (0.68), BAESY (0.52), THLEF (0.22). Holding RYCEY alongside these names in the same portfolio increases concentration risk. True portfolio risk is a function of the full covariance structure — a single stock's beta does not reveal its marginal contribution to portfolio tail loss. The A.L. Capital Advisory Portfolio Health Check quantifies concentration risk (Herfindahl-Hirschman Index), pairwise correlations, and marginal CVaR contribution across all your holdings. If a single position such as this one makes up an outsized share of your net worth — employer stock, RSUs, or concentrated equity compensation — a Strategic Session builds the sequencing plan and the written allocation that follows from it. Analysis by Anton Ladnyi, CFA (ex-Goldman Sachs, ex-J.P. Morgan) · A.L. Capital Advisory. Full methodology: Ledoit-Wolf Covariance Framework →
What quantitative methodology does A.L. Capital Advisory use to analyse RYCEY?
A.L. Capital Advisory analyses Rolls-Royce Holdings plc (RYCEY) using a four-part quantitative research framework grounded in CFA Institute standards (not all four parts feed the composite rating formula directly — see below). (1) DCF Valuation: a two-stage earnings-based DCF that projects EPS (not free cash flow) under bear and bull assumptions, discounts at the CAPM cost of equity (the applicable rate for an equity-level metric like EPS, not a debt-weighted WACC) to produce an intrinsic value range with margin-of-safety calculation. (2) Five-Factor Scoring: each equity is scored 1–5 on Value, Quality, Momentum, Volatility, and Size. (3) CVaR Tail Risk: 95th-percentile Conditional Value at Risk from historical simulation of daily returns on a one-month horizon. (4) Earnings Surprise Analysis: quarterly beat rate and magnitude, shown for context alongside the factor scores. The current Avoid composite rating for RYCEY is calculated separately from this broader framework: it consists of a Avoid quantitative grade, any automatic fundamental penalty, and a disclosed qualitative analyst-conviction overlay — see this page's Rating Methodology section for the exact formula. Five-factor scoring, CVaR and earnings surprise analysis below are supporting research diagnostics shown separately on this page; they are not direct numerical inputs into this specific composite-rating calculation. Analysis by Anton Ladnyi, CFA (ex-Goldman Sachs, ex-J.P. Morgan) · A.L. Capital Advisory. Full methodology: DCF Valuation Framework → · CVaR & Tail-Risk Methodology →
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Retrieved 2026-08-08T10:09:42+00:00 (UTC); see per-quarter analyst counts in Earnings Forecast; individual target ages/dates are not disclosed by the data provider
Most recent exchange settlement date on file with the data provider (exact settlement date not exposed by the provider's API; retrieved 2026-08-08T10:09:42+00:00 UTC)
[6] DCF valuation, five-factor model & composite rating
Calculated 2026-08-08T10:09:42+00:00 (UTC); see Rating Methodology above for the exact formula
Hand-authored thesis commentary (bull/bear case, catalysts, AI-Era Durability Score narrative) is cross-checked against the company's own investor-relations disclosures at time of writing; figures presented as A.L. Capital Advisory estimates are proprietary forecasts, not company guidance, unless explicitly attributed to the issuer.
Market-session status above is derived from the page's UTC generation time using standard NYSE hours (9:30am–4:00pm ET regular session); it does not account for US market holidays and may be inaccurate on those dates.
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Legal Disclaimer & Important Notices
This analysis is produced using a systematic quantitative framework applied to market data and does not constitute investment advice. Prose commentary is AI-assisted and generated from structured quantitative inputs. All data and metrics are as of 2026-08-08 and are point-in-time estimates subject to revision without notice. CVaR figures are based on historical simulation and do not guarantee future outcomes. DCF ranges and upgrade/downgrade triggers are forward-looking statements based on current assumptions and may not materialise. Past performance does not guarantee future results. This analysis does not account for individual circumstances, tax position, or investment objectives — consult a qualified financial advisor before making investment decisions. This content is intended for informational purposes only and does not constitute regulated investment advice under MiFID II or FCA guidelines. This content is not intended for US persons or residents of jurisdictions where its distribution would be contrary to local law or regulation. This service is not directed at residents of Finland, Sweden, Norway, Denmark, Iceland, or Poland. The author may hold long or short positions in securities mentioned in this analysis. Nothing on this page represents a solicitation to buy or sell any security. A.L. Capital Advisory is an independent private advisory practice and is not affiliated with Rolls-Royce Holdings plc.
CFA Portfolio Advisory — RYCEY
Discuss this analysis, position sizing, or your full portfolio mandate with Anton Ladnyi, CFA.
