Agilent Technologies Risk Analysis

Agilent Technologies Inc -- USA Stock  

USD 67.57  1.06  1.59%

Macroaxis considers Agilent Technologies to be not too risky. Agilent Technologies Inc secures Sharpe Ratio (or Efficiency) of -0.0329 which signifies that Agilent Technologies Inc had -0.0329% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing 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. Agilent Technologies Inc exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Agilent Technologies Inc Risk Adjusted Performance of (0.013869) and Mean Deviation of 0.9599 to double-check risk estimate we provide.
Investment Horizon     30 Days    Login   to change

Agilent Technologies Market Sensitivity

Agilent Technologies returns are very sensitive to returns on the market. As market goes up or down, Agilent Technologies is expected to follow.
One Month Beta |Analyze Agilent Technologies Inc Demand Trend
Check current 30 days Agilent Technologies correlation with market (DOW)
β = 0.9961
Agilent Technologies llmost one BetaAgilent Technologies Inc Beta Legend

Agilent Technologies Inc Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Agilent Technologies Inc 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.

Projected Return Density Against Market

Taking into account the 30 trading days horizon, Agilent Technologies has beta of 0.9961 . This suggests Agilent Technologies Inc market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Agilent Technologies is expected to follow. Additionally, Agilent Technologies Inc 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 
Taking into account the 30 trading days horizon, the coefficient of variation of Agilent Technologies is -3037.92. The daily returns are destributed with a variance of 1.89 and standard deviation of 1.37. The mean deviation of Agilent Technologies Inc is currently at 0.95. For similar time horizon, the selected benchmark (DOW) has volatility of 0.5
α
Alpha over DOW
=0.26
βBeta against DOW=1
σ
Overall volatility
=1.37
 IrInformation ratio =0.19

Actual Return Volatility

Agilent Technologies Inc accepts 1.3747% volatility on return distribution over the 30 days horizon. DOW inherits 0.4723% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Agilent Technologies Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Almost mirrors market

Total Debt

Agilent Technologies Inc Total Debt History

Total Debt

Largest Trends

Agilent Technologies Largest Period Trend

Investment Outlook

Agilent Technologies Investment Opportunity
Agilent Technologies Inc has a volatility of 1.37 and is 2.91 times more volatile than DOW. 12% of all equities and portfolios are less risky than Agilent Technologies. Compared to the overall equity markets, volatility of historical daily returns of Agilent Technologies Inc is lower than 12 (%) of all global equities and portfolios over the last 30 days. Use Agilent Technologies Inc to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Agilent Technologies to be traded at $74.33 in 30 days. Agilent Technologies returns are very sensitive to returns on the market. As market goes up or down, Agilent Technologies is expected to follow.

Agilent Technologies correlation with market

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Agilent Technologies Inc and equity matching DJI index in the same portfolio.

Volatility Indicators

Agilent Technologies Current Risk Indicators