Agilent Technologies Risk Analysis

Agilent Technologies Inc -- USA Stock  

USD 66.44  0.81  1.2%

We consider Agilent Technologies not too risky. Agilent Technologies Inc secures Sharpe Ratio (or Efficiency) of 0.1214 which signifies that Agilent Technologies Inc had 0.1214% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Agilent Technologies Inc which you can use to evaluate future volatility of the firm. Please confirm Agilent Technologies Inc Downside Deviation of 0.9279, Risk Adjusted Performance of 0.0382 and Mean Deviation of 0.605 to double-check if risk estimate we provide are consistent with the epected return of 0.0937%.
Investment Horizon     30 Days    Login   to change

Agilent Technologies Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Agilent Technologies will likely underperform.
One Month Beta |Analyze Agilent Technologies Inc Demand Trend
Check current 30 days Agilent Technologies correlation with market (DOW)
β = 1.1817
Agilent Technologies Large BetaAgilent Technologies Inc Beta Legend

Projected Return Density Against Market

Taking into account the 30 trading days horizon, the stock has beta coefficient of 1.1817 . This suggests as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Agilent Technologies will likely underperform. 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 823.42. The daily returns are destributed with a variance of 0.6 and standard deviation of 0.77. The mean deviation of Agilent Technologies Inc is currently at 0.61. For similar time horizon, the selected benchmark (DOW) has volatility of 0.26
α
Alpha over DOW
=(0.0819) 
βBeta against DOW= 1.18 
σ
Overall volatility
= 0.77 
 IrInformation ratio =(0.0732) 

Actual Return Volatility

Agilent Technologies Inc accepts 0.7714% volatility on return distribution over the 30 days horizon. DOW inherits 0.2475% 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 0.77 and is 3.08 times more volatile than DOW. 7% 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 7 (%) of all global equities and portfolios over the last 30 days. Use Agilent Technologies Inc to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Agilent Technologies to be traded at $64.45 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Agilent Technologies will likely underperform.

Agilent Technologies correlation with market

Very 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