Agilent Technologies Risk Analysis And Volatility Evaluation

A -- USA Stock  

USD 69.56  0.48  0.69%

Macroaxis considers Agilent Technologies not too risky given 1 month investment horizon. Agilent Technologies secures Sharpe Ratio (or Efficiency) of 0.4711 which signifies that Agilent Technologies had 0.4711% 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 stock specific technical indicators that cannot be diversified away. We have found twenty-seven technical indicators for Agilent Technologies which you can use to evaluate future volatility of the firm. Please makes use of Agilent Technologies Coefficient Of Variation of 279.34, Risk Adjusted Performance of 0.1452 and Mean Deviation of 0.4926 to double-check if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

Agilent Technologies Market Sensitivity

As returns on market increase, Agilent Technologies returns are expected to increase less than the market. However during bear market, the loss on holding Agilent Technologies will be expected to be smaller as well.
One Month Beta |Analyze Agilent Technologies Demand Trend
Check current 30 days Agilent Technologies correlation with market (DOW)
β = 0.783
Agilent Technologies Small BetaAgilent Technologies Beta Legend

Agilent Technologies Technical Analysis

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

Agilent Technologies Projected Return Density Against Market

Taking into account the 30 trading days horizon, Agilent Technologies has beta of 0.783 . This suggests as returns on market go up, Agilent Technologies average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Agilent Technologies will be expected to be much smaller as well. Moreover, Agilent Technologies has an alpha of 0.1486 implying that it can potentially generate 0.1486% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Taking into account the 30 trading days horizon, the coefficient of variation of Agilent Technologies is 212.25. The daily returns are destributed with a variance of 0.45 and standard deviation of 0.67. The mean deviation of Agilent Technologies is currently at 0.52. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.15
β
Beta against DOW=0.78
σ
Overall volatility
=0.67
Ir
Information ratio =0.20

Agilent Technologies Return Volatility

Agilent Technologies accepts 0.6701% volatility on return distribution over the 30 days horizon. DOW inherits 0.3947% 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

Very low

30 Days Economic Sensitivity

Follows market closely

Investment Outlook

Agilent Technologies Investment Opportunity

Agilent Technologies has a volatility of 0.67 and is 1.72 times more volatile than DOW. 6% 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 is lower than 6 (%) of all global equities and portfolios over the last 30 days. Use Agilent Technologies to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Agilent Technologies to be traded at $76.52 in 30 days. As returns on market increase, Agilent Technologies returns are expected to increase less than the market. However during bear market, the loss on holding Agilent Technologies will be expected to be smaller as well.

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.

Agilent Technologies Volatility Indicators

Agilent Technologies Current Risk Indicators

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