Agilent Technologies Risk Analysis And Volatility Evaluation

A -- USA Stock  

USD 70.25  1.66  2.31%

We consider Agilent Technologies not too risky. Agilent Technologies secures Sharpe Ratio (or Efficiency) of 0.0669 which signifies that Agilent Technologies had 0.0669% of return per unit of risk over the last 2 months. 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-eight technical indicators for Agilent Technologies which you can use to evaluate future volatility of the firm. Please confirm Agilent Technologies Downside Deviation of 2.07, Risk Adjusted Performance of 0.018 and Mean Deviation of 1.66 to double-check if risk estimate we provide are consistent with the epected return of 0.1483%.
Interest Expense
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.
2 Months Beta |Analyze Agilent Technologies Demand Trend
Check current 30 days Agilent Technologies correlation with market (DOW)
β = 0.9722

Agilent Technologies Central Daily Price Deviation

Agilent Technologies Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. 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 0.9722 . This suggests Agilent Technologies market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Agilent Technologies is expected to follow. Moreover, Agilent Technologies has an alpha of 0.1907 implying that it can potentially generate 0.1907% 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 1495.5. The daily returns are destributed with a variance of 4.92 and standard deviation of 2.22. The mean deviation of Agilent Technologies is currently at 1.62. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.19
β
Beta against DOW=0.97
σ
Overall volatility
=2.22
Ir
Information ratio =0.09

Agilent Technologies Return Volatility

Agilent Technologies accepts 2.2184% volatility on return distribution over the 30 days horizon. DOW inherits 1.3286% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Agilent Technologies Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

60 Days Economic Sensitivity

Almost mirrors market

Investment Outlook

Agilent Technologies Investment Opportunity

Agilent Technologies has a volatility of 2.22 and is 1.67 times more volatile than DOW. 20% 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 20 (%) of all global equities and portfolios over the last 30 days. Use Agilent Technologies to protect against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Agilent Technologies to be traded at $67.44 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

correlation synergy
Poor 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

Check also Trending Equities. Please also try Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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