Amgen Risk Analysis And Volatility Evaluation

AMGN -- USA Stock  

USD 176.30  0.17  0.1%

We consider Amgen not too risky. Amgen secures Sharpe Ratio (or Efficiency) of 0.0437 which signifies that Amgen had 0.0437% of return per unit of standard deviation over the last 1 month. Our philosophy in 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 Amgen which you can use to evaluate future volatility of the firm. Please confirm Amgen Mean Deviation of 1.01 and Risk Adjusted Performance of 0.01 to double-check if risk estimate we provide are consistent with the epected return of 0.0573%.
 Time Horizon     30 Days    Login   to change

Amgen Technical Analysis

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

Given the investment horizon of 30 days, Amgen has beta of 0.0 . This suggests unless we do not have required data, the returns on DOW and Amgen are completely uncorrelated. Furthermore, AmgenIt does not look like Amgen alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
Given the investment horizon of 30 days, the coefficient of variation of Amgen is 2286.07. The daily returns are destributed with a variance of 1.72 and standard deviation of 1.31. The mean deviation of Amgen is currently at 0.99. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
Alpha over DOW
Beta against DOW=0.00
Overall volatility
Information ratio =0.10

Actual Return Volatility

Amgen inherits 1.3108% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.4392% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Market Risk Breakdown

Amgen Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

Amgen Investment Opportunity
DOW has a standard deviation of returns of 1.44 and is 1.1 times more volatile than Amgen. 12% of all equities and portfolios are less risky than Amgen. Compared to the overall equity markets, volatility of historical daily returns of Amgen is lower than 12 (%) of all global equities and portfolios over the last 30 days.

Total Debt

Amgen Total Debt History

Total Debt

Volatility Indicators

Amgen Current Risk Indicators
Check also Trending Equities. Please also try Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. drill down to check world indexes.