Amgen Risk Analysis

Amgen Inc -- USA Stock  

USD 169.38  0.62  0.36%

Macroaxis considers Amgen to be not too risky. Amgen Inc secures Sharpe Ratio (or Efficiency) of -0.4402 which signifies that Amgen Inc had -0.4402% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy in 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. Amgen Inc exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Amgen Inc Mean Deviation of 0.6275 and Risk Adjusted Performance of (0.16) to double-check risk estimate we provide.
Investment Horizon     30 Days    Login   to change

Amgen Market Sensitivity

As returns on market increase, returns on owning Amgen are expected to decrease at a much smaller rate. During bear market, Amgen is likely to outperform the market.
One Month Beta |Analyze Amgen Inc Demand Trend
Check current 30 days Amgen correlation with market (DOW)
β = -0.8203
Amgen Almost negative betaAmgen Inc Beta Legend

Amgen Inc Technical Analysis

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

Given the investment horizon of 30 days, Amgen Inc has beta of -0.8203 . This suggests as returns on benchmark increase, returns on holding Amgen are expected to decrease at a much smaller rate. During bear market, however, Amgen Inc is likely to outperform the market. Additionally, Amgen 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 
Given the investment horizon of 30 days, the coefficient of variation of Amgen is -227.19. The daily returns are destributed with a variance of 0.66 and standard deviation of 0.82. The mean deviation of Amgen Inc is currently at 0.63. For similar time horizon, the selected benchmark (DOW) has volatility of 0.37
α
Alpha over DOW
=0.33
βBeta against DOW=0.82
σ
Overall volatility
=0.82
 IrInformation ratio =0.51

Actual Return Volatility

Amgen Inc inherits 0.8153% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.3734% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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

Totally opposite to market

Total Debt

Amgen Inc Total Debt History

Total Debt

Largest Trends

Amgen Largest Period Trend
 170.19 
  
 169.38 
0.81  0.48%
Lowest period price (30 days)
 170.87 
  
 176.52 
5.65  3.31%
Highest period price (30 days)

Investment Outlook

Amgen Investment Opportunity
Amgen Inc has a volatility of 0.82 and is 2.22 times more volatile than DOW. 7% of all equities and portfolios are less risky than Amgen. Compared to the overall equity markets, volatility of historical daily returns of Amgen Inc is lower than 7 (%) of all global equities and portfolios over the last 30 days. Use Amgen Inc to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Amgen to be traded at $167.69 in 30 days. As returns on market increase, returns on owning Amgen are expected to decrease at a much smaller rate. During bear market, Amgen is likely to outperform the market.

Amgen correlation with market

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

Volatility Indicators

Amgen Current Risk Indicators