Macroaxis considers Amgen not too risky given 1 month investment horizon. Amgen Inc secures Sharpe Ratio (or Efficiency) of 0.4171 which signifies that Amgen Inc had 0.4171% 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 technical indicators for Amgen Inc which you can use to evaluate future volatility of the firm. Please makes use of Amgen Inc Mean Deviation of 0.6816 and Risk Adjusted Performance of 0.1818 to double-check if our risk estimates are consistent with your expectations.
|Time Horizon||30 Days Login to change|
Amgen Market Sensitivity
|Amgen returns are very sensitive to returns on the market. As market goes up or down, Amgen is expected to follow.One Month Beta |Analyze Amgen Inc Demand TrendCheck current 30 days Amgen correlation with market (DOW)|
β = 0.9489
Amgen Inc Technical Analysis
Projected Return Density Against MarketGiven the investment horizon of 30 days, Amgen has beta of 0.9489 . This suggests Amgen Inc market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Amgen is expected to follow. Moreover, Amgen Inc has an alpha of 0.1121 implying that it can potentially generate 0.1121% excess return over DOW after adjusting for the inherited market risk (beta).
Given the investment horizon of 30 days, the coefficient of variation of Amgen is 239.74. The daily returns are destributed with a variance of 0.77 and standard deviation of 0.88. The mean deviation of Amgen Inc is currently at 0.75. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44