Macroaxis considers Amgen not too risky given 1 month investment horizon. Amgen Inc secures Sharpe Ratio (or Efficiency) of 0.3798 which signifies that Amgen Inc had 0.3798% 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 0.9094 and Risk Adjusted Performance of 0.15 to double-check if our risk estimates are consistent with your expectations.
|Investment Horizon||30 Days Login to change|
Amgen Market Sensitivity
|As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Amgen will likely underperform.One Month Beta |Analyze Amgen Inc Demand TrendCheck current 30 days Amgen correlation with market (DOW)|
β = 1.7429
Projected Return Density Against MarketGiven the investment horizon of 30 days, the stock has beta coefficient of 1.7429 . This suggests as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Amgen will likely underperform. Moreover, Amgen Inc has an alpha of 0.2503 implying that it can potentially generate 0.2503% 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 263.32. The daily returns are destributed with a variance of 1.46 and standard deviation of 1.21. The mean deviation of Amgen Inc is currently at 0.97. For similar time horizon, the selected benchmark (DOW) has volatility of 0.38