Amgen Risk Analysis

Amgen Inc -- USA Stock  

USD 186.64  0.88  0.47%

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 Trend
Check current 30 days Amgen correlation with market (DOW)
β = 1.7429
Amgen Large BetaAmgen Inc Beta Legend

Projected Return Density Against Market

Given 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
= 0.25 
βBeta against DOW= 1.74 
σ
Overall volatility
= 1.21 
 IrInformation ratio = 0.28 

Actual Return Volatility

Amgen Inc inherits 1.2082% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.3852% 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

30 Days Economic Sensitivity

Very susceptible to market

Total Debt

Amgen Inc Total Debt History

Total Debt

Largest Trends

Amgen Largest Period Trend
 172.19 
  
 173.65 
1.46  0.85%
Lowest period price (30 days)
 187.00 
  
 191.00 
4.00  2.14%
Highest period price (30 days)

Investment Outlook

Amgen Investment Opportunity
Amgen Inc has a volatility of 1.21 and is 3.1 times more volatile than DOW. 11% 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 11 (%) of all global equities and portfolios over the last 30 days. Use Amgen Inc to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of Amgen to be traded at $195.97 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Amgen will likely underperform.

Amgen correlation with market

Very weak 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.