Amgen Risk Analysis

Amgen Inc -- USA Stock  

USD 188.01  1.27  0.67%

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 Trend
Check current 30 days Amgen correlation with market (DOW)
β = 0.9489
Amgen llmost one 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 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
=0.11
β
Beta against DOW=0.95
σ
Overall volatility
=0.88
Ir
Information ratio =0.12

Actual Return Volatility

Amgen Inc inherits 0.8795% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.4644% 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

Almost mirrors market

Total Debt

Amgen Inc Total Debt History

Total Debt

Largest Trends

Amgen Largest Period Trend
 175.25 
  
 173.9 
1.35  0.77%
Lowest period price (30 days)
 188.36 
  
 189.28 
0.92  0.49%
Highest period price (30 days)

Investment Outlook

Amgen Investment Opportunity
Amgen Inc has a volatility of 0.88 and is 1.91 times more volatile than DOW. 8% 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 8 (%) of all global equities and portfolios over the last 30 days. Use Amgen Inc to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Amgen to be traded at $184.25 in 30 days. Amgen returns are very sensitive to returns on the market. As market goes up or down, Amgen is expected to follow.

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.