Facebook Risk Analysis And Volatility

FB -- USA Stock  

USD 164.34  1.74  1.05%

Macroaxis considers Facebook very steady given 2 months investment horizon. Facebook secures Sharpe Ratio (or Efficiency) of 0.1441 which denotes the organization had 0.1441% of return per unit of standard deviation over the last 2 months. Our philosophy in predicting volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for Facebook which you can use to evaluate future volatility of the firm. Please utilize Facebook Semi Deviation of 1.35, Mean Deviation of 1.51 and Downside Deviation of 1.5 to check if our risk estimates are consistent with your expectations.
Interest Expense
Horizon     30 Days    Login   to change

Facebook Market Sensitivity

Facebook returns are very sensitive to returns on the market. As market goes up or down, Facebook is expected to follow.
2 Months Beta |Analyze Facebook Demand Trend
Check current 30 days Facebook correlation with market (DOW)
β = 0.999

Facebook Central Daily Price Deviation

Facebook Technical Analysis

The output start index for this execution was zero with a total number of output elements of thirty-nine. Facebook 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.

Facebook Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Facebook has beta of 0.999 suggesting Facebook market returns are sensitive to returns on the market. As the market goes up or down, Facebook is expected to follow. Moreover, The company has an alpha of 0.1708 implying that it can potentially generate 0.1708% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
Allowing for the 30-days total investment horizon, the coefficient of variation of Facebook is 693.81. The daily returns are destributed with a variance of 5.15 and standard deviation of 2.27. The mean deviation of Facebook is currently at 1.47. For similar time horizon, the selected benchmark (DOW) has volatility of 0.71
Alpha over DOW
Beta against DOW=1.00
Overall volatility
Information ratio =0.07

Facebook Return Volatility

the company accepts 2.2699% volatility on return distribution over the 30 days horizon. the entity inherits 0.6883% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Market Risk Breakdown

Facebook Volatility Factors

60 Days Market Risk

Very steady

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Almost mirrors market

Investment Outlook

Facebook Investment Opportunity

Facebook has a volatility of 2.27 and is 3.29 times more volatile than DOW. 20% of all equities and portfolios are less risky than Facebook. Compared to the overall equity markets, volatility of historical daily returns of Facebook is lower than 20 (%) of all global equities and portfolios over the last 30 days. Use Facebook to protect your portfolios against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Facebook to be traded at $159.41 in 30 days. . Facebook returns are very sensitive to returns on the market. As market goes up or down, Facebook is expected to follow.

Facebook correlation with market

correlation synergy
Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Facebook Inc and equity matching DJI index in the same portfolio.
Additionally see Investing Opportunities. Please also try Fundamentals Matrix module to view fundamentals matrix and analyze how accounts are interrelated and interconnected with each other.
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