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Facebook Risk Analysis And Volatility

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FB -- USA Stock  

Fiscal Quarter End: March 31, 2020  

Macroaxis considers Facebook to be very steady. Facebook secures Sharpe Ratio (or Efficiency) of -0.0481 which denotes the organization had -0.0481% of return per unit of standard deviation over the last 3 months. Macroaxis philosophy in predicting risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Facebook exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Facebook Mean Deviation of 1.23 to check risk estimate we provide.
Equity
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Interest Expense

90 Days Market Risk

Very steady

Chance of Distress

Very Small

90 Days Economic Sensitivity

Slowly supersedes market

Facebook Market Sensitivity

As returns on market increase, Facebook returns are expected to increase less than the market. However during bear market, the loss on holding Facebook will be expected to be smaller as well.
3 Months Beta |Analyze Facebook Demand Trend
Check current 30 days Facebook correlation with market (DOW)
β = 0.2347

Facebook Central Daily Price Deviation

Facebook Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. 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 0.2347 suggesting as returns on market go up, Facebook average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Facebook will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Facebook is significantly underperforming DOW.
 Predicted Return Density 
    
  Returns 
Allowing for the 30-days total investment horizon, the coefficient of variation of Facebook is -2078.16. The daily returns are destributed with a variance of 3.27 and standard deviation of 1.81. The mean deviation of Facebook is currently at 1.26. For similar time horizon, the selected benchmark (DOW) has volatility of 1.15
α
Alpha over DOW
=0.04
β
Beta against DOW=0.23
σ
Overall volatility
=1.81
Ir
Information ratio =0.0384

Facebook Return Volatility

the company accepts 1.8083% volatility on return distribution over the 30 days horizon. the entity inherits 1.1815% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
    
  Timeline 

Facebook Investment Opportunity

Facebook has a volatility of 1.81 and is 1.53 times more volatile than DOW. 16  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 16 () 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 $182.1 in 30 days. . As returns on market increase, Facebook returns are expected to increase less than the market. However during bear market, the loss on holding Facebook will be expected to be smaller as well.

Facebook correlation with market

correlation synergy
Modest 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.

Facebook Current Risk Indicators

Facebook Suggested Diversification Pairs

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