Macroaxis considers Facebook to be very steady. Facebook secures Sharpe Ratio (or Efficiency) of -0.0053 which denotes the organization had -0.0053% 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-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Facebook Mean Deviation of 1.25, Downside Deviation of 1.59 and Semi Deviation of 1.47 to check risk estimate we provide.
90 Days Market Risk
Chance of Distress in 24 months
90 Days Economic Sensitivity
Moves indifferently to market moves
|Horizon||30 Days Login to change|
Facebook Market Sensitivity
|As returns on market increase, returns on owning Facebook are expected to decrease at a much smaller rate. During bear market, Facebook is likely to outperform the market. 3 Months Beta |Analyze Facebook Demand TrendCheck current 30 days Facebook correlation with market (DOW)|
β = -0.17
Facebook Central Daily Price Deviation
Facebook Technical Analysis
Facebook Projected Return Density Against MarketAllowing for the 30-days total investment horizon, Facebook has beta of -0.17 suggesting as returns on benchmark increase, returns on holding Facebook are expected to decrease at a much smaller rate. During bear market, however, Facebook is likely to outperform the market. Moreover, The company has an alpha of 0.0786 implying that it can potentially generate 0.0786% 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 -18974.95. The daily returns are destributed with a variance of 2.25 and standard deviation of 1.5. The mean deviation of Facebook is currently at 1.2. For similar time horizon, the selected benchmark (DOW) has volatility of 0.88
|Alpha over DOW||=||0.08|
|Beta against DOW||=||0.17|
Facebook Return Volatilitythe company accepts 1.5011% volatility on return distribution over the 30 days horizon. the entity inherits 0.9085% risk (volatility on return distribution) over the 30 days horizon.
Facebook Investment Opportunity
Facebook has a volatility of 1.5 and is 1.65 times more volatile than DOW. 13% 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 13 (%) of all global equities and portfolios over the last 30 days. Use Facebook to protect your portfolios against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Facebook to be traded at $182.5 in 30 days. . As returns on market increase, returns on owning Facebook are expected to decrease at a much smaller rate. During bear market, Facebook is likely to outperform the market.
Facebook correlation with market
Facebook Current Risk Indicators
|Risk Adjusted Performance||0.0521|
|Market Risk Adjusted Performance||(0.43)|
|Coefficient Of Variation||1851.84|
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