Facebook Risk Analysis And Volatility Evaluation

FB -- USA Stock  

USD 131.16  0.39  0.30%

Macroaxis considers Facebook to be not too risky. Facebook secures Sharpe Ratio (or Efficiency) of -0.2487 which denotes Facebook had -0.2487% of return per unit of standard deviation over the last 1 month. 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 2.0 to check risk estimate we provide.
Horizon     30 Days    Login   to change

Facebook Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Facebook will likely underperform.
One Month Beta |Analyze Facebook Demand Trend
Check current 30 days Facebook correlation with market (DOW)
β = 1.4826

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 seventeen. 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, the stock has beta coefficient of 1.4826 suggesting as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Facebook will likely underperform. Additionally, Facebook has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Allowing for the 30-days total investment horizon, the coefficient of variation of Facebook is -402.1. The daily returns are destributed with a variance of 6.61 and standard deviation of 2.57. The mean deviation of Facebook is currently at 2.04. For similar time horizon, the selected benchmark (DOW) has volatility of 1.24
α
Alpha over DOW
=0.58
β
Beta against DOW=1.48
σ
Overall volatility
=2.57
Ir
Information ratio =0.24

Facebook Return Volatility

Facebook accepts 2.5702% volatility on return distribution over the 30 days horizon. DOW inherits 1.2989% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Facebook Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Close to average

30 Days Economic Sensitivity

Responds to market

Investment Outlook

Facebook Investment Opportunity

Facebook has a volatility of 2.57 and is 1.98 times more volatile than DOW. 23% 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 23 (%) of all global equities and portfolios over the last 30 days. Use Facebook to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Facebook to be traded at $129.85 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Facebook will likely underperform.

Facebook correlation with market

correlation synergy
Poor 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.
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