Facebook Risk Analysis And Volatility Evaluation

FB -- USA Stock  

USD 185.93  0.97  0.52%

Macroaxis considers Facebook not too risky given 1 month investment horizon. Facebook secures Sharpe Ratio (or Efficiency) of 0.3369 which denotes Facebook had 0.3369% of return per unit of standard deviation over the last 1 month. Our philosophy in predicting volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. By reviewing Facebook technical indicators you can presently evaluate if the expected return of 0.6931% is justified by implied risk. Please utilize Facebook Downside Deviation of 0.791, Mean Deviation of 1.24 and Coefficient Of Variation of 294.91 to check if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

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.

Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Facebook has beta of 0.0 suggesting unless we do not have required data, the returns on DOW and Facebook are completely uncorrelated. Furthermore, FacebookIt does not look like Facebook alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Allowing for the 30-days total investment horizon, the coefficient of variation of Facebook is 296.85. The daily returns are destributed with a variance of 4.23 and standard deviation of 2.06. The mean deviation of Facebook is currently at 1.21. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=2.06
Ir
Information ratio =0.34

Actual Return Volatility

Facebook accepts 2.0575% volatility on return distribution over the 30 days horizon. DOW inherits 0.5761% 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

Below average

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

Facebook Investment Opportunity
Facebook has a volatility of 2.06 and is 3.55 times more volatile than DOW. 18% 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 18 (%) of all global equities and portfolios over the last 30 days.

Total Debt

Facebook Total Debt History

Total Debt

Volatility Indicators

Facebook Current Risk Indicators
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