Facebook Risk Analysis

We consider Facebook not too risky. Facebook Inc secures Sharpe Ratio (or Efficiency) of 0.083 which denotes Facebook Inc had 0.083% 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. We have found twenty-one technical indicators for Facebook Inc which you can use to evaluate future volatility of the firm. Please confirm Facebook Inc Semi Deviation of 1.0, Mean Deviation of 0.6455 and Downside Deviation of 1.16 to check if risk estimate we provide are consistent with the epected return of 0.0857%.
Investment 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.
One Month Beta |Analyze Facebook Inc Demand Trend
Check current 30 days Facebook correlation with market (NYSE)
β = 0.9694
Facebook llmost one BetaFacebook Inc Beta Legend

Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Facebook has beta of 0.9694 suggesting Facebook Inc market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Facebook is expected to follow. Moreover, Facebook Inc has an alpha of 0.0565 implying that it can potentially generate 0.0565% excess return over NYSE after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Allowing for the 30-days total investment horizon, the coefficient of variation of Facebook is 1205.33. The daily returns are destributed with a variance of 1.07 and standard deviation of 1.03. The mean deviation of Facebook Inc is currently at 0.65. For similar time horizon, the selected benchmark (NYSE) has volatility of 0.5
α
Alpha over NYSE
= 0.06 
βBeta against NYSE= 0.97 
σ
Overall volatility
= 1.03 
 IrInformation ratio = 0.05 

Actual Return Volatility

Facebook Inc accepts 1.0328% volatility on return distribution over the 30 days horizon. NYSE inherits 0.4998% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Almost mirrors market

Total Debt

Facebook Inc Total Debt History

Total Debt

Largest Trends

Facebook Largest Period Trend
 148.00 
  
 144.85 
3.15  2.13%
Lowest period price (30 days)
 153.34 
  
 152.78 
0.56  0.37%
Highest period price (30 days)

Investment Outlook

Facebook Investment Opportunity
Facebook Inc has a volatility of 1.03 and is 2.06 times more volatile than NYSE. 10% of all equities and portfolios are less risky than Facebook. Compared to the overall equity markets, volatility of historical daily returns of Facebook Inc is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use Facebook Inc to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Facebook to be traded at $146.59 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

Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Facebook Inc. and equity matching NYA index in the same portfolio.