Facebook Risk Analysis

Facebook Inc -- USA Stock  

USD 180.87  0.99  0.54%

Macroaxis considers Facebook not too risky given 1 month investment horizon. Facebook Inc secures Sharpe Ratio (or Efficiency) of 0.1965 which denotes Facebook Inc had 0.1965% 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-eight technical indicators for Facebook Inc which you can use to evaluate future volatility of the firm. Please utilize Facebook Inc Semi Deviation of 0.3502, Mean Deviation of 0.7938 and Downside Deviation of 0.7924 to check if our risk estimates are consistent with your expectations.
Investment 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.
One Month Beta |Analyze Facebook Inc Demand Trend
Check current 30 days Facebook correlation with market (DOW)
β = -0.041
Facebook Almost negative betaFacebook Inc Beta Legend

Facebook Inc Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Facebook Inc 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 Inc has beta of -0.041 suggesting as returns on benchmark increase, returns on holding Facebook are expected to decrease at a much smaller rate. During bear market, however, Facebook Inc is likely to outperform the market. Moreover, Facebook Inc has an alpha of 0.233 implying that it can potentially generate 0.233% excess return over DOW 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 508.9. The daily returns are destributed with a variance of 1.37 and standard deviation of 1.17. The mean deviation of Facebook Inc is currently at 0.76. For similar time horizon, the selected benchmark (DOW) has volatility of 0.38
α
Alpha over DOW
=0.23
βBeta against DOW=0.04
σ
Overall volatility
=1.17
 IrInformation ratio =0.15

Actual Return Volatility

Facebook Inc accepts 1.1726% volatility on return distribution over the 30 days horizon. DOW inherits 0.3548% 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

Indifferent to market move

Total Debt

Facebook Inc Total Debt History

Total Debt

Largest Trends

Facebook Largest Period Trend
 176.66 
  
 177.95 
1.29  0.73%
Lowest period price (30 days)
 182.36 
  
 182.66 
0.3  0.16%
Highest period price (30 days)

Investment Outlook

Facebook Investment Opportunity
Facebook Inc has a volatility of 1.17 and is 3.34 times more volatile than DOW. 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 moderate downward daily trend and can be a good diversifier. Check odds of Facebook to be traded at $177.25 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

Good 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.