Facebook Risk Analysis

Facebook Inc -- USA Stock  

USD 179.96  2.60  1.47%

Macroaxis considers Facebook to be not too risky. Facebook Inc secures Sharpe Ratio (or Efficiency) of -0.0318 which denotes Facebook Inc had -0.0318% 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 Inc exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Facebook Inc Mean Deviation of 1.86 to check risk estimate we provide.
 Time 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 (DOW)
β = 1.0129
Facebook llmost one 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, the stock has beta coefficient of 1.0129 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 0.0938 implying that it can potentially generate 0.0938% 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 -3140.64. The daily returns are destributed with a variance of 5.78 and standard deviation of 2.4. The mean deviation of Facebook Inc is currently at 1.91. For similar time horizon, the selected benchmark (DOW) has volatility of 1.71
α
Alpha over DOW
=0.0938
β
Beta against DOW=1.01
σ
Overall volatility
=2.40
Ir
Information ratio =0.0391

Actual Return Volatility

Facebook Inc accepts 2.405% volatility on return distribution over the 30 days horizon. DOW inherits 1.7052% 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

Almost mirrors market

Total Debt

Facebook Inc Total Debt History

Total Debt

Largest Trends

Facebook Largest Period Trend
 181.01 
  
 171.55 
9.46  5.23%
Lowest period price (30 days)
 188.22 
  
 193.09 
4.87  2.59%
Highest period price (30 days)

Investment Outlook

Facebook Investment Opportunity
Facebook Inc has a volatility of 2.4 and is 1.4 times more volatile than DOW. 22% 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 22 (%) of all global equities and portfolios over the last 30 days. Use Facebook Inc to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Facebook to be traded at $197.96 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

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.

Volatility Indicators

Facebook Current Risk Indicators