Alphabet Risk Analysis

  
Macroaxis considers Alphabet to be not too risky. Alphabet Inc secures Sharpe Ratio (or Efficiency) of -0.3909 which signifies that Alphabet Inc had -0.3909% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing 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. Alphabet Inc exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Alphabet Inc Risk Adjusted Performance of (0.34) and Mean Deviation of 0.8598 to double-check risk estimate we provide.
Investment Horizon     30 Days    Login   to change

Projected Return Density Against Market

Given the investment horizon of 30 days, Alphabet Inc has beta of -0.0653 . This indicates as returns on benchmark increase, returns on holding Alphabet are expected to decrease at a much smaller rate. During bear market, however, Alphabet Inc is likely to outperform the market. Additionally, Alphabet Inc has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming NYSE
 Predicted Return Density 
Benchmark  Embed   Returns 
Given the investment horizon of 30 days, the coefficient of variation of Alphabet is -255.85. The daily returns are destributed with a variance of 1.33 and standard deviation of 1.15. The mean deviation of Alphabet Inc is currently at 0.83. For similar time horizon, the selected benchmark (NYSE) has volatility of 1.12
α
Alpha over NYSE
=(0.38)
βBeta against NYSE=(0.07)
σ
Overall volatility
= 1.15 
 IrInformation ratio =(0.21)

Actual Return Volatility

Alphabet Inc inherits 1.1526% risk (volatility on return distribution) over the 30 days horizon. NYSE inherits 1.248% risk (volatility on return distribution) over the 30 days horizon.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Very low

30 Days Economic Sensitivity

Indifferent to market move
Largest Trends
Alphabet Largest Period Trend
 671.00 
  
 668.26 
2.74  0.41%
Lowest period price (30 days)
 731.74 
  
 735.72 
3.98  0.54%
Highest period price (30 days)
Investment Outlook
Alphabet Investment Opportunity
NYSE has a standard deviation of returns of 1.25 and is 1.09 times more volatile than Alphabet Inc. 10% of all equities and portfolios are less risky than Alphabet. Compared to the overall equity markets, volatility of historical daily returns of Alphabet Inc is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use Alphabet Inc to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Alphabet to be traded at $648.21 in 30 days. As returns on market increase, returns on owning Alphabet are expected to decrease at a much smaller rate. During bear market, Alphabet is likely to outperform the market.

Alphabet correlation with market

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