Macroaxis considers Google relatively not risky given 1 month investment horizon. Google Inc
holds Efficiency (Sharpe) Ratio of 0.43 which attests that Google Inc
had 0.43% of return per unit of risk over the last 1 month. Our philosophy towards determining 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-seven technical indicators
for Google Inc which you can use to evaluate future volatility of the corporation. Please utilizes Google Coefficient Of Variation
of 234.74, Market Risk Adjusted Performance
of 0.4124 and Risk Adjusted Performance
of 0.2017 to validate if our risk estimates are consistent with your expectations.
Projected Return Density against Market
Given investment horizon of 30 days, Google has beta of 0.77 . This indicates as returns on market go up, Google avarage returns are expected to increase less than the benchmark. However during bear market, the loss on holding Google Inc will be expected to be much smaller as well. Moreover, Google Inc has alpha of 0.2415 implying that it can potentially generate 0.2415% excess return over S&P 500 after adjusting for the inherited market risk (beta).
Predicted Return Density
Given investment horizon of 30 days, the coefficient of variation of Google is 234.74. The daily returns are destributed with a variance of 0.56 and standard deviation of 0.75. The mean deviation of Google Inc is currently at 0.61. For similar time horizon, the selected benchmark (S&P 500) has volatility of 0.46
Actual Return Volatility
Google Inc inherits 0.75% risk (volatility on return distribution) over the 30 days horizon. S&P 500 shows 0.46% volatility of returns over 30 trading days.