Macroaxis considers Google not too risky. Google Inc
holds Efficiency (Sharpe) Ratio of -0.0321 which attests that Google Inc
had -0.0321% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining 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
. Google Inc exposes twenty-eight different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Google Market Risk Adjusted Performance
of (0.02) and Risk Adjusted Performance of (0.0061) to validate risk estimate we provide.
Projected Return Density against Market
Given the investment horizon of 30 days, Google has beta of 0.7979 . This indicates as returns on market go up, Google average 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. Additionally, Google 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
Given the investment horizon of 30 days, the coefficient of variation of Google is -3116.95. The daily returns are destributed with a variance of 0.65 and standard deviation of 0.8. The mean deviation of Google Inc is currently at 0.59. For similar time horizon, the selected benchmark (NYSE) has volatility of 0.48
Actual Return Volatility
Google Inc inherits 0.8042% risk (volatility on return distribution) over the 30 days horizon. NYSE inherits 0.4766% risk (volatility on return distribution) over the 30 days horizon.