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Google risk analysis

$625.61  6.98  1.10%
    
  
Summary
Performance
TechnicalsRecomendation
   Valuation
   Backtest
   Forecast
13.86 B
Macroaxis considers Google not too risky given 1 month investment horizon. Google Inc holds Efficiency (Sharpe) Ratio of 0.2328 which attests that Google Inc had 0.2328% 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. By evaluating Google Inc technical indicators you can presently evaluate if the expected return of 0.8767% is justified by implied risk. Please utilize Google Market Risk Adjusted Performance of 0.9076 and Risk Adjusted Performance of 0.1873 to validate if our risk estimates are consistent with your expectations.
Investment horizon:  
  30 Days    Login   to change

Projected Return Density against Market

Given the investment horizon of 30 days, Google has beta of 0.9656 . This indicates Google Inc market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Google is expected to follow. Moreover, Google Inc has an alpha of 0.8666 implying that it can potentially generate 0.8666% excess return over NYSE after adjusting for the inherited market risk (beta).
Predicted Return Density  
Benchmark  Embed   Returns 
Given the investment horizon of 30 days, the coefficient of variation of Google is 429.64. The daily returns are destributed with a variance of 14.19 and standard deviation of 3.77. The mean deviation of Google Inc is currently at 2.07. For similar time horizon, the selected benchmark (NYSE) has volatility of 0.77
αAlpha over NYSE= 0.87 
βBeta against NYSE= 0.97 
σOverall volatility= 3.77 
 iInformation ratio = 0.23 

Actual Return Volatility

Google Inc inherits 3.7668% risk (volatility on return distribution) over the 30 days horizon. NYSE inherits 0.7704% risk (volatility on return distribution) over the 30 days horizon.
Daily Returns (%)
Market   Equity   
Benchmark  Embed   Timeline 

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Very low

30 Days Economic Sensitivity

Almost mirrors market

Largest Period Trend Change

July 8, 2015
 521 
  
 517 

4.22

  

0.81%

Lowest period price (30 days)
July 17, 2015
 649 
  
 673 

23.93

  

3.69%

Highest period price (30 days)
Google Inc has a volatility of 3.77 and is 4.9 times more volatile than NYSE. 38% of all equities and portfolios are less risky than Google. Compared to the overall equity markets, volatility of historical daily returns of Google Inc is lower than 38 (%) of all global equities and portfolios over the last 30 days. Use Google Inc to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Google to be traded at $606.84 in 30 days. Google returns are very sensitive to returns on the market. As market goes up or down, Google is expected to follow.

Google correlation with market

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

Google Current Risk Indicators

Risk Adjusted Performance0.1873
Market Risk Adjusted Performance0.9076
Mean Deviation2.07
Coefficient Of Variation429.64
Standard Deviation3.77
Variance14.19
Information Ratio0.2301

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