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GOOG FB BIDU YHOO 
Benchmark  United States  NYSE  11,026   87.767 Index Moved Up 0.8%  


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Google risk analysis Google risk analysis

   

Google Inc

Stock@NASDAQ 
United States USD
    
0.3071
 
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.
change horizon
Investment horizon:  
  30 Days    Login   to change

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
 
Change Benchmark  Embed   Returns 
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
αAlpha over NYSE=(0.17)
βBeta against NYSE= 0.80 
σOverall volatility= 0.80 
 iInformation ratio =(0.26)

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.
Daily Returns (%)
Market   Equity   
 
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30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Follows market closely

Largest Period Trend Change

November 20, 2014
 531 
  
 535 
3.580.67%
Lowest period price (30 days)
October 31, 2014
 559 
  
 559 
0.270.05%
Highest period price (30 days)
Google Inc has a volatility of 0.8 and is 1.67 times more volatile than NYSE. 8% of all equities and portfolios are less risky than Google. Compared with the overall equity markets, volatility of historical daily returns of Google Inc is lower than 8 (%) of all global equities and portfolios over the last 30 days. Use Google Inc to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Google to be traded at $591.25 in 30 days. As returns on market increase, Google returns are expected to increase less than the market. However during bear market, the loss on holding Google will be expected to be smaller as well.

Google correlation with market

Very weak 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

Suggested Divercification Pairs


 

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