Alphabet Risk Analysis And Volatility Evaluation

GOOG -- USA Stock  

USD 1,066  13.22  1.22%

We consider Alphabet not too risky. Alphabet secures Sharpe Ratio (or Efficiency) of 0.0409 which signifies that Alphabet had 0.0409% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing 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-one technical indicators for Alphabet which you can use to evaluate future volatility of the firm. Please confirm Alphabet Downside Deviation of 1.8, Risk Adjusted Performance of 0.01 and Mean Deviation of 1.12 to double-check if risk estimate we provide are consistent with the epected return of 0.0666%.
 Time Horizon     30 Days    Login   to change

Alphabet Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Alphabet Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Given the investment horizon of 30 days, Alphabet has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and Alphabet are completely uncorrelated. Furthermore, AlphabetIt does not look like Alphabet alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Alphabet is 2447.94. The daily returns are destributed with a variance of 2.65 and standard deviation of 1.63. The mean deviation of Alphabet is currently at 1.15. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=1.63
Ir
Information ratio =0.0252

Actual Return Volatility

Alphabet inherits 1.6293% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.4392% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Alphabet Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

Alphabet Investment Opportunity
Alphabet has a volatility of 1.63 and is 1.13 times more volatile than DOW. 15% of all equities and portfolios are less risky than Alphabet. Compared to the overall equity markets, volatility of historical daily returns of Alphabet is lower than 15 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

Alphabet Current Risk Indicators
Please also check Risk vs Return Analysis. Please also try Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.