Alphabet Risk Analysis

  
Macroaxis considers Alphabet not too risky given 1 month investment horizon. Alphabet Inc secures Sharpe Ratio (or Efficiency) of 0.5639 which signifies that Alphabet Inc had 0.5639% 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-eight technical indicators for Alphabet Inc which you can use to evaluate future volatility of the firm. Please makes use of Alphabet Inc Downside Deviation of 1.66, Risk Adjusted Performance of 0.3308 and Mean Deviation of 0.8364 to double-check 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, Alphabet has beta of 0.7747 . This indicates as returns on market go up, Alphabet average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Alphabet Inc will be expected to be much smaller as well. Moreover, Alphabet Inc has an alpha of 0.1741 implying that it can potentially generate 0.1741% 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 Alphabet is 177.33. The daily returns are destributed with a variance of 0.66 and standard deviation of 0.81. The mean deviation of Alphabet Inc is currently at 0.64. For similar time horizon, the selected benchmark (NYSE) has volatility of 1.37
α
Alpha over NYSE
= 0.17 
βBeta against NYSE= 0.77 
σ
Overall volatility
= 0.81 
 IrInformation ratio = 0.12 

Actual Return Volatility

Alphabet Inc inherits 0.8122% risk (volatility on return distribution) over the 30 days horizon. NYSE inherits 0.9176% risk (volatility on return distribution) over the 30 days horizon.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Follows market closely
Largest Trends
Alphabet Largest Period Trend
 671.00 
  
 668.26 
2.74  0.41%
Lowest period price (30 days)
 741.86 
  
 742.74 
0.88  0.12%
Highest period price (30 days)
Investment Outlook
Alphabet Investment Opportunity
NYSE has a standard deviation of returns of 0.92 and is 1.14 times more volatile than Alphabet Inc. 7% of all equities and portfolios are less risky than Alphabet. Compared to the overall equity markets, volatility of historical daily returns of Alphabet Inc is lower than 7 (%) of all global equities and portfolios over the last 30 days. Use Alphabet Inc to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Alphabet to be traded at $817.01 in 30 days. As returns on market increase, Alphabet returns are expected to increase less than the market. However during bear market, the loss on holding Alphabet will be expected to be smaller as well.

Alphabet correlation with market

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