We consider Google not too risky. Google Inc
holds Efficiency (Sharpe) Ratio of 0.1362 which attests that Google Inc
had 0.1362% 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. We have found twenty-eight technical indicators
for Google Inc which you can use to evaluate future volatility of the corporation. Please check out Google Market Risk Adjusted Performance
of 0.206 and Risk Adjusted Performance
of 0.0491 to validate if risk estimate we provide are consistent with the epected return of 0.1056%.
Projected Return Density against Market
Given the investment horizon of 30 days, Google has beta of 0.4187 . 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. Moreover, Google Inc has an alpha of 0.079 implying that it can potentially generate 0.079% excess return over NYSE after adjusting for the inherited market risk (beta).
Given the investment horizon of 30 days, the coefficient of variation of Google is 734.14. The daily returns are destributed with a variance of 0.6 and standard deviation of 0.77. The mean deviation of Google Inc is currently at 0.65. For similar time horizon, the selected benchmark (NYSE) has volatility of 0.36
Actual Return Volatility
Google Inc inherits 0.7749% risk (volatility on return distribution) over the 30 days horizon. NYSE inherits 0.365% risk (volatility on return distribution) over the 30 days horizon.