Alphabet Risk Analysis

Alphabet Inc -- USA Stock  

USD 1,165  9.06  0.78%

Macroaxis considers Alphabet not too risky given 1 month investment horizon. Alphabet Inc secures Sharpe Ratio (or Efficiency) of 0.6686 which signifies that Alphabet Inc had 0.6686% 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. By analyzing Alphabet Inc technical indicators you can presently evaluate if the expected return of 0.5169% is justified by implied risk. Please makes use of Alphabet Inc Coefficient Of Variation of 224.09, Risk Adjusted Performance of 0.2017 and Mean Deviation of 0.6565 to double-check if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Alphabet Market Sensitivity

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.
One Month Beta |Analyze Alphabet Inc Demand Trend
Check current 30 days Alphabet correlation with market (DOW)
β = 0.084
Alphabet Small BetaAlphabet Inc Beta Legend

Alphabet Inc Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Alphabet Inc 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 0.084 . 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 0.3228 implying that it can potentially generate 0.3228% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Alphabet is 149.56. The daily returns are destributed with a variance of 0.6 and standard deviation of 0.77. The mean deviation of Alphabet Inc is currently at 0.66. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44
α
Alpha over DOW
=0.32
β
Beta against DOW=0.084
σ
Overall volatility
=0.77
Ir
Information ratio =0.15

Actual Return Volatility

Alphabet Inc inherits 0.773% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.4629% 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

Very low

30 Days Economic Sensitivity

Barely shadows market

Total Liabilities

Alphabet Inc Total Liabilities History

Total Liabilities

Largest Trends

Alphabet Largest Period Trend

Investment Outlook

Alphabet Investment Opportunity
Alphabet Inc has a volatility of 0.77 and is 1.67 times more volatile than DOW. 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 $1281.36 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

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

Volatility Indicators

Alphabet Current Risk Indicators