Macroaxis: Personalized Investing

Personalized Investing and

Digital Wealth Optimization

GOOG    FB    BIDU    JD    Benchmark  United States  NYSE  11,058   111.2969  -0.9964% 


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Google risk analysis  

$524.05  9.75  1.83%
    
Macroaxis considers Google to be not too risky. Google Inc holds Efficiency (Sharpe) Ratio of -0.3316 which attests that Google Inc had -0.3316% 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 0.6876 and Risk Adjusted Performance of (0.18) to validate risk estimate we provide.
Investment horizon:  
  30 Days    Login   to change

Projected Return Density against Market

Given the investment horizon of 30 days, Google Inc has beta of -0.4467 . This indicates as returns on benchmark increase, returns on holding Google are expected to decrease at a much smaller rate. During bear market, however, Google Inc is likely to outperform the market. 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  
Benchmark  Embed   Returns 
Given the investment horizon of 30 days, the coefficient of variation of Google is -301.55. The daily returns are destributed with a variance of 0.99 and standard deviation of 0.99. The mean deviation of Google Inc is currently at 0.77. For similar time horizon, the selected benchmark (NYSE) has volatility of 0.61
αAlpha over NYSE=(0.28)
βBeta against NYSE=(0.45)
σOverall volatility= 0.99 
 iInformation ratio =(0.36)

Actual Return Volatility

Google Inc inherits 0.9942% risk (volatility on return distribution) over the 30 days horizon. NYSE inherits 0.5605% risk (volatility on return distribution) over the 30 days horizon.
Daily Returns (%)
Market   Equity   
Benchmark  Embed   Timeline 

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Very low

30 Days Economic Sensitivity

Almost neglects market

Largest Period Trend Change

April 17, 2015
 529 
  
 524 

4.61

  

0.87%

Lowest period price (30 days)
March 24, 2015
 563 
  
 570 

7.63

  

1.36%

Highest period price (30 days)
Google Inc has a volatility of 0.99 and is 1.77 times more volatile than NYSE. 10% 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 10 (%) of all global equities and portfolios over the last 30 days. Use Google Inc to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Google to be traded at $508.33 in 30 days. As returns on market increase, returns on owning Google are expected to decrease at a much smaller rate. During bear market, Google is likely to outperform the market.

Google correlation with market

Very good 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

Risk Adjusted Performance(0.18)
Market Risk Adjusted Performance0.6876
Mean Deviation0.7281
Coefficient Of Variation(327.73)
Standard Deviation0.9592
Variance0.9201
Information Ratio(0.36)

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