Alphabet Risk Analysis

We consider Alphabet not too risky. Alphabet Inc secures Sharpe Ratio (or Efficiency) of 0.1151 which signifies that Alphabet Inc had 0.1151% 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 confirm Alphabet Inc Downside Deviation of 0.9019, Risk Adjusted Performance of 0.1139 and Mean Deviation of 0.5993 to double-check if risk estimate we provide are consistent with the epected return of 0.0981%.
Investment Horizon     30 Days    Login   to change

Projected Return Density Against Market

Given the investment horizon of 30 days, Alphabet has beta of 0.7657 . 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 0.1224 implying that it can potentially generate 0.1224% 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 869.16. The daily returns are destributed with a variance of 0.73 and standard deviation of 0.85. The mean deviation of Alphabet Inc is currently at 0.64. For similar time horizon, the selected benchmark (NYSE) has volatility of 0.9
Alpha over NYSE
= 0.12 
βBeta against NYSE= 0.77 
Overall volatility
= 0.85 
 IrInformation ratio = 0.16 

Actual Return Volatility

Alphabet Inc inherits 0.8528% risk (volatility on return distribution) over the 30 days horizon. NYSE inherits 0.9315% risk (volatility on return distribution) over the 30 days horizon.
 Daily Returns (%)