Alphabet Risk Analysis And Volatility Evaluation

GOOG -- USA Stock  

USD 1,096  8.49  0.78%

Macroaxis considers Alphabet to be not too risky. Alphabet secures Sharpe Ratio (or Efficiency) of -0.1638 which signifies that Alphabet had -0.1638% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing 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. Alphabet exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Alphabet Risk Adjusted Performance of 0.17 and Mean Deviation of 1.19 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

Alphabet Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Alphabet will likely underperform.
One Month Beta |Analyze Alphabet Demand Trend
Check current 30 days Alphabet correlation with market (DOW)
β = 1.1826
Alphabet Large BetaAlphabet Beta Legend

Alphabet Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Alphabet 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.

Alphabet Projected Return Density Against Market

Given the investment horizon of 30 days, the stock has beta coefficient of 1.1826 . This indicates as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Alphabet will likely underperform. Additionally, Alphabet has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Alphabet is -610.52. The daily returns are destributed with a variance of 3.01 and standard deviation of 1.74. The mean deviation of Alphabet is currently at 1.19. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.09
β
Beta against DOW=1.18
σ
Overall volatility
=1.74
Ir
Information ratio =0.07

Alphabet Return Volatility

Alphabet inherits 1.7359% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.0635% 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

Close to average

30 Days Economic Sensitivity

Almost mirrors market

Investment Outlook

Alphabet Investment Opportunity

Alphabet has a volatility of 1.74 and is 1.64 times more volatile than DOW. 15% of all equities and portfolios are less risky than Alphabet. Compared to the overall equity markets, volatility of historical daily returns of Alphabet is lower than 15 (%) of all global equities and portfolios over the last 30 days. Use Alphabet to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Alphabet to be traded at $1206.11 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Alphabet will likely underperform.

Alphabet correlation with market

Poor 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.

Alphabet Volatility Indicators

Alphabet Current Risk Indicators

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