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GOOG    FB    BIDU    YHOO    
Benchmark  United States  NYSE  11,005   46.541 Index Moved Down -0.42%  


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Google risk analysis Google risk analysis

1.30 times
Macroaxis considers Google not too risky given 1 month investment horizon. Google Inc holds Efficiency (Sharpe) Ratio of 0.4159 which attests that Google Inc had 0.4159% 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 utilize Google Market Risk Adjusted Performance of (1.39) and Risk Adjusted Performance of 0.2419 to validate if our risk estimates are consistent with your expectations.
Investment horizon:  
  30 Days    Login   to change

Projected Return Density against Market

Given the investment horizon of 30 days, Google Inc has beta of -0.3796 . 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. Moreover, Google Inc has an alpha of 0.5831 implying that it can potentially generate 0.5831% 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 Google is 240.44. The daily returns are destributed with a variance of 1.09 and standard deviation of 1.05. The mean deviation of Google Inc is currently at 0.85. For similar time horizon, the selected benchmark (NYSE) has volatility of 0.6
αAlpha over NYSE= 0.58 
βBeta against NYSE=(0.38)
σOverall volatility= 1.05 
 iInformation ratio = 0.29 

Actual Return Volatility

Google Inc inherits 1.0463% risk (volatility on return distribution) over the 30 days horizon. NYSE inherits 0.6005% 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

January 28, 2015
 523 
  
 510 

12.78

2.44%

Lowest period price (30 days)
March 3, 2015
 570 
  
 574 

3.19

0.56%

Highest period price (30 days)
Google Inc has a volatility of 1.05 and is 1.75 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 normal downward trend and little activity. Check odds of Google to be traded at $567.64 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

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 Performance0.2419
Market Risk Adjusted Performance(1.39)
Mean Deviation1.02
Coefficient Of Variation254.14
Standard Deviation1.38
Variance1.9
Information Ratio0.2901

Suggested Divercification Pairs

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