Alphabet Risk Analysis

Alphabet Inc -- USA Stock  

USD 974.13  14.07  1.42%

Macroaxis considers Alphabet not too risky given 1 month investment horizon. Alphabet Inc secures Sharpe Ratio (or Efficiency) of 0.4188 which signifies that Alphabet Inc had 0.4188% 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-seven technical indicators for Alphabet Inc which you can use to evaluate future volatility of the firm. Please makes use of Alphabet Inc Coefficient Of Variation of 315.03, Risk Adjusted Performance of 0.0929 and Mean Deviation of 0.6443 to double-check if our risk estimates are consistent with your expectations.
Investment 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 = 0.6982
Alphabet Small BetaAlphabet Inc Beta Legend

Projected Return Density Against Market

Given the investment horizon of 30 days, Alphabet has beta of 0.6982 . 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 0.1296 implying that it can potentially generate 0.1296% 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 238.78. The daily returns are destributed with a variance of 0.66 and standard deviation of 0.81. The mean deviation of Alphabet Inc is currently at 0.61. For similar time horizon, the selected benchmark (DOW) has volatility of 0.27
α
Alpha over DOW
=0.13
βBeta against DOW=0.7
σ
Overall volatility
=0.81
 IrInformation ratio =0.088

Actual Return Volatility

Alphabet Inc inherits 0.8134% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2576% 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

Below average

30 Days Economic Sensitivity

Follows market closely

Largest Trends

Alphabet Largest Period Trend

Investment Outlook

Alphabet Investment Opportunity
Alphabet Inc has a volatility of 0.81 and is 3.12 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 protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Alphabet to be traded at $944.91 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

Modest 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