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Google risk analysis

$523.4  1.56  0.30%
    
  
Summary
Performance
FundamentalsTechnicalsRecomendation
   Valuation
   Backtest
   Forecast
24.90 times
Macroaxis considers Google to be not too risky. Google Inc holds Efficiency (Sharpe) Ratio of -0.1703 which attests that Google Inc had -0.1703% 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 (0.11) and Risk Adjusted Performance of (0.10) 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 has beta of 0.9721 . This indicates Google Inc market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Google is expected to follow. 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 -587.35. The daily returns are destributed with a variance of 0.63 and standard deviation of 0.79. The mean deviation of Google Inc is currently at 0.57. For similar time horizon, the selected benchmark (NYSE) has volatility of 0.71
αAlpha over NYSE=(0.06)
βBeta against NYSE= 0.97 
σOverall volatility= 0.79 
 iInformation ratio =(0.07)

Actual Return Volatility

Google Inc inherits 0.7938% risk (volatility on return distribution) over the 30 days horizon. NYSE inherits 0.7203% 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

Almost imposible

30 Days Economic Sensitivity

Almost mirrors market

Largest Period Trend Change

June 30, 2015
 526 
  
 521 

5.51

  

1.05%

Lowest period price (30 days)
June 23, 2015
 540 
  
 540 

0.84

  

0.16%

Highest period price (30 days)
Google Inc has a volatility of 0.79 and is 1.1 times more volatile than NYSE. 8% of all equities and portfolios are less risky than Google. Compared to the overall equity markets, volatility of historical daily returns of Google Inc is lower than 8 (%) of all global equities and portfolios over the last 30 days. Use Google Inc to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of Google to be traded at $549.57 in 30 days. Google returns are very sensitive to returns on the market. As market goes up or down, Google is expected to follow.

Google correlation with market

Very poor 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(0.10)
Market Risk Adjusted Performance(0.11)
Mean Deviation0.5688
Coefficient Of Variation(725)
Standard Deviation0.8037
Variance0.646
Information Ratio(0.07)

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