Alphabet Risk Analysis And Volatility Evaluation

GOOG -- USA Stock  

USD 1,187  2.05  0.17%

We consider Alphabet not too risky. Alphabet secures Sharpe Ratio (or Efficiency) of 0.1004 which signifies that Alphabet had 0.1004% 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-one technical indicators for Alphabet which you can use to evaluate future volatility of the firm. Please confirm Alphabet Downside Deviation of 1.25, Risk Adjusted Performance of 0.0311 and Mean Deviation of 0.9451 to double-check if risk estimate we provide are consistent with the epected return of 0.1275%.
 Time Horizon     30 Days    Login   to change

Alphabet Market Sensitivity

As returns on market increase, returns on owning Alphabet are expected to decrease at a much smaller rate. During bear market, Alphabet is likely to outperform the market.
One Month Beta |Analyze Alphabet Demand Trend
Check current 30 days Alphabet correlation with market (DOW)
β = -0.5847
Alphabet Almost negative 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.

Projected Return Density Against Market

Given the investment horizon of 30 days, Alphabet has beta of -0.5847 . This indicates as returns on benchmark increase, returns on holding Alphabet are expected to decrease at a much smaller rate. During bear market, however, Alphabet is likely to outperform the market. Moreover, Alphabet has an alpha of 0.1119 implying that it can potentially generate 0.1119% 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 995.64. The daily returns are destributed with a variance of 1.61 and standard deviation of 1.27. The mean deviation of Alphabet is currently at 0.93. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.11
β
Beta against DOW=0.58
σ
Overall volatility
=1.27
Ir
Information ratio =0.03

Actual Return Volatility

Alphabet inherits 1.2698% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5701% 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

Almost imposible

30 Days Economic Sensitivity

Slightly opposite to market

Investment Outlook

Alphabet Investment Opportunity
Alphabet has a volatility of 1.27 and is 2.23 times more volatile than DOW. 11% 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 11 (%) of all global equities and portfolios over the last 30 days. Use Alphabet to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of Alphabet to be traded at $1246.31 in 30 days. As returns on market increase, returns on owning Alphabet are expected to decrease at a much smaller rate. During bear market, Alphabet is likely to outperform the market.

Alphabet correlation with market

Very good 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.
Please also check Risk vs Return Analysis. Please also try Premium Stories module to follow macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.
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