Alphabet Risk Analysis

Alphabet -- USA Stock  

USD 1,021  1.20  0.12%

Macroaxis considers Alphabet to be not too risky. Alphabet secures Sharpe Ratio (or Efficiency) of -0.1259 which signifies that Alphabet had -0.1259% of return per unit of risk over the last 2 months. 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 0.13 and Mean Deviation of 1.56 to double-check risk estimate we provide.
 Time 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.
2 Months Beta |Analyze Alphabet Demand Trend
Check current 30 days Alphabet correlation with market (DOW)
β = 0.1613
Alphabet Small BetaAlphabet Beta Legend

Alphabet Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. 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 0.1613 . 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 will be expected to be much smaller as well. 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 -794.03. The daily returns are destributed with a variance of 3.94 and standard deviation of 1.99. The mean deviation of Alphabet is currently at 1.57. For similar time horizon, the selected benchmark (DOW) has volatility of 1.65
α
Alpha over DOW
=0.17
β
Beta against DOW=0.16
σ
Overall volatility
=1.99
Ir
Information ratio =0.07

Actual Return Volatility

Alphabet inherits 1.986% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.4209% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Alphabet Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Barely shadows market

Investment Outlook

Alphabet Investment Opportunity
Alphabet has a volatility of 1.99 and is 1.4 times more volatile than DOW. 18% 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 18 (%) 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 $1072.24 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

Average 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 Focused Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.