Intel Risk Analysis And Volatility Evaluation

INTC -- USA Stock  

USD 51.98  0.26  0.50%

Macroaxis considers Intel to be not too risky. Intel holds Efficiency (Sharpe) Ratio of -0.0774 which attests that Intel had -0.0774% 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. Intel exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Intel Market Risk Adjusted Performance of 0.37 and Risk Adjusted Performance of 0.021386 to validate risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Intel Market Sensitivity

As returns on market increase, Intel returns are expected to increase less than the market. However during bear market, the loss on holding Intel will be expected to be smaller as well.
One Month Beta |Analyze Intel Demand Trend
Check current 30 days Intel correlation with market (DOW)
β = 0.2131
Intel Small BetaIntel Beta Legend

Intel Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Intel 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, Intel has beta of 0.2131 . This indicates as returns on market go up, Intel average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Intel Corporation will be expected to be much smaller as well. Additionally, Intel Corporation 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 Intel is -1291.93. The daily returns are destributed with a variance of 2.33 and standard deviation of 1.53. The mean deviation of Intel Corporation is currently at 1.19. For similar time horizon, the selected benchmark (DOW) has volatility of 0.6
α
Alpha over DOW
=0.11
β
Beta against DOW=0.21
σ
Overall volatility
=1.53
Ir
Information ratio =0.15

Actual Return Volatility

Intel Corporation inherits 1.5254% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5977% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Intel Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Slowly supersedes market

Investment Outlook

Intel Investment Opportunity
Intel Corporation has a volatility of 1.53 and is 2.55 times more volatile than DOW. 13% of all equities and portfolios are less risky than Intel. Compared to the overall equity markets, volatility of historical daily returns of Intel Corporation is lower than 13 (%) of all global equities and portfolios over the last 30 days. Use Intel Corporation to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Intel to be traded at $57.18 in 30 days. As returns on market increase, Intel returns are expected to increase less than the market. However during bear market, the loss on holding Intel will be expected to be smaller as well.

Intel correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Intel Corp. and equity matching DJI index in the same portfolio.
Please also check Risk vs Return Analysis. Please also try Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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