Intel Risk Analysis And Volatility Evaluation

INTC -- USA Stock  

USD 44.97  1.94  4.51%

Macroaxis considers Intel to be not too volatile. Intel holds Efficiency (Sharpe) Ratio of -0.1513 which attests that Intel had -0.1513% 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 0.14 and Risk Adjusted Performance of 0.09 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

Intel Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Intel will likely underperform.
One Month Beta |Analyze Intel Demand Trend
Check current 30 days Intel correlation with market (DOW)
β = 1.3208
Intel Large 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.

Intel Projected Return Density Against Market

Given the investment horizon of 30 days, the stock has beta coefficient of 1.3208 . This indicates as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Intel will likely underperform. Moreover, Intel Corporation has an alpha of 0.0256 implying that it can potentially generate 0.0256% 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 Intel is -661.1. The daily returns are destributed with a variance of 5.14 and standard deviation of 2.27. The mean deviation of Intel Corporation is currently at 1.81. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.0256
β
Beta against DOW=1.32
σ
Overall volatility
=2.27
Ir
Information ratio =0.01

Intel Return Volatility

Intel Corporation inherits 2.2673% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.0175% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Intel Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

30 Days Economic Sensitivity

Responds to market

Investment Outlook

Intel Investment Opportunity

Intel Corporation has a volatility of 2.27 and is 2.23 times more volatile than DOW. 20% 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 20 (%) of all global equities and portfolios over the last 30 days. Use Intel Corporation to enhance returns of your portfolios. The stock experiences very speculative upward sentiment.. Check odds of Intel to be traded at $56.21 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Intel will likely underperform.

Intel correlation with market

Poor 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.

Intel Volatility Indicators

Intel Corporation Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.
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