Intel Risk Analysis

Intel Corporation -- USA Stock  

USD 51.10  0.28  0.55%

We consider Intel not too volatile. Intel holds Efficiency (Sharpe) Ratio of 0.0572 which attests that Intel had 0.0572% of return per unit of risk over the last 2 months. Our philosophy towards determining 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 Intel which you can use to evaluate future volatility of the corporation. Please check out Intel Downside Deviation of 2.45, Market Risk Adjusted Performance of 0.7456 and Risk Adjusted Performance of 0.2016 to validate if risk estimate we provide are consistent with the epected return of 0.1347%.
 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.
2 Months Beta |Analyze Intel Demand Trend
Check current 30 days Intel correlation with market (DOW)
β = 0.3807
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 thirty-nine. 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 0.3807 . 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. Moreover, Intel Corporation has an alpha of 0.2923 implying that it can potentially generate 0.2923% 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 1748.97. The daily returns are destributed with a variance of 5.55 and standard deviation of 2.36. The mean deviation of Intel Corporation is currently at 1.8. For similar time horizon, the selected benchmark (DOW) has volatility of 1.65
α
Alpha over DOW
=0.29
β
Beta against DOW=0.38
σ
Overall volatility
=2.36
Ir
Information ratio =0.13

Actual Return Volatility

Intel Corporation inherits 2.3552% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.4149% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Intel Volatility Factors

60 Days Market Risk

Not too volatile

Chance of Distress in 24 months

60 Days Economic Sensitivity

Slowly supersedes market

Total Debt

Intel Total Debt History

Total Debt

Investment Outlook

Intel Investment Opportunity
Intel Corporation has a volatility of 2.36 and is 1.67 times more volatile than DOW. 21% 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 21 (%) of all global equities and portfolios over the last 30 days. Use Intel Corporation to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Intel to be traded at $50.08 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

Modest 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 Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.