Wells Fargo Risk Analysis

Wells Fargo Company -- USA Stock  

USD 64.49  0.24  0.37%

Macroaxis considers Wells Fargo not too risky given 1 month investment horizon. Wells Fargo shows Sharpe Ratio of 0.3301 which attests that Wells Fargo had 0.3301% of return per unit of risk over the last 1 month. 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 Wells Fargo which you can use to evaluate future volatility of the organization. Please utilize Wells Fargo Market Risk Adjusted Performance of (0.47), Mean Deviation of 0.7293 and Downside Deviation of 0.6713 to validate if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Wells Fargo Market Sensitivity

As returns on market increase, returns on owning Wells Fargo are expected to decrease at a much smaller rate. During bear market, Wells Fargo is likely to outperform the market.
One Month Beta |Analyze Wells Fargo Demand Trend
Check current 30 days Wells Fargo correlation with market (DOW)
β = -0.646
Wells Fargo Almost negative betaWells Fargo Beta Legend

Wells Fargo Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Wells Fargo 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

Considering 30-days investment horizon, Wells Fargo Company has beta of -0.646 . This means as returns on benchmark increase, returns on holding Wells Fargo are expected to decrease at a much smaller rate. During bear market, however, Wells Fargo Company is likely to outperform the market. Moreover, Wells Fargo Company has an alpha of 0.4747 implying that it can potentially generate 0.4747% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of Wells Fargo is 302.9. The daily returns are destributed with a variance of 0.67 and standard deviation of 0.82. The mean deviation of Wells Fargo Company is currently at 0.64. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44
α
Alpha over DOW
=0.47
β
Beta against DOW=0.65
σ
Overall volatility
=0.82
Ir
Information ratio =0.0644

Actual Return Volatility

Wells Fargo Company has volatility of 0.8211% on return distribution over 30 days investment horizon. DOW inherits 0.4537% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Wells Fargo Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Slightly opposite to market

Total Debt

Wells Fargo Total Debt History

Total Debt

Largest Trends

Wells Fargo Largest Period Trend

Investment Outlook

Wells Fargo Investment Opportunity
Wells Fargo Company has a volatility of 0.82 and is 1.82 times more volatile than DOW. 7% of all equities and portfolios are less risky than Wells Fargo. Compared to the overall equity markets, volatility of historical daily returns of Wells Fargo Company is lower than 7 (%) of all global equities and portfolios over the last 30 days. Use Wells Fargo Company to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Wells Fargo to be traded at $63.85 in 30 days. As returns on market increase, returns on owning Wells Fargo are expected to decrease at a much smaller rate. During bear market, Wells Fargo is likely to outperform the market.

Wells Fargo correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Wells Fargo Company and equity matching DJI index in the same portfolio.

Volatility Indicators

Wells Fargo Current Risk Indicators