Wells Fargo Risk Analysis And Volatility Evaluation

WFC -- USA Stock  

USD 46.54  0.49  1.04%

Macroaxis considers Wells Fargo to be not too risky. Wells Fargo shows Sharpe Ratio of -0.2405 which attests that Wells Fargo had -0.2405% of return per unit of risk over the last 2 months. 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. Wells Fargo exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Wells Fargo Market Risk Adjusted Performance of (0.32) and Mean Deviation of 1.2 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

Wells Fargo Market Sensitivity

As returns on market increase, Wells Fargo returns are expected to increase less than the market. However during bear market, the loss on holding Wells Fargo will be expected to be smaller as well.
2 Months Beta |Analyze Wells Fargo Demand Trend
Check current 30 days Wells Fargo correlation with market (DOW)
β = 0.7754

Wells Fargo Central Daily Price Deviation

Wells Fargo Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. 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 avgprice price transform indicator.

Wells Fargo Projected Return Density Against Market

Considering 30-days investment horizon, Wells Fargo has beta of 0.7754 . This means as returns on market go up, Wells Fargo average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Wells Fargo Company will be expected to be much smaller as well. Additionally, Wells Fargo Company 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 
Considering 30-days investment horizon, the coefficient of variation of Wells Fargo is -415.84. The daily returns are destributed with a variance of 2.27 and standard deviation of 1.51. The mean deviation of Wells Fargo Company is currently at 1.15. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.17
β
Beta against DOW=0.78
σ
Overall volatility
=1.51
Ir
Information ratio =0.09

Wells Fargo Return Volatility

Wells Fargo Company has volatility of 1.5067% on return distribution over 30 days investment horizon. DOW inherits 1.2919% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Wells Fargo Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

About average

60 Days Economic Sensitivity

Follows market closely

Investment Outlook

Wells Fargo Investment Opportunity

Wells Fargo Company has a volatility of 1.51 and is 1.17 times more volatile than DOW. 13% 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 13 (%) of all global equities and portfolios over the last 30 days. Use Wells Fargo Company to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Wells Fargo to be traded at $45.14 in 30 days. As returns on market increase, Wells Fargo returns are expected to increase less than the market. However during bear market, the loss on holding Wells Fargo will be expected to be smaller as well.

Wells Fargo correlation with market

correlation synergy
Poor 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.

Wells Fargo Volatility Indicators

Wells Fargo Company Current Risk Indicators

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