Wells Fargo Risk Analysis

Wells Fargo Company -- USA Stock  

USD 60.33  1.46  2.48%

Macroaxis considers Wells Fargo not too risky given 1 month investment horizon. Wells Fargo shows Sharpe Ratio of 0.4556 which attests that Wells Fargo had 0.4556% 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. By examining Wells Fargo technical indicators you can presently evaluate if the expected return of 0.5319% is justified by implied risk. Please utilize Wells Fargo Market Risk Adjusted Performance of 0.5557, Mean Deviation of 1.02 and Coefficient Of Variation of 225.51 to validate if our risk estimates are consistent with your expectations.
Investment Horizon     30 Days    Login   to change

Wells Fargo Market Sensitivity

Wells Fargo returns are very sensitive to returns on the market. As market goes up or down, Wells Fargo is expected to follow.
One Month Beta |Analyze Wells Fargo Demand Trend
Check current 30 days Wells Fargo correlation with market (DOW)
β = 0.9491
Wells Fargo llmost one 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 has beta of 0.9491 . This means Wells Fargo Company market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Wells Fargo is expected to follow. Moreover, Wells Fargo Company has an alpha of 0.3312 implying that it can potentially generate 0.3312% 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 219.51. The daily returns are destributed with a variance of 1.36 and standard deviation of 1.17. The mean deviation of Wells Fargo Company is currently at 1.01. For similar time horizon, the selected benchmark (DOW) has volatility of 0.49
α
Alpha over DOW
=0.33
βBeta against DOW=0.95
σ
Overall volatility
=1.17
 IrInformation ratio =0.27

Actual Return Volatility

Wells Fargo Company has volatility of 1.1676% on return distribution over 30 days investment horizon. DOW inherits 0.5042% 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

Almost mirrors 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 1.17 and is 2.34 times more volatile than DOW. 10% 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 10 (%) of all global equities and portfolios over the last 30 days. Use Wells Fargo Company to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of Wells Fargo to be traded at $72.4 in 30 days. Wells Fargo returns are very sensitive to returns on the market. As market goes up or down, Wells Fargo is expected to follow.

Wells Fargo correlation with market

Weak 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.