Wells Fargo Risk Analysis

Wells Fargo Company -- USA Stock  

USD 59.95  0.07  0.12%

Macroaxis considers Wells Fargo to be not too volatile. Wells Fargo shows Sharpe Ratio of -0.1304 which attests that Wells Fargo had -0.1304% 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. Wells Fargo exposes twenty-one 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 0.25 and Mean Deviation of 1.48 to validate risk estimate we provide.
 Time 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 = 1.1084
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, the stock has beta coefficient of 1.1084 . 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. 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 -766.85. The daily returns are destributed with a variance of 5.96 and standard deviation of 2.44. The mean deviation of Wells Fargo Company is currently at 1.46. For similar time horizon, the selected benchmark (DOW) has volatility of 1.71
α
Alpha over DOW
=0.08
β
Beta against DOW=1.11
σ
Overall volatility
=2.44
Ir
Information ratio =0.04

Actual Return Volatility

Wells Fargo Company has volatility of 2.4418% on return distribution over 30 days investment horizon. DOW inherits 1.7077% 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 volatile

Chance of Distress in 24 months

Close to average

30 Days Economic Sensitivity

Almost mirrors market

Total Debt

Wells Fargo Total Debt History

Total Debt

Largest Trends

Wells Fargo Largest Period Trend
 57.33 
  
 55.40 
1.93  3.37%
Lowest period price (30 days)
 65.78 
  
 65.82 
0.04  0.060809%
Highest period price (30 days)

Investment Outlook

Wells Fargo Investment Opportunity
Wells Fargo Company has a volatility of 2.44 and is 1.43 times more volatile than DOW. 22% 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 22 (%) 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 $59.35 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

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.