We consider Wells Fargo not too risky. Wells Fargo shows Sharpe Ratio of 0.039 which attests that Wells Fargo had 0.039% 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 check out Wells Fargo Market Risk Adjusted Performance of 0.0173, Mean Deviation of 0.6788 and Downside Deviation of 1.4 to validate if risk estimate we provide are consistent with the epected return of 0.0357%.
|Investment 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 TrendCheck current 30 days Wells Fargo correlation with market (DOW)|
β = -0.8076
Projected Return Density Against MarketConsidering 30-days investment horizon, Wells Fargo Company has beta of -0.8076 . 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 0.0942 implying that it can potentially generate 0.0942% excess return over DOW after adjusting for the inherited market risk (beta).
Considering 30-days investment horizon, the coefficient of variation of Wells Fargo is 2566.98. The daily returns are destributed with a variance of 0.84 and standard deviation of 0.92. The mean deviation of Wells Fargo Company is currently at 0.67. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23