Agilent Technologies Risk Analysis And Volatility

A -- USA Stock  

USD 77.87  0.20  0.26%

We consider Agilent Technologies very steady. Agilent Technologies secures Sharpe Ratio (or Efficiency) of 0.0695 which signifies that the organization had 0.0695% of return per unit of risk over the last 3 months. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-six technical indicators for Agilent Technologies which you can use to evaluate future volatility of the firm. Please confirm Agilent Technologies Mean Deviation of 1.23, Downside Deviation of 1.48 and Risk Adjusted Performance of 0.0721 to double-check if risk estimate we provide are consistent with the epected return of 0.1168%.
Interest Expense

90 Days Market Risk

Very steady

Chance of Distress in 24 months

90 Days Economic Sensitivity

Responds to market
Horizon     30 Days    Login   to change

Agilent Technologies Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Agilent Technologies will likely underperform.
3 Months Beta |Analyze Agilent Technologies Demand Trend
Check current 30 days Agilent Technologies correlation with market (DOW)
β = 1.2713

Agilent Technologies Central Daily Price Deviation

Agilent Technologies Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of Agilent Technologies high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Agilent Technologies closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

Agilent Technologies Projected Return Density Against Market

Taking into account the 30 trading days horizon, the stock has beta coefficient of 1.2713 . This suggests as the benchmark fluctuates upward, the company is expected to outperform it on average . However, if the benchmark returns are expected to be negative, Agilent Technologies will likely underperform. Moreover, The company has an alpha of 0.0902 implying that it can potentially generate 0.0902% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Taking into account the 30 trading days horizon, the coefficient of variation of Agilent Technologies is 1438.86. The daily returns are destributed with a variance of 2.82 and standard deviation of 1.68. The mean deviation of Agilent Technologies is currently at 1.27. For similar time horizon, the selected benchmark (DOW) has volatility of 0.9
α
Alpha over DOW
=0.09
β
Beta against DOW=1.27
σ
Overall volatility
=1.68
Ir
Information ratio =0.06

Agilent Technologies Return Volatility

the company accepts 1.6806% volatility on return distribution over the 30 days horizon. the entity inherits 0.9214% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Agilent Technologies Investment Opportunity

Agilent Technologies has a volatility of 1.68 and is 1.83 times more volatile than DOW. 15% of all equities and portfolios are less risky than Agilent Technologies. Compared to the overall equity markets, volatility of historical daily returns of Agilent Technologies is lower than 15 (%) of all global equities and portfolios over the last 30 days. Use Agilent Technologies to protect your portfolios against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Agilent Technologies to be traded at $77.09 in 30 days. . As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Agilent Technologies will likely underperform.

Agilent Technologies correlation with market

correlation synergy
Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Agilent Technologies Inc and equity matching DJI index in the same portfolio.

Agilent Technologies Current Risk Indicators

Agilent Technologies Suggested Diversification Pairs

Check also Trending Equities. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.
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