Agilent Technologies Risk Analysis

Agilent Technologies -- USA Stock  

USD 67.97  1.58  2.27%

Macroaxis considers Agilent Technologies to be not too risky. Agilent Technologies secures Sharpe Ratio (or Efficiency) of -0.0602 which signifies that Agilent Technologies had -0.0602% of return per unit of risk over the last 2 months. Macroaxis philosophy towards foreseeing 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. Agilent Technologies exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Agilent Technologies Risk Adjusted Performance of 0.13 and Mean Deviation of 1.16 to double-check risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Agilent Technologies Market Sensitivity

As returns on market increase, returns on owning Agilent Technologies are expected to decrease at a much smaller rate. During bear market, Agilent Technologies is likely to outperform the market.
2 Months Beta |Analyze Agilent Technologies Demand Trend
Check current 30 days Agilent Technologies correlation with market (DOW)
β = -0.0275
Agilent Technologies Almost negative betaAgilent Technologies Beta Legend

Agilent Technologies Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Agilent Technologies 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

Taking into account the 30 trading days horizon, Agilent Technologies has beta of -0.0275 . This suggests as returns on benchmark increase, returns on holding Agilent Technologies are expected to decrease at a much smaller rate. During bear market, however, Agilent Technologies is likely to outperform the market. Additionally, Agilent Technologies 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 
Taking into account the 30 trading days horizon, the coefficient of variation of Agilent Technologies is -1660.16. The daily returns are destributed with a variance of 2.36 and standard deviation of 1.53. The mean deviation of Agilent Technologies is currently at 1.16. For similar time horizon, the selected benchmark (DOW) has volatility of 1.69
α
Alpha over DOW
=0.13
β
Beta against DOW=0.03
σ
Overall volatility
=1.53
Ir
Information ratio =0.06

Actual Return Volatility

Agilent Technologies accepts 1.5347% volatility on return distribution over the 30 days horizon. DOW inherits 1.4079% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Agilent Technologies Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

60 Days Economic Sensitivity

Indifferent to market move

Total Debt

Agilent Technologies Total Debt History

Total Debt

Investment Outlook

Agilent Technologies Investment Opportunity
Agilent Technologies has a volatility of 1.53 and is 1.09 times more volatile than DOW. 14% 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 14 (%) of all global equities and portfolios over the last 30 days. Use Agilent Technologies to protect against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Agilent Technologies to be traded at $65.25 in 30 days. As returns on market increase, returns on owning Agilent Technologies are expected to decrease at a much smaller rate. During bear market, Agilent Technologies is likely to outperform the market.

Agilent Technologies correlation with market

Good 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.

Volatility Indicators

Agilent Technologies Current Risk Indicators
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