Agilent Technologies Risk Analysis And Volatility Evaluation

A -- USA Stock  

USD 63.12  0.40  0.64%

Macroaxis considers Agilent Technologies to be not too risky. Agilent Technologies secures Sharpe Ratio (or Efficiency) of -0.1451 which signifies that Agilent Technologies had -0.1451% of return per unit of risk over the last 1 month. 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-eight 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 0.9318 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.
One Month Beta |Analyze Agilent Technologies Demand Trend
Check current 30 days Agilent Technologies correlation with market (DOW)
β = -0.3747
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 seventeen. 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 -0.3747 . 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 -689.33. The daily returns are destributed with a variance of 1.24 and standard deviation of 1.11. The mean deviation of Agilent Technologies is currently at 0.9. For similar time horizon, the selected benchmark (DOW) has volatility of 0.6
α
Alpha over DOW
=0.21
β
Beta against DOW=0.37
σ
Overall volatility
=1.11
Ir
Information ratio =0.33

Actual Return Volatility

Agilent Technologies accepts 1.1149% volatility on return distribution over the 30 days horizon. DOW inherits 0.6405% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Agilent Technologies Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Almost neglects market

Investment Outlook

Agilent Technologies Investment Opportunity
Agilent Technologies has a volatility of 1.11 and is 1.73 times more volatile than DOW. 10% 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 10 (%) of all global equities and portfolios over the last 30 days. Use Agilent Technologies to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Agilent Technologies to be traded at $69.43 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.
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