Facebook Risk Analysis And Volatility Evaluation

FB -- USA Stock  

USD 209.94  1.85  0.89%

Macroaxis considers Facebook not too risky given 1 month investment horizon. Facebook secures Sharpe Ratio (or Efficiency) of 0.1362 which denotes Facebook had 0.1362% of return per unit of standard deviation over the last 1 month. Our philosophy in predicting 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 Facebook which you can use to evaluate future volatility of the firm. Please utilize Facebook Semi Deviation of 1.11, Mean Deviation of 1.09 and Downside Deviation of 1.38 to check if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Facebook Market Sensitivity

As returns on market increase, Facebook returns are expected to increase less than the market. However during bear market, the loss on holding Facebook will be expected to be smaller as well.
One Month Beta |Analyze Facebook Demand Trend
Check current 30 days Facebook correlation with market (DOW)
β = 0.0028
Facebook Small BetaFacebook Beta Legend

Facebook Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Facebook 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

Allowing for the 30-days total investment horizon, Facebook has beta of 0.0028 suggesting as returns on market go up, Facebook average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Facebook will be expected to be much smaller as well. Moreover, Facebook has an alpha of 0.1736 implying that it can potentially generate 0.1736% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Allowing for the 30-days total investment horizon, the coefficient of variation of Facebook is 734.04. The daily returns are destributed with a variance of 2.16 and standard deviation of 1.47. The mean deviation of Facebook is currently at 1.13. For similar time horizon, the selected benchmark (DOW) has volatility of 0.46
α
Alpha over DOW
=0.17
β
Beta against DOW=0.0028
σ
Overall volatility
=1.47
Ir
Information ratio =0.0423

Actual Return Volatility

Facebook accepts 1.4694% volatility on return distribution over the 30 days horizon. DOW inherits 0.5701% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Facebook Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Totally opposite to market

Investment Outlook

Facebook Investment Opportunity
Facebook has a volatility of 1.47 and is 2.58 times more volatile than DOW. 13% of all equities and portfolios are less risky than Facebook. Compared to the overall equity markets, volatility of historical daily returns of Facebook is lower than 13 (%) of all global equities and portfolios over the last 30 days.
Additionally see Investing Opportunities. Please also try Commodity Channel Index module to use commodity channel index to analyze current equity momentum.
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