Facebook Risk Analysis And Volatility

FB -- USA Stock  

USD 179.65  0.93  0.52%

Macroaxis considers Facebook very steady given 2 months investment horizon. Facebook secures Sharpe Ratio (or Efficiency) of 0.1646 which denotes the organization had 0.1646% of return per unit of standard deviation over the last 2 months. Our philosophy in predicting 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-one technical indicators for Facebook which you can use to evaluate future volatility of the firm. Please utilize Facebook Semi Deviation of 1.1, Downside Deviation of 1.37 and Mean Deviation of 1.04 to check if our risk estimates are consistent with your expectations.
Interest Expense

60 Days Market Risk

Very steady

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Slowly supersedes market
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.
2 Months Beta |Analyze Facebook Demand Trend
Check current 30 days Facebook correlation with market (DOW)
β = 0.329

Facebook Central Daily Price Deviation

Facebook Technical Analysis

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

Facebook Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Facebook has beta of 0.329 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, The company has an alpha of 0.2039 implying that it can potentially generate 0.2039% 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 607.38. The daily returns are destributed with a variance of 1.93 and standard deviation of 1.39. The mean deviation of Facebook is currently at 1.05. For similar time horizon, the selected benchmark (DOW) has volatility of 0.65
α
Alpha over DOW
=0.20
β
Beta against DOW=0.33
σ
Overall volatility
=1.39
Ir
Information ratio =0.11

Facebook Return Volatility

the company accepts 1.3899% volatility on return distribution over the 30 days horizon. the entity inherits 0.578% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Facebook Investment Opportunity

Facebook has a volatility of 1.39 and is 2.4 times more volatile than DOW. 12% 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 12 (%) of all global equities and portfolios over the last 30 days. Use Facebook to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Facebook to be traded at $197.62 in 30 days. . 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.

Facebook correlation with market

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

Facebook Current Risk Indicators

Facebook Suggested Diversification Pairs

Additionally see Investing Opportunities. Please also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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