We consider Facebook not too risky. Facebook secures Sharpe Ratio (or Efficiency) of 0.0677 which denotes Facebook had 0.0677% 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-eight technical indicators for Facebook which you can use to evaluate future volatility of the firm. Please confirm Facebook Semi Deviation of 3.02, Mean Deviation of 1.98 and Downside Deviation of 3.11 to check if risk estimate we provide are consistent with the epected return of 0.1982%.
|Horizon||30 Days Login to change|
Facebook Market Sensitivity
|Facebook returns are very sensitive to returns on the market. As market goes up or down, Facebook is expected to follow. 2 Months Beta |Analyze Facebook Demand TrendCheck current 30 days Facebook correlation with market (DOW)|
β = 1.0049
Facebook Central Daily Price Deviation
Facebook Technical Analysis
Facebook Projected Return Density Against MarketAllowing for the 30-days total investment horizon, the stock has beta coefficient of 1.0049 suggesting Facebook market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Facebook is expected to follow. Moreover, Facebook has an alpha of 0.2179 implying that it can potentially generate 0.2179% excess return over DOW after adjusting for the inherited market risk (beta).
Predicted Return Density
Allowing for the 30-days total investment horizon, the coefficient of variation of Facebook is 1476.18. The daily returns are destributed with a variance of 8.56 and standard deviation of 2.93. The mean deviation of Facebook is currently at 2.03. For similar time horizon, the selected benchmark (DOW) has volatility of 1.97
|Alpha over DOW||=||0.22|
|Beta against DOW||=||1.00|
Facebook Return VolatilityFacebook accepts 2.9251% volatility on return distribution over the 30 days horizon. DOW inherits 2.026% risk (volatility on return distribution) over the 30 days horizon.
Facebook has a volatility of 2.93 and is 1.44 times more volatile than DOW. 26% 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 26 (%) of all global equities and portfolios over the last 30 days. Use Facebook to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of Facebook to be traded at $178.24 in 30 days. . Facebook returns are very sensitive to returns on the market. As market goes up or down, Facebook is expected to follow.
Facebook correlation with market