Facebook Risk Analysis And Volatility

FB -- USA Stock  

Quarterly Earning Report: October 30, 2019  

Macroaxis considers Facebook to be very steady. Facebook secures Sharpe Ratio (or Efficiency) of -0.0744 which denotes the organization had -0.0744% of return per unit of standard deviation over the last 3 months. Macroaxis philosophy in predicting 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. Facebook exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Facebook Mean Deviation of 1.28 to check risk estimate we provide.
Interest Expense

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Very low

90 Days Economic Sensitivity

Responds to market
Horizon     30 Days    Login   to change

Facebook Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Facebook will likely underperform.
3 Months Beta |Analyze Facebook Demand Trend
Check current 30 days Facebook correlation with market (DOW)
β = 1.2636

Facebook Central Daily Price Deviation

Facebook Technical Analysis

The output start index for this execution was zero with a total number of output elements of sixty-one. The Median Price line plots median indexes of Facebook price series. View also all equity analysis or get more info about median price price transform indicator.

Facebook Projected Return Density Against Market

Allowing for the 30-days total investment horizon, the stock has beta coefficient of 1.2636 suggesting as the benchmark fluctuates upward, the company is expected to outperform it on average . However, if the benchmark returns are expected to be negative, Facebook will likely underperform. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Facebook is significantly underperforming DOW.
 Predicted Return Density 
Allowing for the 30-days total investment horizon, the coefficient of variation of Facebook is -1343.47. The daily returns are destributed with a variance of 2.52 and standard deviation of 1.59. The mean deviation of Facebook is currently at 1.25. For similar time horizon, the selected benchmark (DOW) has volatility of 0.98
Alpha over DOW
Beta against DOW=1.26
Overall volatility
Information ratio =0.05

Facebook Return Volatility

the company accepts 1.5866% volatility on return distribution over the 30 days horizon. the entity inherits 0.9844% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Facebook Investment Opportunity

Facebook has a volatility of 1.59 and is 1.62 times more volatile than DOW. 14  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 14 () of all global equities and portfolios over the last 30 days. Use Facebook to protect your portfolios against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Facebook to be traded at $178.42 in 30 days. . As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Facebook will likely underperform.

Facebook correlation with market

correlation synergy
Poor 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 Fundamentals Matrix module to view fundamentals matrix and analyze how accounts are interrelated and interconnected with each other.
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