We consider Facebook very steady. Facebook secures Sharpe Ratio (or Efficiency) of 0.095 which denotes the organization had 0.095% 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 technical indicators for Facebook which you can use to evaluate future volatility of the firm. Please confirm Facebook Mean Deviation of 1.28, Semi Deviation of 1.94 and Downside Deviation of 2.22 to check if risk estimate we provide are consistent with the epected return of 0.1798%.
60 Days Market Risk
Chance of Distress in 24 months
60 Days Economic Sensitivity
Ignores market trends
|Horizon||30 Days Login to change|
Facebook Technical Analysis
Facebook Projected Return Density Against MarketAllowing for the 30-days total investment horizon, Facebook has beta of 0.0 suggesting the returns on DOW and Facebook do not appear to be sensitive. Furthermore, It does not look like the company alpha can have any bearing on the equity current valuation.
Allowing for the 30-days total investment horizon, the coefficient of variation of Facebook is 1052.18. The daily returns are destributed with a variance of 3.58 and standard deviation of 1.89. The mean deviation of Facebook is currently at 1.32. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
|Alpha over DOW||=||0.00|
|Beta against DOW||=||0.00|
Facebook Return Volatilitythe company accepts 1.8919% volatility on return distribution over the 30 days horizon. the entity inherits 0.0% risk (volatility on return distribution) over the 30 days horizon.
Facebook Investment Opportunity
Facebook has a volatility of 1.89 and is 2.95 times more volatile than DOW. 16% 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 16 (%) of all global equities and portfolios over the last 30 days.
Facebook Current Risk Indicators
|Risk Adjusted Performance||0.01|
|Coefficient Of Variation||908.83|
Facebook Suggested Diversification Pairs