Facebook Risk Analysis And Volatility Evaluation

FB -- USA Stock  

USD 209.05  0.31  0.15%

Macroaxis considers Facebook not too risky given 1 month investment horizon. Facebook secures Sharpe Ratio (or Efficiency) of 0.1854 which denotes Facebook had 0.1854% 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-eight technical indicators for Facebook which you can use to evaluate future volatility of the firm. Please utilize Facebook Semi Deviation of 1.02, Mean Deviation of 1.16 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, returns on owning Facebook are expected to decrease at a much smaller rate. During bear market, Facebook is likely to outperform the market.
One Month Beta |Analyze Facebook Demand Trend
Check current 30 days Facebook correlation with market (DOW)
β = -0.0891
Facebook Almost negative 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 -0.0891 suggesting as returns on benchmark increase, returns on holding Facebook are expected to decrease at a much smaller rate. During bear market, however, Facebook is likely to outperform the market. Moreover, Facebook has an alpha of 0.2569 implying that it can potentially generate 0.2569% 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 539.44. The daily returns are destributed with a variance of 2.22 and standard deviation of 1.49. The mean deviation of Facebook is currently at 1.15. For similar time horizon, the selected benchmark (DOW) has volatility of 0.62
α
Alpha over DOW
=0.26
β
Beta against DOW=0.09
σ
Overall volatility
=1.49
Ir
Information ratio =0.09

Actual Return Volatility

Facebook accepts 1.4901% volatility on return distribution over the 30 days horizon. DOW inherits 0.5886% 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

Indifferent to market move

Investment Outlook

Facebook Investment Opportunity
Facebook has a volatility of 1.49 and is 2.53 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. Use Facebook to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Facebook to be traded at $206.96 in 30 days. As returns on market increase, returns on owning Facebook are expected to decrease at a much smaller rate. During bear market, Facebook is likely to outperform the market.

Facebook correlation with market

Good 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.
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