We consider Facebook not too risky. Facebook Inc secures Sharpe Ratio (or Efficiency) of 0.0978 which denotes Facebook Inc had 0.0978% 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-one technical indicators for Facebook Inc which you can use to evaluate future volatility of the firm. Please confirm Facebook Inc Semi Deviation of 0.7913, Mean Deviation of 0.744 and Downside Deviation of 1.11 to check if risk estimate we provide are consistent with the epected return of 0.1215%.
|Investment 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 Inc Demand TrendCheck current 30 days Facebook correlation with market (DOW)|
β = -0.6038
Facebook Inc Technical Analysis
Projected Return Density Against MarketAllowing for the 30-days total investment horizon, Facebook Inc has beta of -0.6038 suggesting as returns on benchmark increase, returns on holding Facebook are expected to decrease at a much smaller rate. During bear market, however, Facebook Inc is likely to outperform the market. Moreover, Facebook Inc has an alpha of 0.1413 implying that it can potentially generate 0.1413% excess return over DOW after adjusting for the inherited market risk (beta).
Allowing for the 30-days total investment horizon, the coefficient of variation of Facebook is 1022.58. The daily returns are destributed with a variance of 1.54 and standard deviation of 1.24. The mean deviation of Facebook Inc is currently at 0.74. For similar time horizon, the selected benchmark (DOW) has volatility of 0.37