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Facebook Risk Analysis And Volatility

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FB -- USA Stock  

Trending

We consider Facebook very steady. Facebook secures Sharpe Ratio (or Efficiency) of 0.1115 which denotes the organization had 0.1115% of return per unit of standard deviation over the last 3 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 Downside Deviation of 1.85, Semi Deviation of 1.56 and Mean Deviation of 0.97 to check if risk estimate we provide are consistent with the epected return of 0.1647%.
Interest Expense

90 Days Market Risk

Very steady

Chance of Distress

Very Small

90 Days Economic Sensitivity

Follows market closely

Facebook Market Sensitivity

As returns on market increase, Facebook returns are expected to increase less than the market. However during bear market, the loss on holding Facebook will be expected to be smaller as well.
3 Months Beta |Analyze Facebook Demand Trend
Check current 30 days Facebook correlation with market (DOW)
β = 0.7221

Facebook Central Daily Price Deviation

Facebook Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of Facebook high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Facebook closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

Facebook Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Facebook has beta of 0.7221 suggesting as returns on market go up, Facebook average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Facebook will be expected to be much smaller as well. Moreover, The company has an alpha of 0.1022 implying that it can potentially generate 0.1022% 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 897.16. The daily returns are destributed with a variance of 2.18 and standard deviation of 1.48. The mean deviation of Facebook is currently at 0.99. For similar time horizon, the selected benchmark (DOW) has volatility of 0.79
α
Alpha over DOW
=0.10
β
Beta against DOW=0.72
σ
Overall volatility
=1.48
Ir
Information ratio =0.06

Facebook Return Volatility

the company accepts 1.4779% volatility on return distribution over the 30 days horizon. the entity inherits 0.794% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
    
  Timeline 

Facebook Investment Opportunity

Facebook has a volatility of 1.48 and is 1.87 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 enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Facebook to be traded at $238.99 in 30 days. . As returns on market increase, Facebook returns are expected to increase less than the market. However during bear market, the loss on holding Facebook will be expected to be smaller as well.

Facebook correlation with market

correlation synergy
Weak 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

Please check Investing Opportunities. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.
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