Agilent Volatility

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A -- USA Stock  

Fiscal Quarter End: 31st of July 2020  

Agilent appears to be very steady, given 3 months investment horizon. Agilent secures Sharpe Ratio (or Efficiency) of 0.14, which signifies that the company had 0.14% of return per unit of risk over the last 3 months. Our standpoint towards foreseeing the 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 Agilent, which you can use to evaluate future volatility of the firm. Please makes use of Agilent mean deviation of 1.34, risk adjusted performance of 0.2395, and downside deviation of 2.19 to double-check if our risk estimates are consistent with your expectations.

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Agilent Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Agilent daily returns, and it is calculated using variance and standard deviation. We also use Agilent's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Agilent volatility.

  Agilent Interest Expense

90 Days Market Risk

Very steady

Chance of Distress

90 Days Economic Sensitivity

Follows the market closely

Agilent Market Sensitivity And Downside Risk

Agilent beta coefficient measures the volatility of Agilent stock compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Agilent stock's returns against your selected market. In other words, Agilent's beta of 0.66 provides an investor with an approximation of how much risk Agilent stock can potentially add to one of your existing portfolios. Let's try to break down what Agilent's beta means in this case. As returns on the market increase, Agilent returns are expected to increase less than the market. However, during the bear market, the loss on holding Agilent will be expected to be smaller as well.
3 Months Beta |Analyze Agilent Demand Trend
Check current 30 days Agilent correlation with market (DOW)
β

Current Agilent Beta Coefficient

 = 

Agilent Central Daily Price Deviations

It is essential to understand the difference between upside risk (as represented by Agilent's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Agilent stock's daily returns or price. Since the actual investment returns on holding a position in Agilent stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Agilent.

Agilent Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Agilent 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.

Agilent Projected Return Density Against Market

Taking into account the 30-days investment horizon, Agilent has a beta of 0.6578 . This suggests as returns on the market go up, Agilent average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Agilent will be expected to be much smaller as well. Moreover, Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Agilent or Healthcare sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Agilent stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Agilent stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. The company has an alpha of 0.1441, implying that it can generate a 0.14 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Agilent Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Agilent or Healthcare sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Agilent stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Agilent stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. Taking into account the 30-days investment horizon, the coefficient of variation of Agilent is 715.94. The daily returns are destributed with a variance of 3.19 and standard deviation of 1.79. The mean deviation of Agilent is currently at 1.24. For similar time horizon, the selected benchmark (DOW) has volatility of 1.8
α
Alpha over DOW
=0.14
β
Beta against DOW=0.66
σ
Overall volatility
=1.79
Ir
Information ratio =0.05

Agilent Return Volatility

Agilent historical daily return volatility represents how much Agilent stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The company accepts 1.7866% volatility on return distribution over the 30 days horizon. By contrast, DOW inherits 1.7861% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About Agilent Volatility

Volatility is a rate at which the price of Agilent or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Agilent may increase or decrease. In other words, similar to Agilent's beta indicator, it measures the risk of Agilent and helps estimate the fluctuations that may happen in a short period of time. So if prices of Agilent fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility. Please read more on our technical analysis page.
Last ReportedProjected for 2020
Market Capitalization27 B23.3 B
Agilent Technologies, Inc. provides application focused solutions to the life sciences, diagnostics, and applied chemical markets worldwide. The company was founded in 1999 and is headquartered in Santa Clara, California. Agilent operates under Diagnostics Research classification in the United States and is traded on BATS Exchange. It employs 16370 people.

Agilent Investment Opportunity

Agilent has the same returns volatility as DOW considering given time horizon. 15  of all equities and portfolios are less risky than Agilent. Compared to the overall equity markets, volatility of historical daily returns of Agilent is lower than 15 () of all global equities and portfolios over the last 30 days. Use Agilent to protect your portfolios against small markets fluctuations. The stock experiences a normal downward trend and little activity. Check odds of Agilent to be traded at $88.37 in 30 days. . Let's try to break down what Agilent's beta means in this case. As returns on the market increase, Agilent returns are expected to increase less than the market. However, during the bear market, the loss on holding Agilent will be expected to be smaller as well.

Agilent correlation with market

correlation synergy
Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Agilent Technologies Inc and equity matching DJI index in the same portfolio.

Agilent Additional Risk Indicators

The analysis of various secondary risk indicators of Agilent is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Agilent investment, and either accepting that risk or mitigating it. Along with some common measures of Agilent stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging your existing portfolio. Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing the like to determine which investment holds the most risk.
Risk Adjusted Performance0.2395
Market Risk Adjusted Performance0.371
Mean Deviation1.34
Semi Deviation1.96
Downside Deviation2.19
Coefficient Of Variation754.48
Standard Deviation1.87

Agilent Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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