Facebook Risk Analysis And Volatility Evaluation

FB -- USA Stock  

USD 154.05  0.87  0.56%

Macroaxis considers Facebook to be not too risky. Facebook secures Sharpe Ratio (or Efficiency) of -0.195 which denotes Facebook had -0.195% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy in predicting risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Facebook exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Facebook Mean Deviation of 1.29 to check risk estimate we provide.
Horizon     30 Days    Login   to change

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.
One Month Beta |Analyze Facebook Demand Trend
Check current 30 days Facebook correlation with market (DOW)
β = 0.5863
Facebook Small 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.

Facebook Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Facebook has beta of 0.5863 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. Additionally, Facebook has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Allowing for the 30-days total investment horizon, the coefficient of variation of Facebook is -512.87. The daily returns are destributed with a variance of 2.78 and standard deviation of 1.67. The mean deviation of Facebook is currently at 1.21. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.23
β
Beta against DOW=0.59
σ
Overall volatility
=1.67
Ir
Information ratio =0.1

Facebook Return Volatility

Facebook accepts 1.6666% volatility on return distribution over the 30 days horizon. DOW inherits 1.0609% 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

Close to average

30 Days Economic Sensitivity

Follows market closely

Investment Outlook

Facebook Investment Opportunity

Facebook has a volatility of 1.67 and is 1.58 times more volatile than DOW. 15% 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 15 (%) of all global equities and portfolios over the last 30 days. Use Facebook to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Facebook to be traded at $150.97 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

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.
Additionally see Investing Opportunities. Please also try Bollinger Bands module to use bollinger bands indicator to analyze target price for a given investing horizon.
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