Facebook Risk Analysis And Volatility

FB -- USA Stock  

USD 167.33  5.54  3.42%

Macroaxis considers Facebook unknown risk given 2 months investment horizon. Facebook secures Sharpe Ratio (or Efficiency) of 0.2691 which denotes the organization had 0.2691% of return per unit of standard deviation over the last 2 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. By reviewing Facebook technical indicators you can presently evaluate if the expected return of 0.8032% is justified by implied risk. Please utilize Facebook Semi Deviation of 2.26, Downside Deviation of 2.73 and Mean Deviation of 2.14 to check if our risk estimates are consistent with your expectations.
Interest Expense
Horizon     30 Days    Login   to change

Facebook Market Sensitivity

Facebook returns are very sensitive to returns on the market. As market goes up or down, Facebook is expected to follow.
2 Months Beta |Analyze Facebook Demand Trend
Check current 30 days Facebook correlation with market (DOW)
β = 1.0866

Facebook Central Daily Price Deviation

Facebook Technical Analysis

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Facebook Projected Return Density Against Market

Allowing for the 30-days total investment horizon, the stock has beta coefficient of 1.0866 suggesting Facebook market returns are sensitive to returns on the market. As the market goes up or down, Facebook is expected to follow. Moreover, The company has an alpha of 0.4087 implying that it can potentially generate 0.4087% 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 371.63. The daily returns are destributed with a variance of 8.91 and standard deviation of 2.99. The mean deviation of Facebook is currently at 2.1. For similar time horizon, the selected benchmark (DOW) has volatility of 1.79
α
Alpha over DOW
=0.41
β
Beta against DOW=1.09
σ
Overall volatility
=2.98
Ir
Information ratio =0.13

Facebook Return Volatility

the company accepts 2.985% volatility on return distribution over the 30 days horizon. the entity inherits 1.8152% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Facebook Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Facebook Investment Opportunity

Facebook has a volatility of 2.99 and is 1.64 times more volatile than DOW. 27% 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 27 (%) of all global equities and portfolios over the last 30 days. Use Facebook to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of Facebook to be traded at $200.8 in 30 days. . Facebook returns are very sensitive to returns on the market. As market goes up or down, Facebook is expected to follow.

Facebook correlation with market

correlation synergy
Poor 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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