Macroaxis considers Facebook to be very steady. Facebook secures Sharpe Ratio (or Efficiency) of -0.0226 which denotes the organization had -0.0226% of return per unit of standard deviation over the last 2 months. 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 1.2 to check risk estimate we provide.
60 Days Market Risk
Chance of Distress in 24 months
60 Days Economic Sensitivity
Almost mirrors market
|Horizon||30 Days Login to change|
Facebook Market Sensitivity
|As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Facebook will likely underperform. 2 Months Beta |Analyze Facebook Demand TrendCheck current 30 days Facebook correlation with market (DOW)|
β = 1.1983
Facebook Central Daily Price Deviation
Facebook Technical Analysis
Facebook Projected Return Density Against MarketAllowing for the 30-days total investment horizon, the stock has beta coefficient of 1.1983 suggesting as the benchmark fluctuates upward, the company is expected to outperform it on average . However, if the benchmark returns are expected to be negative, Facebook will likely underperform. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Facebook is significantly underperforming DOW.
Predicted Return Density
Allowing for the 30-days total investment horizon, the coefficient of variation of Facebook is -4424.99. The daily returns are destributed with a variance of 2.35 and standard deviation of 1.53. The mean deviation of Facebook is currently at 1.18. For similar time horizon, the selected benchmark (DOW) has volatility of 0.93
|Alpha over DOW||=||0.03|
|Beta against DOW||=||1.20|
Facebook Return Volatilitythe company accepts 1.5346% volatility on return distribution over the 30 days horizon. the entity inherits 0.9118% risk (volatility on return distribution) over the 30 days horizon.
Facebook Investment Opportunity
Facebook has a volatility of 1.53 and is 1.68 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 moderate upward volatility. Check odds of Facebook to be traded at $202.07 in 30 days. . As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Facebook will likely underperform.
Facebook correlation with market
Facebook Current Risk Indicators
|Risk Adjusted Performance||(0.024123)|
|Market Risk Adjusted Performance||(0.037247)|
|Coefficient Of Variation||(3,296)|
Facebook Suggested Diversification Pairs