Macroaxis considers Facebook to be not too risky. Facebook secures Sharpe Ratio (or Efficiency) of -0.0539 which denotes Facebook had -0.0539% 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-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Facebook Mean Deviation of 1.73 to check risk estimate we provide.
|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 TrendCheck current 30 days Facebook correlation with market (DOW)|
β = 1.147
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 1.147 suggesting Facebook market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Facebook is expected to follow. 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
Allowing for the 30-days total investment horizon, the coefficient of variation of Facebook is -1853.91. The daily returns are destributed with a variance of 5.15 and standard deviation of 2.27. The mean deviation of Facebook is currently at 1.78. For similar time horizon, the selected benchmark (DOW) has volatility of 1.27
|Alpha over DOW||=||0.06|
|Beta against DOW||=||1.15|
Facebook Return VolatilityFacebook accepts 2.2701% volatility on return distribution over the 30 days horizon. DOW inherits 1.3014% risk (volatility on return distribution) over the 30 days horizon.
Facebook has a volatility of 2.27 and is 1.75 times more volatile than DOW. 20% 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 20 (%) 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 $141.18 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