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 Downside Deviation of 2.73, Semi Deviation of 2.26 and Mean Deviation of 2.14 to check if our risk estimates are consistent with your expectations.
|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 = 1.0866
Facebook Central Daily Price Deviation
Facebook Technical Analysis
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Facebook Projected Return Density Against MarketAllowing 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
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
|Alpha over DOW||=||0.41|
|Beta against DOW||=||1.09|
Facebook Return Volatilitythe 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.
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 protect your portfolios against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Facebook to be traded at $160.17 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