Macroaxis considers Facebook to be not too risky. Facebook Inc secures Sharpe Ratio (or Efficiency) of -0.0937 which denotes Facebook Inc had -0.0937% 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 Inc exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Facebook Inc Mean Deviation of 1.86 to check risk estimate we provide.
|Time 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.One Month Beta |Analyze Facebook Inc Demand TrendCheck current 30 days Facebook correlation with market (DOW)|
β = 1.0074
Facebook Inc Technical Analysis
Projected Return Density Against MarketAllowing for the 30-days total investment horizon, the stock has beta coefficient of 1.0074 suggesting Facebook Inc market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Facebook is expected to follow. Moreover, Facebook Inc has an alpha of 0.0765 implying that it can potentially generate 0.0765% excess return over DOW after adjusting for the inherited market risk (beta).
Allowing for the 30-days total investment horizon, the coefficient of variation of Facebook is -1067.5. The daily returns are destributed with a variance of 5.52 and standard deviation of 2.35. The mean deviation of Facebook Inc is currently at 1.85. For similar time horizon, the selected benchmark (DOW) has volatility of 1.71