Facebook Volatility

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FB -- USA Stock  

Trending

Macroaxis considers Facebook very steady given 3 months investment horizon. Facebook secures Sharpe Ratio (or Efficiency) of 0.0918, which denotes the organization had 0.0918% of return per unit of standard deviation over the last 3 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. We have found twenty-eight technical indicators for Facebook, which you can use to evaluate future volatility of the firm. Please utilize Facebook Mean Deviation of 3.17, Semi Deviation of 4.51 and Downside Deviation of 4.62 to check if our risk estimates are consistent with your expectations.

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Facebook Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Facebook daily returns, and it is calculated using variance and standard deviation. We also use Facebook's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Facebook volatility.

  Interest Expense

90 Days Market Risk

Very steady

Chance of Distress

Very Low

90 Days Economic Sensitivity

Follows market closely

Facebook Market Sensitivity

Facebook returns are very sensitive to returns on the market. As market goes up or down, Facebook is expected to follow.
3 Months Beta |Analyze Facebook Demand Trend
Check current 30 days Facebook correlation with market (DOW)
β = 0.8695

Facebook Central Daily Price Deviation

Facebook Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Developed by Larry Williams, the Weighted Close is the average of Facebook high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Facebook closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

Facebook Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Facebook has beta of 0.8695 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 0.3641 implying that it can potentially generate 0.3641% 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 1089.67. The daily returns are destributed with a variance of 18.05 and standard deviation of 4.25. The mean deviation of Facebook is currently at 3.09. For similar time horizon, the selected benchmark (DOW) has volatility of 4.08
α
Alpha over DOW
=0.36
β
Beta against DOW=0.87
σ
Overall volatility
=4.25
Ir
Information ratio =0.09

Facebook Return Volatility

the company accepts 4.2484% volatility on return distribution over the 30 days horizon. the entity inherits 4.11% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

About Facebook Volatility

Volatility is a rate at which the price of Facebook or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Facebook may increase or decrease. In other words, similar to Facebook's beta indicator, it measures the risk of Facebook and helps estimate the fluctuations that may happen in a short period of time. So if prices of Facebook fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility. Please read more on our technical analysis page.

Facebook Investment Opportunity

Facebook has a volatility of 4.25 and is 1.03 times more volatile than DOW. 37  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 37 () of all global equities and portfolios over the last 30 days. Use Facebook to protect your portfolios against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Facebook to be traded at $222.27 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
Very 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.

Facebook Current Risk Indicators

Facebook Suggested Diversification Pairs

Please check Investing Opportunities. Please also try CEO Directory module to screen ceos from public companies around the world.
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