Facebook Risk Analysis

Macroaxis considers Facebook not too risky given 1 month investment horizon. Facebook Inc secures Sharpe Ratio (or Efficiency) of 0.3457 which denotes Facebook Inc had 0.3457% of return per unit of standard deviation over the last 1 month. Our philosophy in predicting volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-six technical indicators for Facebook Inc which you can use to evaluate future volatility of the firm. Please utilize Facebook Inc Semi Deviation of 0.3683, Mean Deviation of 0.8548 and Downside Deviation of 0.7128 to check if our risk estimates are consistent with your expectations.
Investment Horizon     30 Days    Login   to change

Facebook Market Sensitivity

As returns on market increase, Facebook returns are expected to increase less than the market. However during bear market, the loss on holding Facebook will be expected to be smaller as well.
One Month Beta |Analyze Facebook Inc Demand Trend
Check current 30 days Facebook correlation with market (NYSE)
β = 0.835
Facebook Small BetaFacebook Inc Beta Legend

Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Facebook has beta of 0.835 suggesting as returns on market go up, Facebook average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Facebook Inc will be expected to be much smaller as well. Moreover, Facebook Inc has an alpha of 0.2999 implying that it can potentially generate 0.2999% excess return over NYSE after adjusting for the inherited market risk (beta).
 Predicted Return Density 
Benchmark  Embed   Returns 
Allowing for the 30-days total investment horizon, the coefficient of variation of Facebook is 289.25. The daily returns are destributed with a variance of 1.15 and standard deviation of 1.07. The mean deviation of Facebook Inc is currently at 0.92. For similar time horizon, the selected benchmark (NYSE) has volatility of 0.47
α
Alpha over NYSE
= 0.30 
βBeta against NYSE= 0.83 
σ
Overall volatility
= 1.07 
 IrInformation ratio = 0.30 

Actual Return Volatility

Facebook Inc accepts 1.073% volatility on return distribution over the 30 days horizon. NYSE inherits 0.4104% risk (volatility on return distribution) over the 30 days horizon.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Follows market closely
Total Debt
Facebook Inc Total Debt History
Largest Trends
Facebook Largest Period Trend
 116.59 
  
 115.05 
1.55  1.33%
Lowest period price (30 days)
 127.49 
  
 128.34 
0.85  0.67%
Highest period price (30 days)
Investment Outlook
Facebook Investment Opportunity
Facebook Inc has a volatility of 1.07 and is 2.61 times more volatile than NYSE. 10% of all equities and portfolios are less risky than Facebook. Compared to the overall equity markets, volatility of historical daily returns of Facebook Inc is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use Facebook Inc to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Facebook to be traded at $126.52 in 30 days. As returns on market increase, Facebook returns are expected to increase less than the market. However during bear market, the loss on holding Facebook will be expected to be smaller as well.

Facebook correlation with market

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Facebook Inc. and equity matching NYA index in the same portfolio.