Facebook Volatility

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FB -- USA Stock  

Trending

Facebook appears to be very steady, given 3 months investment horizon. Facebook secures Sharpe Ratio (or Efficiency) of 0.2, which denotes the company had 0.2% of return per unit of standard deviation over the last 3 months. Our philosophy in predicting the 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 0.51% is justified by implied risk. Please utilize Facebook semi deviation of 2.18, mean deviation of 1.76, and downside deviation of 2.72 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.

  Facebook Interest Expense

90 Days Market Risk

Very steady

Chance of Distress

Very Low

90 Days Economic Sensitivity

Follows the market closely

Facebook Market Sensitivity And Downside Risk

Facebook beta coefficient measures the volatility of Facebook stock compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Facebook stock's returns against your selected market. In other words, Facebook's beta of 0.73 provides an investor with an approximation of how much risk Facebook stock can potentially add to one of your existing portfolios. Let's try to break down what Facebook's beta means in this case. As returns on the market increase, Facebook returns are expected to increase less than the market. However, during the bear market, the loss on holding Facebook will be expected to be smaller as well.
3 Months Beta |Analyze Facebook Demand Trend
Check current 30 days Facebook correlation with market (DOW)
β

Current Facebook Beta Coefficient

 = 

Facebook Central Daily Price Deviations

It is essential to understand the difference between upside risk (as represented by Facebook's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Facebook stock's daily returns or price. Since the actual investment returns on holding a position in Facebook stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Facebook.

Facebook Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Facebook Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Facebook Projected Return Density Against Market

Allowing for the 30-days total investment horizon, Facebook has a beta of 0.7292 . This usually indicates as returns on the market go up, Facebook average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Facebook will be expected to be much smaller as well. Moreover, Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Facebook or Communication Services sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Facebook stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Facebook stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. The company has an alpha of 0.3971, implying that it can generate a 0.4 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Facebook Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Facebook or Communication Services sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Facebook stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Facebook stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. Allowing for the 30-days total investment horizon, the coefficient of variation of Facebook is 500.11. The daily returns are destributed with a variance of 6.51 and standard deviation of 2.55. The mean deviation of Facebook is currently at 1.8. For similar time horizon, the selected benchmark (DOW) has volatility of 1.8
α
Alpha over DOW
=0.40
β
Beta against DOW=0.73
σ
Overall volatility
=2.55
Ir
Information ratio =0.14

Facebook Return Volatility

Facebook historical daily return volatility represents how much Facebook stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The company accepts 2.5514% volatility on return distribution over the 30 days horizon. By contrast, DOW inherits 1.7861% 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.
Last ReportedProjected for 2020
Market Capitalization585.3 B489.8 B
Facebook, Inc. develops products that enable people to connect and share with friends and family through mobile devices, personal computers, virtual reality headsets, and in-home devices worldwide. Facebook, Inc. was founded in 2004 and is headquartered in Menlo Park, California. Facebook operates under Internet Content Information classification in the United States and is traded on BATS Exchange. It employs 48268 people.

Facebook Investment Opportunity

Facebook has a volatility of 2.55 and is 1.42 times more volatile than DOW. 22  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 22 () of all global equities and portfolios over the last 30 days. Use Facebook to protect your portfolios against small markets fluctuations. The stock experiences an unexpected downward movement. The market is reacting to new fundamentals. Check odds of Facebook to be traded at $229.44 in 30 days. . Let's try to break down what Facebook's beta means in this case. As returns on the market increase, Facebook returns are expected to increase less than the market. However, during the bear market, the loss on holding Facebook will be expected to be smaller as well.

Facebook correlation with market

correlation synergy
Very weak 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 Additional Risk Indicators

The analysis of various secondary risk indicators of Facebook is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Facebook investment, and either accepting that risk or mitigating it. Along with some common measures of Facebook stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging your existing portfolio. Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing the like to determine which investment holds the most risk.
Risk Adjusted Performance0.3708
Market Risk Adjusted Performance0.6964
Mean Deviation1.76
Semi Deviation2.18
Downside Deviation2.72
Coefficient Of Variation490.33
Standard Deviation2.5

Facebook Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page