Facebook Stock Volatility

FB -  USA Stock  

USD 324.76  3.77  1.15%

We consider Facebook very steady. Facebook secures Sharpe Ratio (or Efficiency) of 0.0415, which denotes the company had 0.0415% of return per unit of standard deviation over the last 12 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. We have found twenty-one technical indicators for Facebook, which you can use to evaluate the future volatility of the firm. Please confirm Facebook Semi Deviation of 1.77, mean deviation of 1.47, and Downside Deviation of 1.84 to check if the risk estimate we provide is consistent with the expected return of 0.0808%.

Facebook Volatility 

 
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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.

60 Days Market Risk

Very steady

Chance of Distress

Very Low

60 Days Economic Sensitivity

Follows the market closely

Facebook Market Sensitivity And Downside Risk

Facebook's 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 0.79 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.
12 Months Beta |Analyze Facebook Demand Trend
Check current 90 days Facebook correlation with market (DOW)

Facebook Beta

    
  0.79  
Facebook standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  1.95  
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 Implied Volatility

    
  32.09  
Facebook's implied volatility exposes the market's sentiment of Facebook stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Facebook's implied volatility is high, the market thinks the stock has potential for high price swings in either direction. On the other hand, the low implied volatility suggests that Facebook stock will not fluctuate a lot when Facebook's options near their expiration.

Facebook Stock Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of two hundred fifty-nine. The Median Price line plots median indexes of Facebook price series. View also all equity analysis or get more info about median price price transform indicator.

Facebook Projected Return Density Against Market

Allowing for the 90-day total investment horizon Facebook has a beta of 0.7907 . 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.
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 0.024, implying that it can generate a 0.024 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Facebook Stock 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 90-day total investment horizon the coefficient of variation of Facebook is 2407.4. The daily returns are distributed with a variance of 3.79 and standard deviation of 1.95. The mean deviation of Facebook is currently at 1.44. For similar time horizon, the selected benchmark (DOW) has volatility of 0.85
α
Alpha over DOW
0.024
β
Beta against DOW0.79
σ
Overall volatility
1.95
Ir
Information ratio 0.0033

Facebook Stock 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 1.9458% volatility on return distribution over the 90 days horizon. By contrast, DOW inherits 0.8391% risk (volatility on return distribution) over the 90 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 2021
Market Capitalization778 B621.1 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 NASDAQ Exchange. It employs 63404 people.

Nearest Facebook long CALL Option Payoff at Expiration

Facebook's implied volatility is one of the determining factors in the pricing options written on Facebook. Implied volatility approximates the future value of Facebookusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Facebook over a specific time period.
View All Facebook options
2021-10-22 CALL at $180.0 is a CALL option contract on Facebook's common stock with a strick price of 180.0 expiring on 2021-10-22. The contract was not traded in recent days and, as of today, has 4 days remaining before the expiration. The option is currently trading at a bid price of $144.55, and an ask price of $145.05. The implied volatility as of the 17th of October 2021 is 151.6031.
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      Facebook Price At Expiration 

Facebook Investment Opportunity

Facebook has a volatility of 1.95 and is 2.32 times more volatile than DOW. 16  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 16 () of all global equities and portfolios over the last 90 days. Use Facebook to protect your portfolios against small market fluctuations. The stock experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Facebook to be traded at $315.02 in 90 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.

Weak diversification

The correlation between Facebook and DJI is Weak diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Facebook and DJI in the same portfolio assuming nothing else is changed.

Facebook Additional Risk Indicators

The analysis of Facebook's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Facebook's 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 the risk of your existing portfolios.
Risk Adjusted Performance0.0491
Market Risk Adjusted Performance0.1247
Mean Deviation1.47
Semi Deviation1.77
Downside Deviation1.84
Coefficient Of Variation1951.26
Standard Deviation1.96
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 similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

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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The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Facebook as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Facebook's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Facebook's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Facebook.
Please check Investing Opportunities. Note that the Facebook information on this page should be used as a complementary analysis to other Facebook's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.

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When running Facebook price analysis, check to measure Facebook's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Facebook is operating at the current time. Most of Facebook's value examination focuses on studying past and present price action to predict the probability of Facebook's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Facebook's price. Additionally, you may evaluate how the addition of Facebook to your portfolios can decrease your overall portfolio volatility.
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The market value of Facebook is measured differently than its book value, which is the value of Facebook that is recorded on the company's balance sheet. Investors also form their own opinion of Facebook's value that differs from its market value or its book value, called intrinsic value, which is Facebook's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Facebook's market value can be influenced by many factors that don't directly affect Facebook underlying business (such as pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Facebook's value and its price as these two are different measures arrived at by different means. Investors typically determine Facebook value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Facebook's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.