Fossil Risk Analysis And Volatility Evaluation

FOSL -- USA Stock  

USD 26.88  0.49  1.86%

Macroaxis considers Fossil to be not very volatile. Fossil Group secures Sharpe Ratio (or Efficiency) of -0.0638 which denotes Fossil Group had -0.0638% of return per unit of risk over the last 1 month. Macroaxis philosophy towards 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. Fossil Group exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Fossil Group Coefficient Of Variation of 915.01 and Mean Deviation of 2.78 to check risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Fossil Market Sensitivity

One Month Beta |Analyze Fossil Group Demand Trend
Check current 30 days Fossil correlation with market (DOW)
β = -1.1122
Fossil llmost one BetaFossil Group Beta Legend

Fossil Group Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Fossil Group 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.

Projected Return Density Against Market

Given the investment horizon of 30 days, Fossil Group has beta of -1.1122 suggesting Additionally, Fossil Group has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Fossil is -1568.22. The daily returns are destributed with a variance of 12.95 and standard deviation of 3.6. The mean deviation of Fossil Group is currently at 2.6. For similar time horizon, the selected benchmark (DOW) has volatility of 0.62
α
Alpha over DOW
=0.29
β
Beta against DOW=1.11
σ
Overall volatility
=3.60
Ir
Information ratio =0.14

Actual Return Volatility

Fossil Group inherits 3.5983% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5886% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Fossil Volatility Factors

30 Days Market Risk

Not very volatile

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Totally opposite to market

Investment Outlook

Fossil Investment Opportunity
Fossil Group has a volatility of 3.6 and is 6.1 times more volatile than DOW. 33% of all equities and portfolios are less risky than Fossil. Compared to the overall equity markets, volatility of historical daily returns of Fossil Group is lower than 33 (%) of all global equities and portfolios over the last 30 days. Use Fossil Group to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Fossil to be traded at $29.57 in 30 days.

Fossil correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Fossil Group Inc and equity matching DJI index in the same portfolio.
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