Fossil Risk Analysis

Fossil Group Inc -- USA Stock  

USD 6.74  0.19  2.74%

Macroaxis considers Fossil to be moderately volatile. Fossil Group Inc secures Sharpe Ratio (or Efficiency) of -0.0636 which denotes Fossil Group Inc had -0.0636% 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 Inc exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Fossil Group Inc Coefficient Of Variation of (3,874) and Mean Deviation of 2.74 to check risk estimate we provide.
Investment Horizon     30 Days    Login   to change

Fossil Market Sensitivity

As returns on market increase, Fossil returns are expected to increase less than the market. However during bear market, the loss on holding Fossil will be expected to be smaller as well.
One Month Beta |Analyze Fossil Group Inc Demand Trend
Check current 30 days Fossil correlation with market (DOW)
β = 0.0404
Fossil Small BetaFossil Group Inc Beta Legend

Fossil Group Inc Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Fossil Group Inc 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 has beta of 0.0404 suggesting as returns on market go up, Fossil average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Fossil Group Inc will be expected to be much smaller as well. Additionally, Fossil Group Inc 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 -1573.12. The daily returns are destributed with a variance of 15.72 and standard deviation of 3.97. The mean deviation of Fossil Group Inc is currently at 2.95. For similar time horizon, the selected benchmark (DOW) has volatility of 0.47
α
Alpha over DOW
=0.12
βBeta against DOW=0.0404
σ
Overall volatility
=3.97
 IrInformation ratio =0.09

Actual Return Volatility

Fossil Group Inc inherits 3.9651% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.4723% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Fossil Volatility Factors

30 Days Market Risk

Moderately volatile

Chance of Distress in 24 months

Very low

30 Days Economic Sensitivity

Barely shadows market

Total Debt

Fossil Group Inc Total Debt History

Total Debt

Largest Trends

Fossil Largest Period Trend

Investment Outlook

Fossil Investment Opportunity
Fossil Group Inc has a volatility of 3.97 and is 8.45 times more volatile than DOW. 36% of all equities and portfolios are less risky than Fossil. Compared to the overall equity markets, volatility of historical daily returns of Fossil Group Inc is lower than 36 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

Fossil Current Risk Indicators