Fossil Risk Analysis

Fossil Group Inc -- USA Stock  

USD 9.01  0.03  0.33%

Macroaxis considers Fossil to be not very volatile. Fossil Group Inc secures Sharpe Ratio (or Efficiency) of -0.0185 which denotes Fossil Group Inc had -0.0185% 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-one 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 (5,300) and Mean Deviation of 2.03 to check risk estimate we provide.
Investment Horizon     30 Days    Login   to change

Fossil Market Sensitivity

As returns on market increase, returns on owning Fossil are expected to decrease by larger amounts. On the other hand, during market turmoil, Fossil is expected to significantly outperform it.
One Month Beta |Analyze Fossil Group Inc Demand Trend
Check current 30 days Fossil correlation with market (DOW)
β = -4.4509
Fossil Large Negative BetaFossil Group Inc Beta Legend

Projected Return Density Against Market

Given the investment horizon of 30 days, Fossil Group Inc has beta of -4.4509 suggesting as returns on its benchmark rise, returns on holding Fossil Group Inc are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Fossil is expected to outperform its benchmark. Moreover, Fossil Group Inc has an alpha of 0.4931 implying that it can potentially generate 0.4931% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Fossil is -5413.53. The daily returns are destributed with a variance of 6.3 and standard deviation of 2.51. The mean deviation of Fossil Group Inc is currently at 1.94. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23
α
Alpha over DOW
= 0.49 
βBeta against DOW=(4.45) 
σ
Overall volatility
= 2.51 
 IrInformation ratio =(0.071) 

Actual Return Volatility

Fossil Group Inc inherits 2.51% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2303% 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

Completely opposite to 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 2.51 and is 10.91 times more volatile than DOW. 23% 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 23 (%) of all global equities and portfolios over the last 30 days. Use Fossil Group Inc to enhance returns of your portfolios. The stock experiences normal upward fluctuation. Check odds of Fossil to be traded at $9.46 in 30 days. As returns on market increase, returns on owning Fossil are expected to decrease by larger amounts. On the other hand, during market turmoil, Fossil is expected to significantly outperform it.

Fossil correlation with market

Very 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.