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 TrendCheck current 30 days Fossil correlation with market (DOW)|
β = -4.4509
Projected Return Density Against MarketGiven 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).
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