Macroaxis considers JC Penney risky given 1 month investment horizon. J C Penney
retains Efficiency (Sharpe Ratio) of 0.25 which attests that J C Penney
had 0.25% of return per unit of return volatility over the last 1 month. Our philosophy in determining volatility of a stock is to use all available market data together with company specific technical indicators
that cannot be diversified away. By inspecting J C Penney technical indicators
you can at this moment evaluate if the expected return of 0.98% is justified by implied risk. Please utilizes J C Penney Company Inc Downside Deviation
of 3.95, Market Risk Adjusted Performance
of (0.68) and Semi Deviation of 3.05 to validate if our risk estimates are consistent with your expectations.
Projected Return Density against Market
Considering 30-days investment horizon, J C Penney Company Inc has beta of -1.41 . This indicates as returns on its benchmark rise, returns on holding J C Penney Company Inc are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, JC Penney is expected to outperform its benchmark. In addition to that, J C Penney Company Inc has alpha of 1.0603 implying that it can potentially generate 1.0603% excess return over S&P 500 after adjusting for the inherited market risk (beta).
Predicted Return Density
Considering 30-days investment horizon, the coefficient of variation of JC Penney is 394.42. The daily returns are destributed with a variance of 14.93 and standard deviation of 3.86. The mean deviation of J C Penney Company Inc is currently at 2.97. For similar time horizon, the selected benchmark (S&P 500) has volatility of 0.56
Actual Return Volatility
J C Penney Company Inc has volatility of 3.86%
on return distribution over 30 days investment horizon. S&P 500 shows 0.56% volatility of returns over 30 trading days.