Macys Risk Analysis

Macys Inc -- USA Stock  

USD 25.65  0.61  2.32%

Macroaxis considers Macys to be not too volatile. Macys Inc has Sharpe Ratio of -0.0988 which conveys that Macys Inc had -0.0988% of return per unit of risk over the last 1 month. Macroaxis philosophy towards estimating 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. Macys exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Macys Inc Mean Deviation of 1.97 and Risk Adjusted Performance of 0.14 to check out risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Macys Market Sensitivity

Macys returns are very sensitive to returns on the market. As market goes up or down, Macys is expected to follow.
One Month Beta |Analyze Macys Inc Demand Trend
Check current 30 days Macys correlation with market (DOW)
β = 1.1292
Macys llmost one BetaMacys Inc Beta Legend

Macys Inc Technical Analysis

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

Taking into account the 30 trading days horizon, the stock has beta coefficient of 1.1292 indicating Macys Inc market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Macys is expected to follow. Moreover, Macys Inc has an alpha of 0.003 implying that it can potentially generate 0.003% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Taking into account the 30 trading days horizon, the coefficient of variation of Macys is -1012.15. The daily returns are destributed with a variance of 6.15 and standard deviation of 2.48. The mean deviation of Macys Inc is currently at 1.93. For similar time horizon, the selected benchmark (DOW) has volatility of 1.71
α
Alpha over DOW
=0.003
β
Beta against DOW=1.13
σ
Overall volatility
=2.48
Ir
Information ratio =0.0088

Actual Return Volatility

Macys Inc accepts 2.4807% volatility on return distribution over the 30 days horizon. DOW inherits 1.7077% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Macys Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Almost mirrors market

Total Debt

Macys Inc Total Debt History

Total Debt

Largest Trends

Macys Largest Period Trend

Investment Outlook

Macys Investment Opportunity
Macys Inc has a volatility of 2.48 and is 1.45 times more volatile than DOW. 22% of all equities and portfolios are less risky than Macys. Compared to the overall equity markets, volatility of historical daily returns of Macys Inc is lower than 22 (%) of all global equities and portfolios over the last 30 days. Use Macys Inc to protect against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Macys to be traded at $24.62 in 30 days. Macys returns are very sensitive to returns on the market. As market goes up or down, Macys is expected to follow.

Macys correlation with market

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