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 TrendCheck current 30 days Macys correlation with market (DOW)|
β = 1.1292
Macys Inc Technical Analysis
Projected Return Density Against MarketTaking 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).
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