Macys Risk Analysis And Volatility Evaluation

M -- USA Stock  

USD 35.15  6.67  15.95%

Macroaxis considers Macys to be not very risky. Macys has Sharpe Ratio of -0.0588 which conveys that Macys had -0.0588% 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 Downside Deviation of 2.16, Mean Deviation of 1.26 and Risk Adjusted Performance of 0.1032 to check out risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Macys Market Sensitivity

As returns on market increase, returns on owning Macys are expected to decrease at a much smaller rate. During bear market, Macys is likely to outperform the market.
One Month Beta |Analyze Macys Demand Trend
Check current 30 days Macys correlation with market (DOW)
β = -0.3157
Macys Almost negative betaMacys Beta Legend

Macys Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Macys 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, Macys has beta of -0.3157 indicating as returns on benchmark increase, returns on holding Macys are expected to decrease at a much smaller rate. During bear market, however, Macys is likely to outperform the market. Moreover, Macys has an alpha of 0.3003 implying that it can potentially generate 0.3003% 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 -1700.02. The daily returns are destributed with a variance of 15.96 and standard deviation of 3.99. The mean deviation of Macys is currently at 2.23. For similar time horizon, the selected benchmark (DOW) has volatility of 0.56
α
Alpha over DOW
=0.30
β
Beta against DOW=0.32
σ
Overall volatility
=3.99
Ir
Information ratio =0.13

Actual Return Volatility

Macys accepts 3.9949% volatility on return distribution over the 30 days horizon. DOW inherits 0.5506% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Macys Volatility Factors

30 Days Market Risk

Not very risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Almost neglects market

Investment Outlook

Macys Investment Opportunity
Macys has a volatility of 3.99 and is 7.25 times more volatile than DOW. 36% of all equities and portfolios are less risky than Macys. Compared to the overall equity markets, volatility of historical daily returns of Macys is lower than 36 (%) of all global equities and portfolios over the last 30 days. Use Macys to protect against small markets fluctuations. The stock experiences very speculative upward sentiment.. Check odds of Macys to be traded at $33.39 in 30 days. As returns on market increase, returns on owning Macys are expected to decrease at a much smaller rate. During bear market, Macys is likely to outperform the market.

Macys correlation with market

Good 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.
Please see also Stocks Correlation. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.