Macys is not too volatile given 1 month investment horizon. Macys Inc has Sharpe Ratio of 0.5819 which conveys that Macys Inc had 0.5819% of return per unit of risk over the last 1 month. Our philosophy towards estimating risk of a stock is to use both market data as well as company specific technical data. We found twenty-eight different technical indicators which can help you to evaluate if expected returns of 1.4444% are justified by taking the suggested risk. Use Macys Inc Mean Deviation of 1.81 and Risk Adjusted Performance of 0.2596 to evaluate company specific risk that cannot be diversified away.
|Investment 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 = 0.8915
Macys Inc Technical Analysis
Projected Return Density Against MarketTaking into account the 30 trading days horizon, Macys has beta of 0.8915 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. In addition to that, Macys Inc has an alpha of 1.1699 implying that it can potentially generate 1.1699% 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 171.86. The daily returns are destributed with a variance of 6.16 and standard deviation of 2.48. The mean deviation of Macys Inc is currently at 1.69. For similar time horizon, the selected benchmark (DOW) has volatility of 0.5