Macys Risk Analysis And Volatility Evaluation

M -- USA Stock  

USD 37.05  3.83  11.53%

We consider Macys not very risky. Macys has Sharpe Ratio of 0.004 which conveys that Macys had 0.004% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Macys which you can use to evaluate future volatility of the firm. Please verify Macys Downside Deviation of 3.24, Mean Deviation of 2.29 and Risk Adjusted Performance of 0.0748 to check out if risk estimate we provide are consistent with the epected return of 0.0123%.
Horizon     30 Days    Login   to change

Macys Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Macys will likely underperform.
One Month Beta |Analyze Macys Demand Trend
Check current 30 days Macys correlation with market (DOW)
β = 1.2083

Macys Central Daily Price Deviation

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 avgprice price transform indicator.

Macys Projected Return Density Against Market

Taking into account the 30 trading days horizon, the stock has beta coefficient of 1.2083 indicating as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Macys will likely underperform. Moreover, Macys has an alpha of 0.3123 implying that it can potentially generate 0.3123% 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 25091.19. The daily returns are destributed with a variance of 9.49 and standard deviation of 3.08. The mean deviation of Macys is currently at 2.2. For similar time horizon, the selected benchmark (DOW) has volatility of 1.21
α
Alpha over DOW
=0.31
β
Beta against DOW=1.21
σ
Overall volatility
=3.08
Ir
Information ratio =0.09

Macys Return Volatility

Macys accepts 3.0814% volatility on return distribution over the 30 days horizon. DOW inherits 1.2054% 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

Responds to market

Investment Outlook

Macys Investment Opportunity

Macys has a volatility of 3.08 and is 2.55 times more volatile than DOW. 27% 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 27 (%) of all global equities and portfolios over the last 30 days. Use Macys to enhance returns of your portfolios. The stock experiences very speculative upward sentiment.. Check odds of Macys to be traded at $46.31 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Macys will likely underperform.

Macys correlation with market

correlation synergy
Very weak 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 Theme Ratings module to determine theme ratings based on digital equity recommendations. macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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