Macys Risk Analysis

Macys Inc -- USA Stock  

USD 25.84  0.05  0.19%

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 Trend
Check current 30 days Macys correlation with market (DOW)
β = 0.8915
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, 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
=1.17
βBeta against DOW=0.89
σ
Overall volatility
=2.48
 IrInformation ratio =0.44

Actual Return Volatility

Macys Inc accepts 2.4824% volatility on return distribution over the 30 days horizon. DOW inherits 0.5042% 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

30 Days Economic Sensitivity

Follows market closely

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 4.96 times more volatile than DOW. 23% 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 23 (%) of all global equities and portfolios over the last 30 days. Use Macys Inc to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Macys to be traded at $25.58 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

Average 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.