Macys Risk Analysis And Volatility Evaluation

M -- USA Stock  

USD 34.13  0.10  0.29%

Macroaxis considers Macys not very risky given 1 month investment horizon. Macys has Sharpe Ratio of 0.1238 which conveys that Macys had 0.1238% 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 company 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 exercise Macys Downside Deviation of 2.76, Mean Deviation of 1.83 and Risk Adjusted Performance of 0.01 to check out if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Macys Technical Analysis

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 0.0 indicating unless we do not have required data, the returns on DOW and Macys are completely uncorrelated. Furthermore, MacysIt does not look like Macys alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
Taking into account the 30 trading days horizon, the coefficient of variation of Macys is 807.88. The daily returns are destributed with a variance of 8.96 and standard deviation of 2.99. The mean deviation of Macys is currently at 1.83. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
Alpha over DOW
Beta against DOW=0.00
Overall volatility
Information ratio =0.12

Actual Return Volatility

Macys accepts 2.9932% volatility on return distribution over the 30 days horizon. DOW inherits 1.4387% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

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

Market Insensitive

Investment Outlook

Macys Investment Opportunity
Macys has a volatility of 2.99 and is 2.08 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.

Total Debt

Macys Total Debt History

Total Debt

Please see also Stocks Correlation. Please also try Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.