Target Risk Analysis

Target Corporation -- USA Stock  

USD 75.70  0.34  0.45%

Macroaxis considers Target to be not too risky. Target owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0959 which indicates Target had -0.0959% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring 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. Target Corporation exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Target Coefficient Of Variation of 1,437 and Risk Adjusted Performance of 0.12 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Target Market Sensitivity

As returns on market increase, Target returns are expected to increase less than the market. However during bear market, the loss on holding Target will be expected to be smaller as well.
One Month Beta |Analyze Target Demand Trend
Check current 30 days Target correlation with market (DOW)
β = 0.772
Target Small BetaTarget Beta Legend

Target Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Target 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

Considering 30-days investment horizon, Target has beta of 0.772 . This entails as returns on market go up, Target average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Target Corporation will be expected to be much smaller as well. Additionally, Target Corporation has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of Target is -1043.27. The daily returns are destributed with a variance of 2.92 and standard deviation of 1.71. The mean deviation of Target Corporation is currently at 1.31. For similar time horizon, the selected benchmark (DOW) has volatility of 1.71
α
Alpha over DOW
=0.02
β
Beta against DOW=0.77
σ
Overall volatility
=1.71
Ir
Information ratio =0.0064

Actual Return Volatility

Target Corporation has volatility of 1.708% on return distribution over 30 days investment horizon. DOW inherits 1.7402% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Target Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Indifferent to market move

Total Debt

Target Total Debt History

Total Debt

Largest Trends

Target Largest Period Trend

Investment Outlook

Target Investment Opportunity
DOW has a standard deviation of returns of 1.74 and is 1.02 times more volatile than Target Corporation. 15% of all equities and portfolios are less risky than Target. Compared to the overall equity markets, volatility of historical daily returns of Target Corporation is lower than 15 (%) of all global equities and portfolios over the last 30 days. Use Target Corporation to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Target to be traded at $74.94 in 30 days. As returns on market increase, Target returns are expected to increase less than the market. However during bear market, the loss on holding Target will be expected to be smaller as well.

Target correlation with market

Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Target Corp. and equity matching DJI index in the same portfolio.