JC Penney Risk Analysis

JC Penney is moderately volatile given 1 month investment horizon. J C Penney retains Efficiency (Sharpe Ratio) of 0.4422 which attests that J C Penney had 0.4422% of return per unit of return volatility over the last 1 month. Our philosophy in determining 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 1.189% are justified by taking the suggested risk. Use J C Penney Downside Deviation of 3.08, Market Risk Adjusted Performance of (3.77) and Semi Deviation of 1.81 to evaluate company specific risk that cannot be diversified away.
Investment Horizon     30 Days    Login   to change

JC Penney Market Sensitivity

As returns on market increase, returns on owning JC Penney are expected to decrease at a much smaller rate. During bear market, JC Penney is likely to outperform the market.
One Month Beta |Analyze J C Penney Demand Trend
Check current 30 days JC Penney correlation with market (NYSE)
β = -0.2988
JC Penney Almost negative betaJ C Penney Beta Legend

Projected Return Density Against Market

Considering 30-days investment horizon, J C Penney Company Inc has beta of -0.2988 . This indicates as returns on benchmark increase, returns on holding JC Penney are expected to decrease at a much smaller rate. During bear market, however, J C Penney Company Inc is likely to outperform the market. In addition to that, J C Penney Company Inc has an alpha of 1.2138 implying that it can potentially generate 1.2138% excess return over NYSE after adjusting for the inherited market risk (beta).
 Predicted Return Density 
Benchmark  Embed   Returns 
Considering 30-days investment horizon, the coefficient of variation of JC Penney is 226.12. The daily returns are destributed with a variance of 7.23 and standard deviation of 2.69. The mean deviation of J C Penney Company Inc is currently at 2.14. For similar time horizon, the selected benchmark (NYSE) has volatility of 0.56
α
Alpha over NYSE
= 1.21 
βBeta against NYSE=(0.30)
σ
Overall volatility
= 2.69 
 IrInformation ratio = 0.31 

Actual Return Volatility

J C Penney Company Inc has volatility of 2.6886% on return distribution over 30 days investment horizon. NYSE inherits 0.4769% risk (volatility on return distribution) over the 30 days horizon.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

30 Days Market Risk

Moderately volatile

Chance of Distress in 24 months

30 Days Economic Sensitivity

Almost neglects market
Total Debt
J C Penney Total Debt History
Largest Trends
JC Penney Largest Period Trend
Investment Outlook
JC Penney Investment Opportunity
J C Penney Company Inc has a volatility of 2.69 and is 5.6 times more volatile than NYSE. 26% of all equities and portfolios are less risky than JC Penney. Compared to the overall equity markets, volatility of historical daily returns of J C Penney Company Inc is lower than 26 (%) of all global equities and portfolios over the last 30 days. Use J C Penney Company Inc to enhance returns of your portfolios. The stock experiences very speculative upward sentiment.. Check odds of JC Penney to be traded at $13.05 in 30 days. As returns on market increase, returns on owning JC Penney are expected to decrease at a much smaller rate. During bear market, JC Penney is likely to outperform the market.

JC Penney correlation with market

Good diversification
Overlapping area represents amount of risk that can be diversified away by holding J. C. Penney Company Inc. and equity matching NYA index in the same portfolio