Macroaxis considers JC Penney to be not very volatile. J C Penney retains Efficiency (Sharpe Ratio) of -0.2608 which attests that J C Penney had -0.2608% of return per unit of return volatility over the last 1 month. Macroaxis philosophy in determining 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. JC Penney exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out J C Penney Company Inc Market Risk Adjusted Performance of
(1.32) to validate risk estimate we provide.
|Investment Horizon||30 Days Login to change|
Projected Return Density Against MarketConsidering 30-days investment horizon, JC Penney has beta of 0.4485 . This indicates as returns on market go up, JC Penney average returns are expected to increase less than the benchmark. However during bear market, the loss on holding J C Penney Company Inc will be expected to be much smaller as well. Additionally, J C Penney Company Inc has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming NYSE
Considering 30-days investment horizon, the coefficient of variation of JC Penney is -383.5. The daily returns are destributed with a variance of 4.29 and standard deviation of 2.07. The mean deviation of J C Penney Company Inc is currently at 1.49. For similar time horizon, the selected benchmark (NYSE) has volatility of 0.57