JC Penney Risk Analysis

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 Market

Considering 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
 Predicted Return Density 
Benchmark  Embed   Returns 
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
Alpha over NYSE
βBeta against NYSE= 0.45 
Overall volatility
= 2.07 
 IrInformation ratio =(0.25)

Actual Return Volatility

J C Penney Company Inc has volatility of 2.0701% on return distribution over 30 days investment horizon. NYSE inherits 0.5522% risk (volatility on return distribution) over the 30 days horizon.
 Daily Returns (%) 
Benchmark  Embed   Timeline 

30 Days Market Risk

Not very volatile

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Slowly supersedes 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 2.07 and is 3.76 times more volatile than NYSE. 19% 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 19 (%) 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 normal upward fluctuation. Check odds of JC Penney to be traded at $8.83 in 30 days. As returns on market increase, JC Penney returns are expected to increase less than the market. However during bear market, the loss on holding JC Penney will be expected to be smaller as well.

JC Penney correlation with market

Average 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
Volatility Indicators
JC Penney Current Risk Indicators