Macys Risk Analysis And Volatility

M -- USA Stock  

Earnings Call  This Week

We consider Macys slightly risky. Macys has Sharpe Ratio of 0.0651 which conveys that the firm had 0.0651% of return per unit of risk over the last 3 months. Our philosophy towards estimating volatility of a stock is to use all available market data together with stock 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 verify Macys Risk Adjusted Performance of 0.0341, Mean Deviation of 2.18 and Downside Deviation of 3.33 to check out if risk estimate we provide are consistent with the epected return of 0.1845%.
Interest Expense

90 Days Market Risk

Slightly risky

Chance of Distress in 24 months

Below average

90 Days Economic Sensitivity

Hyperactively responds to market trends
Horizon     30 Days    Login   to change

Macys Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Macys will likely underperform.
3 Months Beta |Analyze Macys Demand Trend
Check current 30 days Macys correlation with market (DOW)
β = 2.0357

Macys Central Daily Price Deviation

Macys Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Macys Typical Price indicator is an average of each day price and can be used instead of closing price when creating different Macys moving average lines. View also all equity analysis or get more info about typical price price transform indicator.

Macys Projected Return Density Against Market

Taking into account the 30 trading days horizon, the stock has beta coefficient of 2.0357 indicating as the benchmark fluctuates upward, the company is expected to outperform it on average . However, if the benchmark returns are expected to be negative, Macys will likely underperform. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Macys is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Taking into account the 30 trading days horizon, the coefficient of variation of Macys is 1535.08. The daily returns are destributed with a variance of 8.02 and standard deviation of 2.83. The mean deviation of Macys is currently at 2.13. For similar time horizon, the selected benchmark (DOW) has volatility of 0.74
α
Alpha over DOW
=0.17
β
Beta against DOW=2.04
σ
Overall volatility
=2.83
Ir
Information ratio =0.01

Macys Return Volatility

the business accepts 2.8325% volatility on return distribution over the 30 days horizon. the entity inherits 0.7201% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Macys Investment Opportunity

Macys has a volatility of 2.83 and is 3.93 times more volatile than DOW. 25  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 25 () of all global equities and portfolios over the last 30 days. Use Macys to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of Macys to be traded at $20.22 in 30 days. . As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Macys will likely underperform.

Macys correlation with market

correlation synergy
Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Macys Inc and equity matching DJI index in the same portfolio.

Macys Current Risk Indicators

Macys Suggested Diversification Pairs

Please see also Stocks Correlation. Please also try Instant Ratings module to determine any equity ratings based on digital recommendations. macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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