Sears Holdings (Germany) Risk Analysis And Volatility

SEE -- Germany Stock  

EUR 0.68  0.00  0.00%

Macroaxis considers Sears Holdings to be abnormally risky. Sears Holdings owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.1247 which indicates the firm had -0.1247% of return per unit of risk over the last 2 months. 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. Sears Holdings Corporation exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Sears Holdings Coefficient Of Variation of 651.48, Semi Deviation of 12.52 and Risk Adjusted Performance of 0.1132 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Sears Holdings Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Sears Holdings will likely underperform.
2 Months Beta |Analyze Sears Holdings Demand Trend
Check current 30 days Sears Holdings correlation with market (DOW)
β = 14.0757

Sears Holdings Central Daily Price Deviation

Sears Holdings Technical Analysis

The output start index for this execution was zero with a total number of output elements of thirty-nine. Sears Holdings 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.

Sears Holdings Projected Return Density Against Market

Assuming 30 trading days horizon, the stock has beta coefficient of 14.0757 . This entails as the benchmark fluctuates upward, the company is expected to outperform it on average . However, if the benchmark returns are expected to be negative, Sears Holdings will likely underperform. In addition to that, The company has an alpha of 2.3071 implying that it can potentially generate 2.3071% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
Assuming 30 trading days horizon, the coefficient of variation of Sears Holdings is -801.97. The daily returns are destributed with a variance of 107.34 and standard deviation of 10.36. The mean deviation of Sears Holdings Corporation is currently at 6.25. For similar time horizon, the selected benchmark (DOW) has volatility of 0.67
Alpha over DOW
Beta against DOW=14.08
Overall volatility
Information ratio =0.15

Sears Holdings Return Volatility

the firm shows 10.3605% volatility of returns over 30 trading days. the entity inherits 0.6501% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Market Risk Breakdown

Sears Holdings Volatility Factors

60 Days Market Risk

Abnormally risky

Chance of Distress in 24 months


60 Days Economic Sensitivity

Hyperactively responds to market trends

Investment Outlook

Sears Holdings Investment Opportunity

Sears Holdings Corporation has a volatility of 10.36 and is 15.94 times more volatile than DOW. 92% of all equities and portfolios are less risky than Sears Holdings. Compared to the overall equity markets, volatility of historical daily returns of Sears Holdings Corporation is higher than 92 (%) of all global equities and portfolios over the last 30 days. Use Sears Holdings Corporation to protect your portfolios against small markets fluctuations. The stock experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Sears Holdings to be traded at €0.6692 in 30 days. . As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Sears Holdings will likely underperform.

Sears Holdings correlation with market

correlation synergy
Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Sears Holdings Corp. and equity matching DJI index in the same portfolio.

Sears Holdings Volatility Indicators

Sears Holdings Corporation Current Risk Indicators

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