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 TrendCheck current 30 days Sears Holdings correlation with market (DOW)|
β = 14.0757
Sears Holdings Central Daily Price Deviation
Sears Holdings Technical Analysis
Sears Holdings Projected Return Density Against MarketAssuming 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||=||2.31|
|Beta against DOW||=||14.08|
Sears Holdings Return Volatilitythe 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.
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