Sears Holdings (Germany) Risk Analysis And Volatility Evaluation

SEE -- Germany Stock  

EUR 0.60  0.06  9.09%

Macroaxis considers Sears Holdings to be unknown risk. Sears Holdings owns Efficiency Ratio (i.e. Sharpe Ratio) of -1.3583 which indicates Sears Holdings had -1.3583% of return per unit of risk over the last 1 month. 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 152.03 and Risk Adjusted Performance of 0.71 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

Sears Holdings Market Sensitivity

As returns on market increase, Sears Holdings returns are expected to increase less than the market. However during bear market, the loss on holding Sears Holdings will be expected to be smaller as well.
One Month Beta |Analyze Sears Holdings Demand Trend
Check current 30 days Sears Holdings correlation with market (DOW)
β = 0.5535
Sears Holdings Small BetaSears Holdings Beta Legend

Sears Holdings Technical Analysis

Transformation
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Sears Holdings Projected Return Density Against Market

Assuming 30 trading days horizon, Sears Holdings has beta of 0.5535 . This entails as returns on market go up, Sears Holdings average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Sears Holdings Corporation will be expected to be much smaller as well. Additionally, Sears Holdings Corporation has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Sears Holdings is -73.62. The daily returns are destributed with a variance of 11.35 and standard deviation of 3.37. The mean deviation of Sears Holdings Corporation is currently at 2.62. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=3.42
β
Beta against DOW=0.55
σ
Overall volatility
=3.37
Ir
Information ratio =0.63

Sears Holdings Return Volatility

Sears Holdings Corporation shows 3.3697% volatility of returns over 30 trading days. DOW inherits 1.0373% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Sears Holdings Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Insignificant

Investment Outlook

Sears Holdings Investment Opportunity

Sears Holdings Corporation has a volatility of 3.37 and is 3.24 times more volatile than DOW. 30% 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 lower than 30 (%) of all global equities and portfolios over the last 30 days. Use Sears Holdings Corporation to protect against small markets fluctuations. The stock experiences very speculative upward sentiment.. Check odds of Sears Holdings to be traded at €0.57 in 30 days. As returns on market increase, Sears Holdings returns are expected to increase less than the market. However during bear market, the loss on holding Sears Holdings will be expected to be smaller as well.

Sears Holdings correlation with market

Average 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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