Sears Holdings (Germany) Risk Analysis And Volatility Evaluation

SEE -- Germany Stock  

EUR 0.40  0.00  0.00%

Sears Holdings is abnormally risky given 2 months investment horizon. Sears Holdings owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0773 which indicates Sears Holdings had 0.0773% of return per unit of risk over the last 2 months. Our philosophy towards measuring risk of a stock is to use both market data as well as company specific technical data. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 1.4029% are justified by taking the suggested risk. Use Sears Holdings Coefficient Of Variation of (2,770) and Risk Adjusted Performance of (0.04071) to evaluate company specific risk that cannot be diversified away.
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.
2 Months Beta |Analyze Sears Holdings Demand Trend
Check current 30 days Sears Holdings correlation with market (DOW)
β = 0.6128

Sears Holdings Central Daily Price Deviation

Sears Holdings Technical Analysis

Transformation
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, Sears Holdings has beta of 0.6128 . 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 1293.49. The daily returns are destributed with a variance of 329.31 and standard deviation of 18.15. The mean deviation of Sears Holdings Corporation is currently at 10.35. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.52
β
Beta against DOW=0.61
σ
Overall volatility
=18.15
Ir
Information ratio =0.03

Sears Holdings Return Volatility

Sears Holdings Corporation shows 18.147% volatility of returns over 30 trading days. DOW inherits 1.3055% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Sears Holdings Volatility Factors

60 Days Market Risk

Abnormally risky

Chance of Distress in 24 months

Quite high

60 Days Economic Sensitivity

Follows market closely

Investment Outlook

Sears Holdings Investment Opportunity

Sears Holdings Corporation has a volatility of 18.15 and is 13.85 times more volatile than DOW. 96% 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 96 (%) of all global equities and portfolios over the last 30 days. Use Sears Holdings Corporation to protect 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 €0.395 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

correlation synergy
Significant 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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