Wayfair Risk Analysis And Volatility

W -- USA Stock  

Fiscal Quarter End: December 31, 2019  

Macroaxis considers Wayfair to be not too volatile. Wayfair shows Sharpe Ratio of -0.0926 which attests that the company had -0.0926% of return per unit of risk over the last 3 months. Macroaxis philosophy towards determining 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. Wayfair exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Wayfair Mean Deviation of 2.69 and Market Risk Adjusted Performance of (0.11) to validate risk estimate we provide.

90 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Very Small

90 Days Economic Sensitivity

Hyperactively responds to market trends
Horizon     30 Days    Login   to change

Wayfair Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Wayfair will likely underperform.
3 Months Beta |Analyze Wayfair Demand Trend
Check current 30 days Wayfair correlation with market (DOW)
β = 2.538

Wayfair Central Daily Price Deviation

Wayfair Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. The Median Price line plots median indexes of Wayfair price series. View also all equity analysis or get more info about median price price transform indicator.

Wayfair Projected Return Density Against Market

Taking into account the 30 trading days horizon, the stock has beta coefficient of 2.538 . This means as the benchmark fluctuates upward, the company is expected to outperform it on average . However, if the benchmark returns are expected to be negative, Wayfair will likely underperform. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Wayfair is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Taking into account the 30 trading days horizon, the coefficient of variation of Wayfair is -1079.34. The daily returns are destributed with a variance of 15.68 and standard deviation of 3.96. The mean deviation of Wayfair is currently at 2.67. For similar time horizon, the selected benchmark (DOW) has volatility of 0.74
α
Alpha over DOW
=0.64
β
Beta against DOW=2.54
σ
Overall volatility
=3.96
Ir
Information ratio =0.11

Wayfair Return Volatility

the venture accepts 3.9597% volatility on return distribution over the 30 days horizon. the entity inherits 0.721% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Wayfair Investment Opportunity

Wayfair has a volatility of 3.96 and is 5.5 times more volatile than DOW. 35  of all equities and portfolios are less risky than Wayfair. Compared to the overall equity markets, volatility of historical daily returns of Wayfair is lower than 35 () of all global equities and portfolios over the last 30 days. Use Wayfair to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Wayfair to be traded at $92.08 in 30 days. . As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Wayfair will likely underperform.

Wayfair correlation with market

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

Wayfair Current Risk Indicators

Wayfair Suggested Diversification Pairs

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