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Macys Risk Analysis And Volatility

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M -- USA Stock  

 Earnings Call  This Week

We consider Macys slightly risky. Macys has Sharpe Ratio of 0.0415 which conveys that the firm had 0.0415% of return per unit of risk over the last 3 months. Our philosophy towards estimating volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Macys which you can use to evaluate future volatility of the firm. Please verify Macys Mean Deviation of 1.71, Risk Adjusted Performance of 0.0556 and Downside Deviation of 2.26 to check out if risk estimate we provide are consistent with the epected return of 0.0902%.
Equity
Refresh
Interest Expense

90 Days Market Risk

Slightly risky

Chance of Distress

Close to Average

90 Days Economic Sensitivity

Almost neglects market trends

Macys Market Sensitivity

As returns on market increase, returns on owning Macys are expected to decrease at a much smaller rate. During bear market, Macys is likely to outperform the market.
3 Months Beta |Analyze Macys Demand Trend
Check current 30 days Macys correlation with market (DOW)
β = -0.3057

Macys Central Daily Price Deviation

Macys Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Macys 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.

Macys Projected Return Density Against Market

Taking into account the 30 trading days horizon, Macys has beta of -0.3057 indicating as returns on benchmark increase, returns on holding Macys are expected to decrease at a much smaller rate. During bear market, however, Macys is likely to outperform the market. Moreover, The company has an alpha of 0.1435 implying that it can potentially generate 0.1435% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
    
  Returns 
Taking into account the 30 trading days horizon, the coefficient of variation of Macys is 2412.36. The daily returns are destributed with a variance of 4.74 and standard deviation of 2.18. The mean deviation of Macys is currently at 1.65. For similar time horizon, the selected benchmark (DOW) has volatility of 0.79
α
Alpha over DOW
=0.14
β
Beta against DOW=0.31
σ
Overall volatility
=2.18
Ir
Information ratio =0.0385

Macys Return Volatility

the business accepts 2.1771% volatility on return distribution over the 30 days horizon. the entity inherits 0.8011% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
    
  Timeline 

Macys Investment Opportunity

Macys has a volatility of 2.18 and is 2.73 times more volatile than DOW. 19  of all equities and portfolios are less risky than Macys. Compared to the overall equity markets, volatility of historical daily returns of Macys is lower than 19 () of all global equities and portfolios over the last 30 days. Use Macys to protect your portfolios against small markets fluctuations. The stock experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of Macys to be traded at $15.58 in 30 days. . As returns on market increase, returns on owning Macys are expected to decrease at a much smaller rate. During bear market, Macys is likely to outperform the market.

Macys correlation with market

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

Macys Current Risk Indicators

Macys Suggested Diversification Pairs

Additionally see Stocks Correlation. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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