Macys (Germany) Market Value
| FDO Stock | EUR 15.63 0.31 2.02% |
| Symbol | Macys |
Macys 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Macys' stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Macys.
| 10/23/2024 |
| 12/22/2024 |
If you would invest 0.00 in Macys on October 23, 2024 and sell it all today you would earn a total of 0.00 from holding Macys Inc or generate 0.0% return on investment in Macys over 60 days. Macys is related to or competes with Aeon, SHOPRITE HDGS, Shoprite Holdings, Dillards, RYOHIN UNSPADR1, and PEPKOR. Macys, Inc., an omnichannel retail organization, operates stores, Websites, and mobile applications More
Macys Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Macys' stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Macys Inc upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.56 | |||
| Information Ratio | 0.103 | |||
| Maximum Drawdown | 10.42 | |||
| Value At Risk | (2.71) | |||
| Potential Upside | 4.46 |
Macys Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Macys' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Macys' standard deviation. In reality, there are many statistical measures that can use Macys historical prices to predict the future Macys' volatility.| Risk Adjusted Performance | 0.1002 | |||
| Jensen Alpha | 0.221 | |||
| Total Risk Alpha | 0.1742 | |||
| Sortino Ratio | 0.1337 | |||
| Treynor Ratio | 0.5136 |
Macys Inc Backtested Returns
Macys appears to be not too volatile, given 3 months investment horizon. Macys Inc has Sharpe Ratio of 0.12, which conveys that the firm had a 0.12% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Macys, which you can use to evaluate the volatility of the firm. Please exercise Macys' Risk Adjusted Performance of 0.1002, downside deviation of 1.56, and Mean Deviation of 1.43 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Macys holds a performance score of 9. The company secures a Beta (Market Risk) of 0.45, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Macys' returns are expected to increase less than the market. However, during the bear market, the loss of holding Macys is expected to be smaller as well. Please check Macys' jensen alpha, maximum drawdown, and the relationship between the coefficient of variation and sortino ratio , to make a quick decision on whether Macys' current price movements will revert.
Auto-correlation | 0.10 |
Insignificant predictability
Macys Inc has insignificant predictability. Overlapping area represents the amount of predictability between Macys time series from 23rd of October 2024 to 22nd of November 2024 and 22nd of November 2024 to 22nd of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Macys Inc price movement. The serial correlation of 0.1 indicates that less than 10.0% of current Macys price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.1 | |
| Spearman Rank Test | 0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 0.19 |
Macys Inc lagged returns against current returns
Autocorrelation, which is Macys stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Macys' stock expected returns. We can calculate the autocorrelation of Macys returns to help us make a trade decision. For example, suppose you find that Macys has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Macys regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Macys stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Macys stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Macys stock over time.
Current vs Lagged Prices |
| Timeline |
Macys Lagged Returns
When evaluating Macys' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Macys stock have on its future price. Macys autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Macys autocorrelation shows the relationship between Macys stock current value and its past values and can show if there is a momentum factor associated with investing in Macys Inc.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Additional Information and Resources on Investing in Macys Stock
When determining whether Macys Inc is a strong investment it is important to analyze Macys' competitive position within its industry, examining market share, product or service uniqueness, and competitive advantages. Beyond financials and market position, potential investors should also consider broader economic conditions, industry trends, and any regulatory or geopolitical factors that may impact Macys' future performance. For an informed investment choice regarding Macys Stock, refer to the following important reports:Check out Macys Correlation, Macys Volatility and Macys Alpha and Beta module to complement your research on Macys. You can also try the Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
Macys technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.