ABM Industries Backtesting

ABM -- USA Stock  

USD 33.38  0.18  0.54%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of ABM Industries Incorporated and determine expected loss or profit from investing in ABM Industries over given investment horizon. Check also ABM Industries Hype Analysis, ABM Industries Correlation, ABM Industries Valuation, ABM Industries Volatility as well as analyze ABM Industries Alpha and Beta and ABM Industries Performance.
Horizon     30 Days    Login   to change

ABM Industries 'What if' Analysis

August 26, 2018
No Change 0.00  0.0%
In 31 days
September 25, 2018
If you would invest  0.00  in ABM Industries on August 26, 2018 and sell it all today you would earn a total of 0.00 from holding ABM Industries Incorporated or generate 0.0% return on investment in ABM Industries over 30 days. ABM Industries is related to or competes with Genpact, Visa, Broadridge Financial, Bazaarvoice, Verisk Analytics, Eco Tek, and Euronet Worldwide. ABM Industries Incorporated provides integrated facility solutions in the United States and internationally

ABM Industries Upside/Downside Indicators

Downside Deviation1.63
Information Ratio0.126
Maximum Drawdown10.61
Value At Risk1.66
Potential Upside2.24

ABM Industries Market Premium Indicators

Risk Adjusted Performance0.1072
Jensen Alpha0.3874
Total Risk Alpha0.21
Sortino Ratio0.1506
Treynor Ratio8.81

ABM Industries Incor Backtested Returns

Macroaxis considers ABM Industries not too volatile given 1 month investment horizon. ABM Industries Incor secures Sharpe Ratio (or Efficiency) of 0.2095 which signifies that ABM Industries Incor had 0.2095% of return per unit of return volatility over the last 1 month. Our approach into foreseeing 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-eight technical indicators for ABM Industries Incorporated which you can use to evaluate future volatility of the entity. Please makes use of ABM Industries Incor Downside Deviation of 1.63, Mean Deviation of 1.21 and Coefficient Of Variation of 481.73 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 ABM Industries holds performance score of 13. The corporation shows Beta (market volatility) of 0.0447 which signifies that as returns on market increase, ABM Industries returns are expected to increase less than the market. However during bear market, the loss on holding ABM Industries will be expected to be smaller as well.. Although it is vital to follow to ABM Industries Incor historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The approach into foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By examining ABM Industries Incor technical indicators you can right now evaluate if the expected return of 0.4078% will be sustainable into the future. Please makes use of ABM Industries Incor Jensen Alpha, Potential Upside, Accumulation Distribution, as well as the relationship between Treynor Ratio and Expected Short fall to make a quick decision on weather ABM Industries price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.44) 

Modest reverse predictability

ABM Industries Incorporated has modest reverse predictability. Overlapping area represents the amount of predictability between ABM Industries time series from August 26, 2018 to September 10, 2018 and September 10, 2018 to September 25, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of ABM Industries Incor price movement. The serial correlation of -0.44 indicates that just about 44.0% of current ABM Industries price fluctuation can be explain by its past prices. Given that ABM Industries Incorporated has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of ABM Industries for similar time interval.
Correlation Coefficient-0.44
Spearman Rank Test-0.55
Residual Average0.0
Price Variance0.18

ABM Industries Incor lagged returns against current returns

 Current and Lagged Values 

ABM Industries regressed lagged prices vs. current prices

 Current vs Lagged Prices 

ABM Industries Lagged Returns

 Regressed Prices 

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ABM Industries Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for ABM Industries and Genpact Limited. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Check also ABM Industries Hype Analysis, ABM Industries Correlation, ABM Industries Valuation, ABM Industries Volatility as well as analyze ABM Industries Alpha and Beta and ABM Industries Performance. Please also try Focused Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
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