ABM Industries Incor Backtested Returns
Macroaxis considers ABM Industries to be not too volatile. ABM Industries Incor
secures Sharpe Ratio (or Efficiency) of -0.2266 which signifies that ABM Industries Incor
had -0.2266% of return per unit of return volatility over the last 1 month. Macroaxis approach into foreseeing 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
. ABM Industries Incorporated exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm ABM Industries Incor Mean Deviation
of 1.1 and Coefficient Of Variation
of 445.91 to double-check risk estimate we provide. Macroaxis gives ABM Industries performance score of 0 on a scale of 0 to 100. The corporation shows Beta (market volatility) of 0.6846 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.. Even though it is essential to pay attention to ABM Industries Incor historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis approach into foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. ABM Industries Incorporated exposes twenty-one different technical indicators which can help you to evaluate its performance. ABM Industries Incor has expected return of -0.3833%. Please be advised to confirm ABM Industries Incor Treynor Ratio, and the relationship between Variance and Potential Upside to decide if ABM Industries Incor past performance will be repeated in the future.
|15 days auto-correlation||(0.58) |
Good reverse predictability
ABM Industries Incorporated has good reverse predictability. Overlapping area represents the amount of predictability between ABM Industries time series from January 24, 2018 to February 8, 2018 and February 8, 2018 to February 23, 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 -0.58 indicates that roughly 58.0% 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|| -0.58|
|Spearman Rank Test|| -0.67|
|Price Variance|| 0.52|
|Lagged Price Variance|| 2.46|
ABM Industries Lagged Returns