ABM Industries Backtesting

ABM Industries Incorporated -- USA Stock  

USD 42.52  0.12  0.28%

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
Investment Horizon     30 Days    Login   to change

ABM Industries 'What if' Analysis

September 20, 2017
No Change 0.00  0.0%
In 31 days
October 20, 2017
If you would invest  0.00  in ABM Industries on September 20, 2017 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 CBRE, Digital Realty, Extra Space, Jones Lang, and Xinyuan Real. It offers carpet cleaning and dusting floor cleaning and finishing window washing and other building cleaning services f...

ABM Industries Upside/Downside Indicators


ABM Industries Market Premium Indicators

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 Incor Backtested Returns

Macroaxis considers ABM Industries not too risky given 1 month investment horizon. ABM Industries Incor secures Sharpe Ratio (or Efficiency) of 0.4171 which signifies that ABM Industries Incor had 0.4171% 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 company specific technical indicators that cannot be diversified away. We have found twenty-one 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 0.8618, Mean Deviation of 0.6412 and Coefficient Of Variation of 233.73 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 28. The corporation shows Beta (market volatility) of -0.7734 which signifies that as returns on market increase, returns on owning ABM Industries are expected to decrease at a much smaller rate. During bear market, ABM Industries is likely to outperform the market.. 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 patternss. 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 0.3474% will be sustainable into the future. Please makes use of ABM Industries Incor Treynor Ratio, and the relationship between Variance and Potential Upside to make a quick decision on weather ABM Industries price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.3) 

Weak reverse predictability

ABM Industries Incorporated has weak reverse predictability. Overlapping area represents the amount of predictability between ABM Industries time series from September 20, 2017 to October 5, 2017 and October 5, 2017 to October 20, 2017. 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 -0.3 indicates that nearly 30.0% 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 -0.3
Spearman Rank Test -0.52
Price Variance 0.08
Lagged Price Variance 2.09

ABM Industries Lagged Returns

 Regressed Prices 

ABM Industries Performance vs DOW

The median price of ABM Industries for the period between Wed, Sep 20, 2017 and Fri, Oct 20, 2017 is 42.62 with a coefficient of variation of 3.4. The daily time series for the period is distributed with a sample standard deviation of 1.42, arithmetic mean of 41.89, and mean deviation of 1.18. The Stock received some media coverage during the period.
October 4, 2017ABM Industries Dividend Paid
Price Growth (%)  
Acquisition by James McClure of 6042 shares of ABM Industrie...10/18/2017