ABM Industries Backtesting

ABM -- USA Stock  

USD 30.46  0.02  0.07%

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.
 Time Horizon     30 Days    Login   to change
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Backtest

ABM Industries 'What if' Analysis

May 25, 2018
0.00
No Change 0.00  0.0%
In 31 days
June 24, 2018
0.00
If you would invest  0.00  in ABM Industries on May 25, 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 Digital Realty, Extra Space, Jones Lang, Xinyuan Real, Gaming, and Realogy Holdings. ABM Industries Incorporated provides integrated facility solutions in the United States and internationally

ABM Industries Upside/Downside Indicators

Downside Deviation2.38
Maximum Drawdown16.81
Value At Risk2.37
Potential Upside1.54
  

ABM Industries Market Premium Indicators

Risk Adjusted Performance0.01

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 0.0833 which signifies that ABM Industries Incor had 0.0833% 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 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 2.38, Mean Deviation of 1.49 and Coefficient Of Variation of 1400.0 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 5. The corporation shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and ABM Industries are completely uncorrelated. 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 0.2512% will be sustainable into the future. Please makes use of ABM Industries Incor Maximum Drawdown, and the relationship between Variance and Downside Variance to make a quick decision on weather ABM Industries price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.63) 

Very good reverse predictability

ABM Industries Incorporated has very good reverse predictability. Overlapping area represents the amount of predictability between ABM Industries time series from May 25, 2018 to June 9, 2018 and June 9, 2018 to June 24, 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 -0.63 indicates that roughly 63.0% 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 -0.63
Spearman Rank Test 0.26
Price Variance 0.09
Lagged Price Variance 1.15

ABM Industries Incor lagged returns against current returns

 Current and Lagged Values 
      Timeline 

ABM Industries regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

ABM Industries Lagged Returns

 Regressed Prices 
      Timeline 

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Pair Correlation

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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for ABM Industries and CBRE Group. 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 Portfolio Quick Import module to import or update all your transactions via one easy-to-use interface.