Automatic Data Backtesting

ADP -- USA Stock  

USD 150.68  1.79  1.20%

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

Automatic Data 'What if' Analysis

August 27, 2018
No Change 0.00  0.0%
In 30 days
September 26, 2018
If you would invest  0.00  in Automatic Data on August 27, 2018 and sell it all today you would earn a total of 0.00 from holding Automatic Data Processing or generate 0.0% return on investment in Automatic Data over 30 days. Automatic Data is related to or competes with Genpact, Visa, Broadridge Financial, Bazaarvoice, Verisk Analytics, Eco Tek, and Euronet Worldwide. Automatic Data Processing, Inc. provides business process outsourcing services worldwide

Automatic Data Upside/Downside Indicators

Downside Deviation0.779
Information Ratio0.1306
Maximum Drawdown3.47
Value At Risk1.07
Potential Upside1.75

Automatic Data Market Premium Indicators

Risk Adjusted Performance0.0969
Jensen Alpha0.1749
Total Risk Alpha0.0604
Sortino Ratio0.1439
Treynor Ratio1.27

Automatic Data Proce Backtested Returns

We consider Automatic Data not too risky. Automatic Data Proce secures Sharpe Ratio (or Efficiency) of 0.2002 which signifies that Automatic Data Proce had 0.2002% of return per unit of risk over the last 1 month. Our philosophy towards 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-one technical indicators for Automatic Data Processing which you can use to evaluate future volatility of the firm. Please confirm Automatic Data Proce Downside Deviation of 0.779, Risk Adjusted Performance of 0.0969 and Mean Deviation of 0.594 to double-check if risk estimate we provide are consistent with the epected return of 0.1761%. Automatic Data has performance score of 13 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.132 which signifies that as returns on market increase, returns on owning Automatic Data are expected to decrease at a much smaller rate. During bear market, Automatic Data is likely to outperform the market.. Although it is extremely important to respect Automatic Data Proce historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards 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 analyzing Automatic Data Proce technical indicators you can presently evaluate if the expected return of 0.1761% will be sustainable into the future. Automatic Data Proce right now shows a risk of 0.8795%. Please confirm Automatic Data Proce Variance, Maximum Drawdown as well as the relationship between Maximum Drawdown and Semi Variance to decide if Automatic Data Proce will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.51 

Modest predictability

Automatic Data Processing has modest predictability. Overlapping area represents the amount of predictability between Automatic Data time series from August 27, 2018 to September 11, 2018 and September 11, 2018 to September 26, 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 Automatic Data Proce price movement. The serial correlation of 0.51 indicates that about 51.0% of current Automatic Data price fluctuation can be explain by its past prices.
Correlation Coefficient0.51
Spearman Rank Test0.55
Residual Average0.0
Price Variance1.53

Automatic Data Proce lagged returns against current returns

 Current and Lagged Values 

Automatic Data regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Automatic Data Lagged Returns

 Regressed Prices 

Current Sentiment - ADP

Automatic Data Proce Investor Sentiment

Predominant part of Macroaxis users are presently bullish on Automatic Data Processing. What is your sentiment towards investing in Automatic Data Processing? Are you bullish or bearish?
98% Bullish
2% Bearish

Automatic Data Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Automatic Data 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
Run Pair Correlation  
Check also Automatic Data Hype Analysis, Automatic Data Correlation, Automatic Data Valuation, Automatic Data Volatility as well as analyze Automatic Data Alpha and Beta and Automatic Data Performance. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.