Automatic Data Backtesting

ADP -- USA Stock  

USD 138.21  0.88  0.63%

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.
 Time Horizon     30 Days    Login   to change
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Backtest

Automatic Data '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 Automatic Data on May 25, 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 Visa, Verisk Analytics, 58 com, Alliance Data, Convergys, and ECOLAB INC. Automatic Data Processing, Inc. provides business process outsourcing services worldwide

Automatic Data Upside/Downside Indicators

Downside Deviation0.6173
Information Ratio0.3003
Maximum Drawdown4.48
Value At Risk0.94
Potential Upside2.08
  

Automatic Data Market Premium Indicators

Risk Adjusted Performance0.01
Sortino Ratio0.5444

Automatic Data Proce Backtested Returns

Macroaxis considers Automatic Data not too risky given 1 month investment horizon. Automatic Data Proce secures Sharpe Ratio (or Efficiency) of 0.2727 which signifies that Automatic Data Proce had 0.2727% 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 company specific technical indicators that cannot be diversified away. We have found twenty technical indicators for Automatic Data Processing which you can use to evaluate future volatility of the firm. Please makes use of Automatic Data Proce Coefficient Of Variation of 333.0, Risk Adjusted Performance of 0.01 and Mean Deviation of 0.8009 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Automatic Data holds performance score of 18. The firm shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and Automatic Data are completely uncorrelated. Although it is vital to follow to Automatic Data Proce historical returns, it is good to be conservative about what you can actually do with the information regarding 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 0.3199% will be sustainable into the future. Please makes use of Automatic Data Proce Information Ratio, Value At Risk as well as the relationship between Value At Risk and Expected Short fall to make a quick decision on weather Automatic Data price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.03) 

Very weak reverse predictability

Automatic Data Processing has very weak reverse predictability. Overlapping area represents the amount of predictability between Automatic Data 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 Automatic Data Proce price movement. The serial correlation of -0.03 indicates that only 3.0% of current Automatic Data price fluctuation can be explain by its past prices. Given that Automatic Data Processing has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Automatic Data for similar time interval.
Correlation Coefficient -0.03
Spearman Rank Test -0.16
Price Variance 2.76
Lagged Price Variance 4.96

Automatic Data Proce lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Automatic Data regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Automatic Data Lagged Returns

 Regressed Prices 
      Timeline 

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Fundamental Analysis

View fundamental data based on most recent published financial statements
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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Automatic Data and Visa. 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 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 Transaction History module to view history of all your transactions and understand their impact on performance.