AMC Entertainment Ho Backtested Returns
Macroaxis considers AMC Entertainment to be not very risky. AMC Entertainment Ho
retains Efficiency (Sharpe Ratio) of -0.021 which signifies that AMC Entertainment Ho
had -0.021% of return per unit of risk over the last 1 month. Macroaxis philosophy in 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
. AMC Entertainment exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm AMC Entertainment Holdings Inc Coefficient Of Variation
of 11819.08 and Market Risk Adjusted Performance
of 0.022075 to double-check risk estimate we provide. Macroaxis gives AMC Entertainment performance score of 0 on a scale of 0 to 100. The firm owns Beta (Systematic Risk) of -0.4597 which signifies that as returns on market increase, returns on owning AMC Entertainment are expected to decrease at a much smaller rate. During bear market, AMC Entertainment is likely to outperform the market.. Even though it is essential to pay attention to AMC Entertainment Ho existing price patterns, it is always good to be careful when utilizing equity price patterns. Macroaxis philosophy in 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. AMC Entertainment exposes twenty-one different technical indicators which can help you to evaluate its performance. AMC Entertainment Ho has expected return of -0.0625%. Please be advised to confirm AMC Entertainment Holdings Inc Jensen Alpha, Semi Variance and the relationship between Standard Deviation and Value At Risk to decide if AMC Entertainment Ho past performance will be repeated in the future.
|15 days auto-correlation||(0.55) |
Good reverse predictability
AMC Entertainment Holdings Inc has good reverse predictability. Overlapping area represents the amount of predictability between AMC Entertainment time series from February 17, 2018 to March 4, 2018 and March 4, 2018 to March 19, 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 AMC Entertainment Ho price movement. The serial correlation of -0.55 indicates that about 55.0% of current AMC Entertainment price fluctuation can be explain by its past prices. Given that AMC Entertainment Holdings Inc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of AMC Entertainment for similar time interval.
|Correlation Coefficient|| -0.55|
|Spearman Rank Test|| -0.65|
|Price Variance|| 0.3|
|Lagged Price Variance|| 0.31|
AMC Entertainment Lagged Returns