Deere Backtesting

Deere Company -- USA Stock  

USD 149.44  1.43  0.95%

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

Deere 'What if' Analysis

November 17, 2017
No Change 0.00  0.0%
In 31 days
December 17, 2017
If you would invest  0.00  in Deere on November 17, 2017 and sell it all today you would earn a total of 0.00 from holding Deere Company or generate 0.0% return on investment in Deere over 30 days. Deere is related to or competes with Cummins, China Yuchai, AGCO, and Antero Resources. Deere Companys Agriculture and Turf segment offer agriculture and turf equipment, and related service parts, including l...

Deere Upside/Downside Indicators


Deere Market Premium Indicators

Deere Company lagged returns against current returns

 Current and Lagged Values 

Deere regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Deere Company Backtested Returns

Macroaxis considers Deere not too risky given 1 month investment horizon. Deere Company secures Sharpe Ratio (or Efficiency) of 0.4293 which denotes Deere Company had 0.4293% of return per unit of standard deviation over the last 1 month. Our philosophy in predicting volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. By reviewing Deere Company technical indicators you can presently evaluate if the expected return of 0.536% is justified by implied risk. Please utilize Deere Company Downside Deviation of 0.8805, Mean Deviation of 0.8526 and Coefficient Of Variation of 200.64 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Deere holds performance score of 28. The firm shows Beta (market volatility) of 0.3182 which denotes to the fact that as returns on market increase, Deere returns are expected to increase less than the market. However during bear market, the loss on holding Deere will be expected to be smaller as well.. Although it is vital to follow to Deere Company historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The philosophy in predicting 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. We have found twenty technical indicators for Deere Company which you can use to evaluate performance of the firm. Please utilizes Deere Company Information Ratio, Value At Risk and the relationship between Standard Deviation and Treynor Ratio to make a quick decision on weather Deere price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.21 

Weak predictability

Deere Company has weak predictability. Overlapping area represents the amount of predictability between Deere time series from November 17, 2017 to December 2, 2017 and December 2, 2017 to December 17, 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 Deere Company price movement. The serial correlation of 0.21 indicates that over 21.0% of current Deere price fluctuation can be explain by its past prices.
Correlation Coefficient 0.21
Spearman Rank Test 0.13
Price Variance 0.61
Lagged Price Variance 27.73

Deere Lagged Returns

 Regressed Prices 

Deere Performance vs DOW

The median price of Deere for the period between Fri, Nov 17, 2017 and Sun, Dec 17, 2017 is 149.45 with a coefficient of variation of 4.32. The daily time series for the period is distributed with a sample standard deviation of 6.33, arithmetic mean of 146.56, and mean deviation of 5.13. The Stock received some media coverage during the period.
Price Growth (%)  
Holiday Approaches With Market At New All-Time Highs As Earn...11/22/2017
Acquisition by Marc Howze of 16078 shares of Deere subject t...12/14/2017