Deere Backtesting

Deere Company -- USA Stock  

USD 128.52  0.2  0.16%

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
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Deere 'What if' Analysis

September 20, 2017
 0.00 
No Change 0.00  0.0%
In 31 days
October 20, 2017
 0.00 
If you would invest  0.00  in Deere on September 20, 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 Caterpillar, 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 
      Timeline 

Deere regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Deere Company Backtested Returns

We consider Deere not too risky. Deere Company secures Sharpe Ratio (or Efficiency) of 0.2798 which denotes Deere Company had 0.2798% 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. We have found twenty technical indicators for Deere Company which you can use to evaluate future volatility of the firm. Please confirm Deere Company Downside Deviation of 0.4455, Mean Deviation of 0.4461 and Coefficient Of Variation of 349.2 to check if risk estimate we provide are consistent with the epected return of 0.1591%. Deere has performance score of 19 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.5711 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 extremely important to respect Deere Company historical returns, it is better to be realistic regarding the information on equity current trending patternss. 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. By reviewing Deere Company technical indicators you can presently evaluate if the expected return of 0.1591% will be sustainable into the future. Deere Company right now shows a risk of 0.5685%. Please confirm Deere Company Information Ratio, Value At Risk and the relationship between Standard Deviation and Treynor Ratio to decide if Deere Company will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.54 

Modest predictability

Deere Company has modest predictability. Overlapping area represents the amount of predictability between Deere time series from September 20, 2017 to October 5, 2017 and October 5, 2017 to October 20, 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 0.54 indicates that about 54.0% of current Deere price fluctuation can be explain by its past prices.
Correlation Coefficient 0.54
Spearman Rank Test 0.5
Price Variance 0.12
Lagged Price Variance 3.83

Deere Lagged Returns

 Regressed Prices 
      Timeline 

Deere Performance vs DOW

The median price of Deere for the period between Wed, Sep 20, 2017 and Fri, Oct 20, 2017 is 127.91 with a coefficient of variation of 1.68. The daily time series for the period is distributed with a sample standard deviation of 2.13, arithmetic mean of 126.67, and mean deviation of 1.93. The Stock received some media coverage during the period.
September 28, 2017Deere Dividend Paid
Price Growth (%)  
      Timeline 
1
Iconic Green and Yellow Remain Property of Deere and Co.10/18/2017