Deere Backtesting

DE -- USA Stock  

USD 137.17  3.13  2.23%

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.
 Time Horizon     30 Days    Login   to change
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Backtest

Deere 'What if' Analysis

June 20, 2018
0.00
No Change 0.00  0.0%
In 31 days
July 20, 2018
0.00
If you would invest  0.00  in Deere on June 20, 2018 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 Alamo, ASV Holdings, Caterpillar, Lindsay, Manitowoc, and GENCOR INDUSTRIES. Deere Company, together with its subsidiaries, manufactures and distributes agriculture and turf, and construction and f...

Deere Upside/Downside Indicators

Information Ratio0.26
Maximum Drawdown5.46
Value At Risk2.29
Potential Upside1.27
  

Deere Market Premium Indicators

Risk Adjusted Performance0.09
Jensen Alpha0.30
Total Risk Alpha0.51
Treynor Ratio0.40

Deere Company Backtested Returns

Macroaxis considers Deere to be not too risky. Deere Company secures Sharpe Ratio (or Efficiency) of -0.1635 which denotes Deere Company had -0.1635% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy in predicting 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. Deere Company exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Deere Company Mean Deviation of 1.02 to check risk estimate we provide. Macroaxis gives Deere performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.5749 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.. Even though it is essential to pay attention to Deere Company historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy in predicting 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. Deere Company exposes twenty-one different technical indicators which can help you to evaluate its performance. Deere Company has expected return of -0.2228%. Please be advised to confirm Deere Company Variance, Maximum Drawdown and the relationship between Coefficient Of Variation and Jensen Alpha to decide if Deere Company past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.18 

Very weak predictability

Deere Company has very weak predictability. Overlapping area represents the amount of predictability between Deere time series from June 20, 2018 to July 5, 2018 and July 5, 2018 to July 20, 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 Deere Company price movement. The serial correlation of 0.18 indicates that over 18.0% of current Deere price fluctuation can be explain by its past prices.
Correlation Coefficient 0.18
Spearman Rank Test 0.01
Price Variance 6.09
Lagged Price Variance 2.63

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 Lagged Returns

 Regressed Prices 
      Timeline 

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Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes
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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Deere and Alamo Group. 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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Additionally see Deere Hype Analysis, Deere Correlation, Deere Valuation, Deere Volatility as well as analyze Deere Alpha and Beta and Deere Performance. Please also try Fundamentals Matrix module to view fundamentals matrix and analyze how accounts are interrelated and interconnected with each other.
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