Deere Backtesting

Deere Company -- USA Stock  

USD 158.05  10.05  6.79%

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

Deere 'What if' Analysis

February 22, 2018
No Change 0.00  0.0%
In 31 days
March 24, 2018
If you would invest  0.00  in Deere on February 22, 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 Caterpillar, Cummins, China Yuchai, AGCO, and Antero Resources. Deere Company, together with its subsidiaries, manufactures and distributes agriculture and turf, and construction and f...

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 to be not too risky. Deere Company secures Sharpe Ratio (or Efficiency) of -0.2116 which denotes Deere Company had -0.2116% 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 1.71 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 -0.0627 which denotes to the fact that as returns on market increase, returns on owning Deere are expected to decrease at a much smaller rate. During bear market, Deere is likely to outperform the market.. 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 -0.4485%. 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 0.29 

Poor predictability

Deere Company has poor predictability. Overlapping area represents the amount of predictability between Deere time series from February 22, 2018 to March 9, 2018 and March 9, 2018 to March 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 Deere Company price movement. The serial correlation of 0.29 indicates that nearly 29.0% of current Deere price fluctuation can be explain by its past prices.
Correlation Coefficient 0.29
Spearman Rank Test 0.34
Price Variance 28.35
Lagged Price Variance 17.2

Deere Lagged Returns

 Regressed Prices 

Deere Performance vs DOW

The median price of Deere for the period between Thu, Feb 22, 2018 and Sat, Mar 24, 2018 is 160.21 with a coefficient of variation of 3.08. The daily time series for the period is distributed with a sample standard deviation of 4.92, arithmetic mean of 160.07, and mean deviation of 3.63. The Stock received some media coverage during the period.
 Price Growth (%)  
Bona fide gift to Lane Robert W of 6373 shares of Deere subj...03/23/2018