Disney Backtesting

DIS -- USA Stock  

USD 106.34  0.45  0.42%

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

Disney 'What if' Analysis

May 26, 2018
No Change 0.00  0.0%
In 30 days
June 25, 2018
If you would invest  0.00  in Disney on May 26, 2018 and sell it all today you would earn a total of 0.00 from holding The Walt Disney Company or generate 0.0% return on investment in Disney over 30 days. Disney is related to or competes with Cinemark Holdings, Viacom, Twenty First, Discovery Communications, DISH Network, CBS, and Caesars Entertain. The Walt Disney Company, together with its subsidiaries, operates as an entertainment company worldwide

Disney Upside/Downside Indicators

Downside Deviation1.22
Maximum Drawdown3.94
Value At Risk1.64
Potential Upside1.97

Disney Market Premium Indicators

Risk Adjusted Performance0.01

The Walt Disney Backtested Returns

Macroaxis considers Disney not too risky given 1 month investment horizon. The Walt Disney secures Sharpe Ratio (or Efficiency) of 0.325 which denotes The Walt Disney had 0.325% 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 The Walt Disney Company which you can use to evaluate future volatility of the firm. Please utilize The Walt Disney Mean Deviation of 0.8699, Risk Adjusted Performance of 0.01 and Semi Deviation of 0.9533 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Disney holds performance score of 21. The firm shows Beta (market volatility) of 0.0 which denotes to the fact that the returns on MARKET and Disney are completely uncorrelated. Although it is vital to follow to The Walt Disney 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. By reviewing The Walt Disney technical indicators you can presently evaluate if the expected return of 0.3458% will be sustainable into the future. Please utilizes The Walt Disney Standard Deviation as well as the relationship between Value At Risk and Skewness to make a quick decision on weather Disney price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.10) 

Very weak reverse predictability

The Walt Disney Company has very weak reverse predictability. Overlapping area represents the amount of predictability between Disney time series from May 26, 2018 to June 10, 2018 and June 10, 2018 to June 25, 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 The Walt Disney price movement. The serial correlation of -0.1 indicates that less than 10.0% of current Disney price fluctuation can be explain by its past prices. Given that The Walt Disney Company has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Disney for similar time interval.
Correlation Coefficient -0.1
Spearman Rank Test 0.09
Price Variance 2.12
Lagged Price Variance 3.24

The Walt Disney lagged returns against current returns

 Current and Lagged Values 

Disney regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Disney Lagged Returns

 Regressed Prices 

Current Sentiment - DIS

The Walt Disney Investor Sentiment
Predominant part of Macroaxis users are currently bullish on The Walt Disney Company. What is your opinion about investing in The Walt Disney Company? Are you bullish or bearish?
98% Bullish
2% Bearish

Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Disney and Cinemark Holdings. 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
Run Pair Correlation  
Additionally see Disney Hype Analysis, Disney Correlation, Disney Valuation, Disney Volatility as well as analyze Disney Alpha and Beta and Disney Performance. Please also try Cryptocurrency Arbitrage module to find pairs of digital assets on multiple exchanges that are traded at a risk free arbitrage.