We consider Disney not too risky. Walt Disney
secures Sharpe Ratio (or Efficiency) of 0.0067 which denotes Walt Disney
had 0.0067% of return per unit of standard deviation over the last 2 months. Our philosophy in predicting volatility of a stock is to use all available market data together with stock specific technical indicators
that cannot be diversified away. We have found twenty-eight technical indicators
for The Walt Disney Company which you can use to evaluate future volatility of the firm. Please confirm Walt Disney Mean Deviation
of 1.12 and Risk Adjusted Performance
of (0.06) to check if risk estimate we provide are consistent with the epected return of 0.0101%. Disney has performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.1708 which denotes to the fact that as returns on market increase, Disney returns are expected to increase less than the market. However during bear market, the loss on holding Disney will be expected to be smaller as well.. Although it is extremely important to respect Walt Disney historical returns, it is better to be realistic regarding the information on 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 Walt Disney technical indicators you can presently evaluate if the expected return of 0.0101% will be sustainable into the future. Walt Disney right now shows a risk of 1.5063%. Please confirm Walt Disney Maximum Drawdown, and the relationship between Information Ratio and Expected Short fall to decide if Walt Disney will be following its price patterns.
|15 days auto-correlation||(0.14) |
Insignificant reverse predictability
The Walt Disney Company has insignificant reverse predictability. Overlapping area represents the amount of predictability between Disney time series from October 12, 2018 to November 11, 2018 and November 11, 2018 to December 11, 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 Walt Disney price movement. The serial correlation of -0.14 indicates that less than 14.0% 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.
|Spearman Rank Test||-0.17|