Disney Backtesting

The Walt Disney Company -- USA Stock  

USD 105.18  1.35  1.27%

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
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Backtest

Disney 'What if' Analysis

January 19, 2018
0.00
No Change 0.00  0.0%
In 31 days
February 18, 2018
0.00
If you would invest  0.00  in Disney on January 19, 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 DISH Network, Electronic Arts, Viacom, Discovery Communications, Boyd Gaming, and CBS. The Walt Disney Company, together with its subsidiaries, operates as an entertainment company worldwide

Disney Upside/Downside Indicators

  

Disney Market Premium Indicators

The Walt Disney lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Disney regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

The Walt Disney Backtested Returns

Macroaxis considers Disney to be not too risky. The Walt Disney secures Sharpe Ratio (or Efficiency) of -0.1116 which denotes The Walt Disney had -0.1116% 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. The Walt Disney Company exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm The Walt Disney Mean Deviation of 1.13 and Risk Adjusted Performance of 0.18 to check risk estimate we provide. Macroaxis gives Disney performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.7417 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.. Even though it is essential to pay attention to The Walt Disney 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. The Walt Disney Company exposes twenty-one different technical indicators which can help you to evaluate its performance. The Walt Disney has expected return of -0.1672%. Please be advised to confirm The Walt Disney Standard Deviation as well as the relationship between Maximum Drawdown and Expected Short fall to decide if The Walt Disney past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.20) 

Insignificant reverse predictability

The Walt Disney Company has insignificant reverse predictability. Overlapping area represents the amount of predictability between Disney time series from January 19, 2018 to February 3, 2018 and February 3, 2018 to February 18, 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 -0.2 indicates that over 20.0% 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 -0.2
Spearman Rank Test -0.08
Price Variance 2.07
Lagged Price Variance 0.77

Disney Lagged Returns

 Regressed Prices 
      Timeline 

Disney Performance vs DOW

The median price of Disney for the period between Fri, Jan 19, 2018 and Sun, Feb 18, 2018 is 108.7 with a coefficient of variation of 3.08. The daily time series for the period is distributed with a sample standard deviation of 3.32, arithmetic mean of 107.69, and mean deviation of 3.0. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
Why It Time to Buy Walt Disney Co Stock02/15/2018