Disney Backtesting

DIS -- USA Stock  

USD 109.26  0.19  0.17%

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Disney 'What if' Analysis

August 20, 2018
0.00
No Change 0.00  0.0%
In 30 days
September 19, 2018
0.00
If you would invest  0.00  in Disney on August 20, 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 Eros International, Discovery Communications, AMC Entertainment, CBS, Cinemark Holdings, Dolby Laboratories, and Global Eagle. The Walt Disney Company, together with its subsidiaries, operates as an entertainment company worldwide

Disney Upside/Downside Indicators

Information Ratio0.34
Maximum Drawdown2.38
Value At Risk1.23
Potential Upside0.6439
  

Disney Market Premium Indicators

Risk Adjusted Performance0.06
Jensen Alpha0.13
Total Risk Alpha0.26
Treynor Ratio0.60

The Walt Disney Backtested Returns

Macroaxis considers Disney to be not too risky. The Walt Disney secures Sharpe Ratio (or Efficiency) of -0.1727 which denotes The Walt Disney had -0.1727% 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 0.4431 and Risk Adjusted Performance of 0.06 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 0.1936 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 -0.1074%. 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 0.11 

Insignificant predictability

The Walt Disney Company has insignificant predictability. Overlapping area represents the amount of predictability between Disney time series from August 20, 2018 to September 4, 2018 and September 4, 2018 to September 19, 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 0.11 indicates that less than 11.0% of current Disney price fluctuation can be explain by its past prices.
Correlation Coefficient0.11
Spearman Rank Test0.13
Residual Average0.0
Price Variance0.45

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 

Disney Lagged Returns

 Regressed Prices 
      Timeline 

Did you try this?

Run Price Ceiling Movement Now

   

Price Ceiling Movement

Calculate and plot Price Ceiling Movement for different equity instruments
All  Next Launch Price Ceiling Movement

Disney Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Disney and Eros International Plc. 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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
Search macroaxis.com