Disney Backtesting

The Walt Disney Company -- USA Stock  

USD 102.69  0.05  0.0487%

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
Investment Horizon     30 Days    Login   to change

Disney 'What if' Analysis

October 25, 2017
No Change 0.00  0.0%
In 31 days
November 24, 2017
If you would invest  0.00  in Disney on October 25, 2017 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 Companys Media Networks segment operates cable programming services, including the ESPN, Disney channels...

Disney Upside/Downside Indicators


Disney Market Premium Indicators

The Walt Disney lagged returns against current returns

 Current and Lagged Values 

Disney regressed lagged prices vs. current prices

 Current vs Lagged Prices 

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 0.2578 which denotes The Walt Disney had 0.2578% 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-eight 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 0.7044, Risk Adjusted Performance of 0.0884 and Semi Deviation of 0.3193 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Disney holds performance score of 17. The firm shows Beta (market volatility) of -0.1532 which denotes to the fact that as returns on market increase, returns on owning Disney are expected to decrease at a much smaller rate. During bear market, Disney is likely to outperform the market.. Although it is extremely important to respect The 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 The Walt Disney technical indicators you can presently evaluate if the expected return of 0.2284% will be sustainable into the future. Please utilizes The Walt Disney Maximum Drawdown, and the relationship between Information Ratio and Expected Short fall to make a quick decision on weather Disney price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.42) 

Modest reverse predictability

The Walt Disney Company has modest reverse predictability. Overlapping area represents the amount of predictability between Disney time series from October 25, 2017 to November 9, 2017 and November 9, 2017 to November 24, 2017. 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 -0.42 indicates that just about 42.0% 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 -0.42
Spearman Rank Test -0.14
Price Variance 0.54
Lagged Price Variance 1.74

Disney Lagged Returns

 Regressed Prices 

Disney Performance vs DOW

The median price of Disney for the period between Wed, Oct 25, 2017 and Fri, Nov 24, 2017 is 101.61 with a coefficient of variation of 2.49. The daily time series for the period is distributed with a sample standard deviation of 2.51, arithmetic mean of 101.04, and mean deviation of 2.27. The Stock received some media coverage during the period.
Price Growth (%)  
Disney exotic insider transaction detected11/22/2017