Disney Backtesting

DIS -- USA Stock  

USD 112.56  0.70  0.63%

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

Disney 'What if' Analysis

October 12, 2018
No Change 0.00  0.0%
In 2 months and 2 days
December 11, 2018
If you would invest  0.00  in Disney on October 12, 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 60 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 Ratio0.0547
Maximum Drawdown8.46
Value At Risk(2.48)
Potential Upside2.28

Disney Market Premium Indicators

Risk Adjusted Performance(0.06)
Jensen Alpha(0.05)
Total Risk Alpha0.1048
Treynor Ratio(0.47)

Walt Disney Backtested Returns

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.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.14) 
correlation synergy

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.
Correlation Coefficient-0.14
Spearman Rank Test-0.17
Residual Average0.0
Price Variance3.73

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 

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Pair Correlation

Compare performance and examine historical correlation between any two equity instruments
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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
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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 Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.
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