Amdocs Limited Backtested Returns
Macroaxis considers Amdocs Limited to be not too risky. Amdocs Limited
secures Sharpe Ratio (or Efficiency) of -0.2409 which signifies that Amdocs Limited
had -0.2409% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy in foreseeing 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
. Amdocs Limited exposes twenty-eight different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Amdocs Limited Mean Deviation
of 0.8662 and Risk Adjusted Performance
of 0.38 to double-check risk estimate we provide. Macroaxis gives Amdocs Limited performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.5967 which signifies that as returns on market increase, Amdocs Limited returns are expected to increase less than the market. However during bear market, the loss on holding Amdocs Limited will be expected to be smaller as well.. Even though it is essential to pay attention to Amdocs Limited historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy in foreseeing 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. Amdocs Limited exposes twenty-eight different technical indicators which can help you to evaluate its performance. Amdocs Limited has expected return of -0.3094%. Please be advised to confirm Amdocs Limited Potential Upside, and the relationship between Jensen Alpha and Accumulation Distribution to decide if Amdocs Limited past performance will be repeated at some point in the near future.
|15 days auto-correlation||(0.51) |
Good reverse predictability
Amdocs Limited has good reverse predictability. Overlapping area represents the amount of predictability between Amdocs Limited time series from January 23, 2018 to February 7, 2018 and February 7, 2018 to February 22, 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 Amdocs Limited price movement. The serial correlation of -0.51 indicates that about 51.0% of current Amdocs Limited price fluctuation can be explain by its past prices. Given that Amdocs Limited has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Amdocs Limited for similar time interval.
|Correlation Coefficient|| -0.51|
|Spearman Rank Test|| -0.74|
|Price Variance|| 0.85|
|Lagged Price Variance|| 3.66|
Amdocs Limited Lagged Returns