Dell Technologies Backtesting

Dell Technologies -- USA Stock  

USD 75.79  0.40  0.53%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Dell Technologies and determine expected loss or profit from investing in Dell Technologies over given investment horizon. Additionally see Dell Technologies Hype Analysis, Dell Technologies Correlation, Dell Technologies Valuation, Dell Technologies Volatility as well as analyze Dell Technologies Alpha and Beta and Dell Technologies Performance.
 Time Horizon     30 Days    Login   to change

Dell Technologies 'What if' Analysis

February 18, 2018
No Change 0.00  0.0%
In 2 months and 2 days
April 19, 2018
If you would invest  0.00  in Dell Technologies on February 18, 2018 and sell it all today you would earn a total of 0.00 from holding Dell Technologies or generate 0.0% return on investment in Dell Technologies over 60 days. Dell Technologies is related to or competes with Digimarc, VASCO Data, Violin Memory, Verint Systems, Ebix, and ELEC IMAGING. Dell Technologies Inc. designs, develops, manufactures, markets, sells, and supports information technology products and...

Dell Technologies Upside/Downside Indicators

Downside Deviation1.71
Information Ratio0.1573
Maximum Drawdown5.11
Value At Risk2.14
Potential Upside2.16

Dell Technologies Market Premium Indicators

Risk Adjusted Performance0.2368
Jensen Alpha0.1817
Total Risk Alpha0.2103
Sortino Ratio0.1263
Treynor Ratio2.32

Dell Technologies Backtested Returns

Macroaxis considers Dell Technologies not too risky given 2 months investment horizon. Dell Technologies secures Sharpe Ratio (or Efficiency) of 0.1481 which denotes Dell Technologies had 0.1481% of return per unit of risk over the last 2 months. Our philosophy towards 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-one technical indicators for Dell Technologies which you can use to evaluate future volatility of the firm. Please utilize Dell Technologies Coefficient Of Variation of 707.67, Mean Deviation of 1.07 and Downside Deviation of 1.71 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Dell Technologies holds performance score of 9. The firm shows Beta (market volatility) of -0.0793 which denotes to the fact that as returns on market increase, returns on owning Dell Technologies are expected to decrease at a much smaller rate. During bear market, Dell Technologies is likely to outperform the market.. Although it is extremely important to respect Dell Technologies historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards 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 Dell Technologies technical indicators you can presently evaluate if the expected return of 0.2049% will be sustainable into the future. Please utilizes Dell Technologies Downside Deviation, Treynor Ratio as well as the relationship between Treynor Ratio and Expected Short fall to make a quick decision on weather Dell Technologies price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.49) 

Modest reverse predictability

Dell Technologies has modest reverse predictability. Overlapping area represents the amount of predictability between Dell Technologies time series from February 18, 2018 to March 20, 2018 and March 20, 2018 to April 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 Dell Technologies price movement. The serial correlation of -0.49 indicates that about 49.0% of current Dell Technologies price fluctuation can be explain by its past prices. Given that Dell Technologies has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Dell Technologies for similar time interval.
Correlation Coefficient -0.49
Spearman Rank Test -0.14
Price Variance 2.73
Lagged Price Variance 8.45

Dell Technologies lagged returns against current returns

 Current and Lagged Values 

Dell Technologies regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Dell Technologies Lagged Returns

 Regressed Prices 

Did you try this?

Run Aroon Oscillator Now

Aroon Oscillator

Analyze current equity momentum using Aroon Oscillator and other momentum ratios
Hide  View All  NextLaunch Aroon Oscillator

BATS Exchange Efficient Frontier

Diversify in USA Market
The main assumption in equity investing is that a higher degree of volatility (or risk) means a higher potential (or expected) return on investment. Conversely, investors who take on a low degree of risk have a low expection for return.
Diversify Portfolios
You can create optimal portfolios in USA market or optimize your existing portfolio in one of two ways: 1) For any level of risk, select the one which has the highest expected return. 2) For any expected return, select the one which has the lowest volatility.
Diversify Portfolios
Additionally see Dell Technologies Hype Analysis, Dell Technologies Correlation, Dell Technologies Valuation, Dell Technologies Volatility as well as analyze Dell Technologies Alpha and Beta and Dell Technologies Performance. Please also try Fund Screener module to find activelly-traded funds from around the world traded on over 30 global exchanges.