Dell Technologies Backtesting

DVMT -- USA Stock  

USD 95.07  0.75  0.80%

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

June 21, 2018
No Change 0.00  0.0%
In 31 days
July 21, 2018
If you would invest  0.00  in Dell Technologies on June 21, 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 30 days. Dell Technologies is related to or competes with BlackLine, CA, Determine, EVO Payments, EVERTEC, and F5 NETWORKS. Dell Technologies Inc. designs, develops, manufactures, markets, sells, and supports information technology products and...

Dell Technologies Upside/Downside Indicators

Downside Deviation1.38
Information Ratio0.0628
Maximum Drawdown10.04
Value At Risk2.85
Potential Upside2.85

Dell Technologies Market Premium Indicators

Risk Adjusted Performance0.0789
Jensen Alpha0.1232
Total Risk Alpha0.21
Sortino Ratio0.1059
Treynor Ratio0.2272

Dell Technologies Backtested Returns

Macroaxis considers Dell Technologies not too risky given 1 month investment horizon. Dell Technologies secures Sharpe Ratio (or Efficiency) of 0.1254 which denotes Dell Technologies had 0.1254% of return per unit of risk over the last 1 month. 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 832.14, Mean Deviation of 1.29 and Downside Deviation of 1.38 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Dell Technologies holds performance score of 8. The firm shows Beta (market volatility) of 1.1828 which denotes to the fact that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Dell Technologies will likely underperform.. Although it is vital to follow to Dell Technologies historical returns, it is good to be conservative about what you can actually do with the information regarding 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 0.2979% 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 0.02 

Virtually no predictability

Dell Technologies has virtually no predictability. Overlapping area represents the amount of predictability between Dell Technologies time series from June 21, 2018 to July 6, 2018 and July 6, 2018 to July 21, 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 0.02 indicates that only 2.0% of current Dell Technologies price fluctuation can be explain by its past prices.
Correlation Coefficient 0.02
Spearman Rank Test -0.15
Price Variance 0.31
Lagged Price Variance 14.61

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 

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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Dell Technologies and BlackLine. 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 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 Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.