Consolidated Edison Backtesting

ED -- USA Stock  

USD 74.86  0.96  1.30%

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

Consolidated Edison 'What if' Analysis

May 21, 2018
No Change 0.00  0.0%
In 31 days
June 20, 2018
If you would invest  0.00  in Consolidated Edison on May 21, 2018 and sell it all today you would earn a total of 0.00 from holding Consolidated Edison or generate 0.0% return on investment in Consolidated Edison over 30 days. Consolidated Edison is related to or competes with Dominion Energy, Eversource Energy, NiSource, Ameren, Avangrid, and BROOKFIELD INFRAS. Consolidated Edison, Inc., through its subsidiaries, engages in regulated electric, gas, and steam delivery businesses i...

Consolidated Edison Upside/Downside Indicators

Downside Deviation1.36
Information Ratio0.0577
Maximum Drawdown3.48
Value At Risk1.87
Potential Upside1.3

Consolidated Edison Market Premium Indicators

Risk Adjusted Performance0.01
Sortino Ratio0.0438

Consolidated Edison Backtested Returns

We consider Consolidated Edison not too risky. Consolidated Edison secures Sharpe Ratio (or Efficiency) of 0.067 which signifies that Consolidated Edison had 0.067% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing 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 Consolidated Edison which you can use to evaluate future volatility of the firm. Please confirm Consolidated Edison Downside Deviation of 1.36, Risk Adjusted Performance of 0.01 and Mean Deviation of 0.7727 to double-check if risk estimate we provide are consistent with the epected return of 0.0707%. Consolidated Edison has performance score of 4 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and Consolidated Edison are completely uncorrelated. Although it is extremely important to respect Consolidated Edison historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing 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 analyzing Consolidated Edison technical indicators you can presently evaluate if the expected return of 0.0707% will be sustainable into the future. Consolidated Edison right now shows a risk of 1.0553%. Please confirm Consolidated Edison Maximum Drawdown, Semi Variance and the relationship between Sortino Ratio and Potential Upside to decide if Consolidated Edison will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.52) 

Good reverse predictability

Consolidated Edison has good reverse predictability. Overlapping area represents the amount of predictability between Consolidated Edison time series from May 21, 2018 to June 5, 2018 and June 5, 2018 to June 20, 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 Consolidated Edison price movement. The serial correlation of -0.52 indicates that about 52.0% of current Consolidated Edison price fluctuation can be explain by its past prices. Given that Consolidated Edison has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Consolidated Edison for similar time interval.
Correlation Coefficient -0.52
Spearman Rank Test -0.22
Price Variance 0.86
Lagged Price Variance 0.88

Consolidated Edison lagged returns against current returns

 Current and Lagged Values 

Consolidated Edison regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Consolidated Edison Lagged Returns

 Regressed Prices 

Current Sentiment - ED

Consolidated Edison Investor Sentiment
Nearly all of Macroaxis users are currently bullish on Consolidated Edison. What is your opinion about investing in Consolidated Edison? Are you bullish or bearish?
98% Bullish
2% Bearish

Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Consolidated Edison and Dominion Energy. 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
Run Pair Correlation  
Additionally see Consolidated Edison Hype Analysis, Consolidated Edison Correlation, Consolidated Edison Valuation, Consolidated Edison Volatility as well as analyze Consolidated Edison Alpha and Beta and Consolidated Edison Performance. Please also try My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. macroaxis watchlist is based on self-learning algorithm to remember stocks you like.