Este Lauder Backtesting

EL -- USA Stock  

USD 158.03  0.98  0.62%

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

Este Lauder 'What if' Analysis

May 20, 2018
0.00
No Change 0.00  0.0%
In 30 days
June 19, 2018
0.00
If you would invest  0.00  in Este Lauder on May 20, 2018 and sell it all today you would earn a total of 0.00 from holding The Este Lauder Companies or generate 0.0% return on investment in Este Lauder over 30 days. Este Lauder is related to or competes with Avon Products, Nu Skin, Tiffany, Kingold Jewelry, Coty, and JUNIPER NETWORKS. The Este Lauder Companies Inc. manufactures and markets skin care, makeup, fragrance, and hair care products worldwide

Este Lauder Upside/Downside Indicators

Downside Deviation0.7325
Information Ratio0.3774
Maximum Drawdown3.47
Value At Risk0.94
Potential Upside2.23
  

Este Lauder Market Premium Indicators

Risk Adjusted Performance0.01
Sortino Ratio0.5068

The Este Lauder Backtested Returns

Macroaxis considers Este Lauder not too risky given 1 month investment horizon. The Este Lauder secures Sharpe Ratio (or Efficiency) of 0.3108 which denotes The Este Lauder had 0.3108% 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 technical indicators for The Este Lauder Companies which you can use to evaluate future volatility of the firm. Please utilize The Este Lauder Coefficient Of Variation of 265.0, Risk Adjusted Performance of 0.01 and Downside Deviation of 0.7325 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Este Lauder holds performance score of 20. The firm shows Beta (market volatility) of 0.0 which denotes to the fact that the returns on MARKET and Este Lauder are completely uncorrelated. Although it is vital to follow to The Este Lauder 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 The Este Lauder technical indicators you can presently evaluate if the expected return of 0.309% will be sustainable into the future. Please utilizes The Este Lauder Variance as well as the relationship between Maximum Drawdown and Semi Variance to make a quick decision on weather Este Lauder price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.13 

Insignificant predictability

The Este Lauder Companies has insignificant predictability. Overlapping area represents the amount of predictability between Este Lauder time series from May 20, 2018 to June 4, 2018 and June 4, 2018 to June 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 The Este Lauder price movement. The serial correlation of 0.13 indicates that less than 13.0% of current Este Lauder price fluctuation can be explain by its past prices.
Correlation Coefficient 0.13
Spearman Rank Test -0.18
Price Variance 12.21
Lagged Price Variance 1.59

The Este Lauder lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Este Lauder regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Este Lauder Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - EL

The Este Lauder Investor Sentiment
Larger part of Macroaxis users are currently bullish on The Este Lauder Companies. What is your opinion about investing in The Este Lauder Companies? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Este Lauder and Avon Products. 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 Este Lauder Hype Analysis, Este Lauder Correlation, Este Lauder Valuation, Este Lauder Volatility as well as analyze Este Lauder Alpha and Beta and Este Lauder Performance. Please also try Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.