Gold Fields Backtesting

GFI -- USA Stock  

USD 5.42  0.22  3.90%

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

Gold Fields 'What if' Analysis

July 17, 2019
No Change 0.00  0.0 
In 3 months and 1 day
October 15, 2019
If you would invest  0.00  in Gold Fields on July 17, 2019 and sell it all today you would earn a total of 0.00 from holding Gold Fields Limited or generate 0.0% return on investment in Gold Fields over 90 days. Gold Fields is related to or competes with Agnico Eagle, Almaden Minerals, Asanko Gold, AngloGold Ashanti, Novagold Resources, Osisko Gold, and Hecla Mining. Gold Fields Limited operates as a gold producer with reserves and resources in South Africa, Ghana, Australia, and Peru

Gold Fields Upside/Downside Indicators

Downside Deviation3.38
Information Ratio0.0671
Maximum Drawdown18.16
Value At Risk(4.63)
Potential Upside6.01

Gold Fields Market Premium Indicators

Risk Adjusted Performance0.0643
Jensen Alpha0.1508
Total Risk Alpha0.311
Sortino Ratio0.066
Treynor Ratio(0.18)

Gold Fields Limited Backtested Returns

We consider Gold Fields very risky. Gold Fields Limited holds Efficiency (Sharpe) Ratio of 0.0436 which attests that the entity had 0.0436% of return per unit of risk over the last 3 months. Our philosophy towards determining volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-seven technical indicators for Gold Fields Limited which you can use to evaluate future volatility of the corporation. Please check out Gold Fields Risk Adjusted Performance of 0.0643, Market Risk Adjusted Performance of (0.17) and Downside Deviation of 3.38 to validate if risk estimate we provide are consistent with the epected return of 0.1475%. Gold Fields has performance score of 2 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of -1.0181 which attests that Although it is extremely important to respect Gold Fields Limited current price history, it is better to be realistic regarding the information on equity current price movements. The philosophy towards determining 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 evaluating Gold Fields Limited technical indicators you can presently evaluate if the expected return of 0.1475% will be sustainable into the future. Gold Fields Limited right now retains a risk of 3.3808%. Please check out Gold Fields Potential Upside, Accumulation Distribution and the relationship between Treynor Ratio and Expected Short fall to decide if Gold Fields will be following its current trending patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.58 
correlation synergy

Modest predictability

Gold Fields Limited has modest predictability. Overlapping area represents the amount of predictability between Gold Fields time series from July 17, 2019 to August 31, 2019 and August 31, 2019 to October 15, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Gold Fields Limited price movement. The serial correlation of 0.58 indicates that roughly 58.0% of current Gold Fields price fluctuation can be explain by its past prices.
Correlation Coefficient0.58
Spearman Rank Test0.27
Residual Average0.0
Price Variance0.12

Gold Fields Limited lagged returns against current returns

 Current and Lagged Values 

Gold Fields regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Gold Fields Lagged Returns

 Regressed Prices 

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Please also check Gold Fields Hype Analysis, Gold Fields Correlation, Gold Fields Valuation, Gold Fields Volatility as well as analyze Gold Fields Alpha and Beta and Gold Fields Performance. Please also try Fund Screener module to find activelly-traded funds from around the world traded on over 30 global exchanges.