Alphabet Inc Backtested Returns
Macroaxis considers Alphabet to be not too risky. Alphabet Inc
secures Sharpe Ratio (or Efficiency) of -0.0701 which signifies that Alphabet Inc
had -0.0701% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators
. Alphabet Inc exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Alphabet Inc Risk Adjusted Performance
of 0.098523 and Mean Deviation of 1.57 to double-check risk estimate we provide. Macroaxis gives Alphabet performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.4527 which signifies that as returns on market increase, returns on owning Alphabet are expected to decrease at a much smaller rate. During bear market, Alphabet is likely to outperform the market.. Even though it is essential to pay attention to Alphabet Inc historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Alphabet Inc exposes twenty-one different technical indicators which can help you to evaluate its performance. Alphabet Inc has expected return of -0.1565%. Please be advised to confirm Alphabet Inc Treynor Ratio as well as the relationship between Downside Variance and Kurtosis to decide if Alphabet Inc past performance will be repeated at some point in the near future.
|15 days auto-correlation||(0.84) |
Excellent reverse predictability
Alphabet Inc has excellent reverse predictability. Overlapping area represents the amount of predictability between Alphabet time series from January 25, 2018 to February 9, 2018 and February 9, 2018 to February 24, 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 Alphabet Inc price movement. The serial correlation of -0.84 indicates that around 84.0% of current Alphabet price fluctuation can be explain by its past prices. Given that Alphabet Inc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Alphabet for similar time interval.
|Correlation Coefficient|| -0.84|
|Spearman Rank Test|| -0.9|
|Price Variance|| 890.85|
|Lagged Price Variance|| 3580.99|
Alphabet Lagged Returns