Alphabet Backtesting

Alphabet Inc -- USA Stock  

USD 1,023  4.92  0.48%

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

October 22, 2017
0.00
No Change 0.00  0.0%
In 31 days
November 21, 2017
0.00
If you would invest  0.00  in Alphabet on October 22, 2017 and sell it all today you would earn a total of 0.00 from holding Alphabet Inc or generate 0.0% return on investment in Alphabet over 30 days. Alphabet is related to or competes with Broadridge Financial, CA, Gartner, Workday, F5 Networks, and CDK Global. Alphabet Inc offers performance and brand advertising services

Alphabet Upside/Downside Indicators

  

Alphabet Market Premium Indicators

Alphabet Inc lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Alphabet regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Alphabet Inc Backtested Returns

Macroaxis considers Alphabet not too risky given 1 month investment horizon. Alphabet Inc secures Sharpe Ratio (or Efficiency) of 0.2014 which signifies that Alphabet Inc had 0.2014% 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-six technical indicators for Alphabet Inc which you can use to evaluate future volatility of the firm. Please makes use of Alphabet Inc Downside Deviation of 0.8497, Risk Adjusted Performance of 0.0513 and Mean Deviation of 0.7442 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Alphabet holds performance score of 13. The firm shows Beta (market volatility) of -0.3295 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.. Although it is extremely important to respect Alphabet Inc 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 Alphabet Inc technical indicators you can presently evaluate if the expected return of 0.2351% will be sustainable into the future. Please makes use of Alphabet Inc Downside Variance, and the relationship between Treynor Ratio and Kurtosis to make a quick decision on weather Alphabet price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.65) 

Very good reverse predictability

Alphabet Inc has very good reverse predictability. Overlapping area represents the amount of predictability between Alphabet time series from October 22, 2017 to November 6, 2017 and November 6, 2017 to November 21, 2017. 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 -0.65 indicates that roughly 65.0% 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 -0.65
Spearman Rank Test -0.69
Price Variance 39.18
Lagged Price Variance 645.0

Alphabet Lagged Returns

 Regressed Prices 
      Timeline 

Alphabet Performance vs DOW

The median price of Alphabet for the period between Sun, Oct 22, 2017 and Tue, Nov 21, 2017 is 1025.5 with a coefficient of variation of 2.26. The daily time series for the period is distributed with a sample standard deviation of 22.94, arithmetic mean of 1014.12, and mean deviation of 17.96. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
Baidu Inc Looks Like It a Better Buy Than Alphabet Inc11/20/2017