Alphabet Backtesting

GOOG -- USA Stock  

USD 1,214  7.89  0.65%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Alphabet 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.
 Time Horizon     30 Days    Login   to change

Alphabet 'What if' Analysis

July 19, 2018
No Change 0.00  0.0%
In 31 days
August 18, 2018
If you would invest  0.00  in Alphabet on July 19, 2018 and sell it all today you would earn a total of 0.00 from holding Alphabet 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, CDK Global, and . Alphabet Inc., through its subsidiaries, provides online advertising services in the United States and internationally

Alphabet Upside/Downside Indicators

Downside Deviation1.28
Information Ratio0.048088
Maximum Drawdown5.88
Value At Risk2.23
Potential Upside1.74

Alphabet Market Premium Indicators

Risk Adjusted Performance0.0263
Jensen Alpha0.0244
Total Risk Alpha0.19
Sortino Ratio0.048266
Treynor Ratio0.2784

Alphabet Backtested Returns

We consider Alphabet not too risky. Alphabet secures Sharpe Ratio (or Efficiency) of 0.0643 which signifies that Alphabet had 0.0643% 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-one technical indicators for Alphabet which you can use to evaluate future volatility of the firm. Please confirm Alphabet Downside Deviation of 1.28, Risk Adjusted Performance of 0.0263 and Mean Deviation of 0.8843 to double-check if risk estimate we provide are consistent with the epected return of 0.0819%. Alphabet has performance score of 4 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.1366 which signifies that as returns on market increase, Alphabet returns are expected to increase less than the market. However during bear market, the loss on holding Alphabet will be expected to be smaller as well.. Although it is extremely important to respect Alphabet 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 technical indicators you can presently evaluate if the expected return of 0.0819% will be sustainable into the future. Alphabet right now shows a risk of 1.2743%. Please confirm Alphabet Treynor Ratio as well as the relationship between Downside Variance and Kurtosis to decide if Alphabet will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.43 

Average predictability

Alphabet has average predictability. Overlapping area represents the amount of predictability between Alphabet time series from July 19, 2018 to August 3, 2018 and August 3, 2018 to August 18, 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 price movement. The serial correlation of 0.43 indicates that just about 43.0% of current Alphabet price fluctuation can be explain by its past prices.
Correlation Coefficient 0.43
Spearman Rank Test -0.54
Price Variance 218.45
Lagged Price Variance 694.26

Alphabet lagged returns against current returns

 Current and Lagged Values 

Alphabet regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Alphabet Lagged Returns

 Regressed Prices 

Current Sentiment - GOOG

Alphabet Investor Sentiment
Majority of Macroaxis users are currently bullish on Alphabet. What is your sentiment towards investing in Alphabet? Are you bullish or bearish?
98% Bullish
2% Bearish

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Please also check Alphabet Hype Analysis, Alphabet Correlation, Alphabet Valuation, Alphabet Volatility as well as analyze Alphabet Alpha and Beta and Alphabet Performance. Please also try Equity Search module to search for activelly-traded equities including funds and etfs from over 30 global markets.