Alphabet Backtesting

Alphabet -- USA Stock  

USD 1,021  1.20  0.12%

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
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Backtest

Alphabet 'What if' Analysis

February 24, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
April 25, 2018
0.00
If you would invest  0.00  in Alphabet on February 24, 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 60 days. Alphabet is related to or competes with Broadridge Financial, , 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

Information Ratio0.071104
Maximum Drawdown7.93
Value At Risk3.83
Potential Upside3.02
  

Alphabet Market Premium Indicators

Risk Adjusted Performance0.13
Jensen Alpha0.17
Total Risk Alpha0.13
Treynor Ratio1.07

Alphabet Backtested Returns

Macroaxis considers Alphabet to be not too risky. Alphabet secures Sharpe Ratio (or Efficiency) of -0.1259 which signifies that Alphabet had -0.1259% of return per unit of risk over the last 2 months. 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 exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Alphabet Risk Adjusted Performance of 0.13 and Mean Deviation of 1.56 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 0.1613 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.. Even though it is essential to pay attention to Alphabet 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 exposes twenty-one different technical indicators which can help you to evaluate its performance. Alphabet has expected return of -0.2501%. Please be advised to confirm Alphabet Treynor Ratio as well as the relationship between Downside Variance and Kurtosis to decide if Alphabet past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.32) 

Poor reverse predictability

Alphabet has poor reverse predictability. Overlapping area represents the amount of predictability between Alphabet time series from February 24, 2018 to March 26, 2018 and March 26, 2018 to April 25, 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 -0.32 indicates that nearly 32.0% of current Alphabet price fluctuation can be explain by its past prices. Given that Alphabet 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 -0.32
Spearman Rank Test -0.35
Price Variance 640.28
Lagged Price Variance 1424.96

Alphabet lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Alphabet regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Alphabet Lagged Returns

 Regressed Prices 
      Timeline 

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?
Bullish
Bearish
98% Bullish
2% Bearish
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BATS Exchange Efficient Frontier

Diversify in USA Market
The main assumption in equity investing is that a higher degree of volatility (or risk) means a higher potential (or expected) return on investment. Conversely, investors who take on a low degree of risk have a low expection for return.
Diversify Portfolios
You can create optimal portfolios in USA market or optimize your existing portfolio in one of two ways: 1) For any level of risk, select the one which has the highest expected return. 2) For any expected return, select the one which has the lowest volatility.
Diversify Portfolios
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 Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.