Alphabet Backtesting

GOOG -- USA Stock  

USD 1,096  8.49  0.78%

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Alphabet 'What if' Analysis

September 21, 2018
0.00
No Change 0.00  0.0%
In 31 days
October 21, 2018
0.00
If you would invest  0.00  in Alphabet on September 21, 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 Workday, Xunlei, Unisys, Enphase Energy. Alphabet Inc., through its subsidiaries, provides online advertising services in the United States and internationally

Alphabet Upside/Downside Indicators

Information Ratio0.07
Maximum Drawdown6.51
Value At Risk2.89
Potential Upside2.66
  

Alphabet Market Premium Indicators

Risk Adjusted Performance0.17
Jensen Alpha0.09
Total Risk Alpha0.018699
Treynor Ratio0.25

Alphabet Backtested Returns

Macroaxis considers Alphabet to be not too risky. Alphabet secures Sharpe Ratio (or Efficiency) of -0.1525 which signifies that Alphabet had -0.1525% 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 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 0.17 and Mean Deviation of 1.19 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 1.1826 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Alphabet will likely underperform.. 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 -0.2649%. 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(0.23) 

Weak reverse predictability

Alphabet has weak reverse predictability. Overlapping area represents the amount of predictability between Alphabet time series from September 21, 2018 to October 6, 2018 and October 6, 2018 to October 21, 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 -0.23 indicates that over 23.0% 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-0.23
Spearman Rank Test-0.15
Residual Average0.0
Price Variance462.21

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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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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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