Alphabet Backtesting

GOOG -- USA Stock  

USD 1,098  8.36  0.01%

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

Alphabet 'What if' Analysis

November 22, 2018
No Change 0.00  0.0%
In 2 months and 1 day
January 21, 2019
If you would invest  0.00  in Alphabet on November 22, 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 Workday, Xunlei, Teradata, Unisys, VMware, Sabre. Alphabet Inc., through its subsidiaries, provides online advertising services in the United States and internationally

Alphabet Upside/Downside Indicators

Downside Deviation2.0
Information Ratio0.0646
Maximum Drawdown9.69
Value At Risk(3.01)
Potential Upside4.0

Alphabet Market Premium Indicators

Risk Adjusted Performance0.0845
Jensen Alpha0.0703
Total Risk Alpha0.1477
Sortino Ratio0.0704
Treynor Ratio(0.36)

Alphabet Backtested Returns

We consider Alphabet not too risky. Alphabet secures Sharpe Ratio (or Efficiency) of 0.0912 which signifies that the organization had 0.0912% of return per unit of risk over the last 2 months. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with stock 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 2.0, Risk Adjusted Performance of 0.0845 and Mean Deviation of 1.5 to double-check if risk estimate we provide are consistent with the epected return of 0.1983%. Alphabet has performance score of 6 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.2315 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 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 0.1983% will be sustainable into the future. Alphabet right now shows a risk of 2.1732%. 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(0.34) 
correlation synergy

Poor reverse predictability

Alphabet has poor reverse predictability. Overlapping area represents the amount of predictability between Alphabet time series from November 22, 2018 to December 22, 2018 and December 22, 2018 to January 21, 2019. 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 -0.34 indicates that nearly 34.0% 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-0.34
Spearman Rank Test-0.61
Residual Average0.0
Price Variance1165.61

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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.