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GlaxoSmithKline Backtesting

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GSK -- USA Stock  

Fiscal Quarter End: March 31, 2020  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of GlaxoSmithKline PLC and determine expected loss or profit from investing in GlaxoSmithKline PLC over given investment horizon. Please check GlaxoSmithKline PLC Hype Analysis, GlaxoSmithKline PLC Correlation, GlaxoSmithKline PLC Valuation, GlaxoSmithKline PLC Volatility as well as analyze GlaxoSmithKline PLC Alpha and Beta and GlaxoSmithKline PLC Performance.
Symbol
Backtest

GlaxoSmithKline PLC 'What if' Analysis

0.00
11/28/2019
No Change 0.00  0.0 
In 3 months and 1 day
02/26/2020
0.00
If you would invest  0.00  in GlaxoSmithKline PLC on November 28, 2019 and sell it all today you would earn a total of 0.00 from holding GlaxoSmithKline PLC or generate 0.0% return on investment in GlaxoSmithKline PLC over 90 days. GlaxoSmithKline PLC is related to or competes with Allergan Plc, Astrazeneca PLC, Bristol Myers, Johnson Johnson, Eli Lilly, and Merck. GlaxoSmithKline plc engages in the creation, discovery, development, manufacture, and marketing of pharmaceutical produc...

GlaxoSmithKline PLC Upside/Downside Indicators

Information Ratio(0.047869)
Maximum Drawdown6.31
Value At Risk(1.68)
Potential Upside1.43

GlaxoSmithKline PLC Market Premium Indicators

Risk Adjusted Performance(0.08)
Jensen Alpha(0.09)
Total Risk Alpha(0.046969)
Treynor Ratio(1.67)

GlaxoSmithKline PLC Backtested Returns

Macroaxis considers GlaxoSmithKline PLC to be very steady. GlaxoSmithKline PLC holds Efficiency (Sharpe) Ratio of -0.1228 which attests that the entity had -0.1228% of return per unit of standard deviation over the last 3 months. Macroaxis philosophy in determining 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. GlaxoSmithKline PLC exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out GlaxoSmithKline PLC Market Risk Adjusted Performance of (1.66) and Risk Adjusted Performance of (0.08) to validate risk estimate we provide. The company retains Market Volatility (i.e. Beta) of 0.0569, which attests that as returns on market increase, GlaxoSmithKline PLC returns are expected to increase less than the market. However during bear market, the loss on holding GlaxoSmithKline PLC will be expected to be smaller as well. Even though it is essential to pay attention to GlaxoSmithKline PLC current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy in determining 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. GlaxoSmithKline PLC exposes twenty-eight different technical indicators, which can help you to evaluate its performance. GlaxoSmithKline PLC has an expected return of -0.1268%. Please be advised to check out GlaxoSmithKline PLC Coefficient Of Variation, Semi Variance, Price Action Indicator, as well as the relationship between Treynor Ratio and Daily Balance Of Power to decide if GlaxoSmithKline PLC stock performance from the past will be repeated at some point in the near future.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.54) 
correlation synergy

Good reverse predictability

GlaxoSmithKline PLC has good reverse predictability. Overlapping area represents the amount of predictability between GlaxoSmithKline PLC time series from November 28, 2019 to January 12, 2020 and January 12, 2020 to February 26, 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of GlaxoSmithKline PLC price movement. The serial correlation of -0.54 indicates that about 54.0% of current GlaxoSmithKline PLC price fluctuation can be explain by its past prices. Given that GlaxoSmithKline PLC has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of GlaxoSmithKline PLC for similar time interval.
Correlation Coefficient-0.54
Spearman Rank Test-0.68
Residual Average0.0
Price Variance3.01

GlaxoSmithKline PLC lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

GlaxoSmithKline PLC regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

GlaxoSmithKline PLC Lagged Returns

 Regressed Prices 
    
  Timeline 

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Please check GlaxoSmithKline PLC Hype Analysis, GlaxoSmithKline PLC Correlation, GlaxoSmithKline PLC Valuation, GlaxoSmithKline PLC Volatility as well as analyze GlaxoSmithKline PLC Alpha and Beta and GlaxoSmithKline PLC Performance. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.