Macys Backtesting

Macys Inc -- USA Stock  

USD 24.8  1.03  3.99%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Macys Inc and determine expected loss or profit from investing in Macys over given investment horizon. Please see also Macys Hype Analysis, Macys Correlation, Macys Valuation, Macys Volatility as well as analyze Macys Alpha and Beta and Macys Performance
Investment Horizon     30 Days    Login   to change

Macys 'What if' Analysis

November 14, 2017
No Change 0.00  0.0%
In 31 days
December 14, 2017
If you would invest  0.00  in Macys on November 14, 2017 and sell it all today you would earn a total of 0.00 from holding Macys Inc or generate 0.0% return on investment in Macys over 30 days. Macys is related to or competes with Dollar General, Home Depot, Dollar Tree, Vipshop Holdings, and Aarons. Its stores and Websites sell a range of merchandise, including apparel and accessories for men, women, and children cosm...

Macys Upside/Downside Indicators


Macys Market Premium Indicators

Macys Inc lagged returns against current returns

 Current and Lagged Values 

Macys regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Macys Inc Backtested Returns

Macys is not very risky given 1 month investment horizon. Macys Inc has Sharpe Ratio of 0.4009 which conveys that Macys Inc had 0.4009% of return per unit of risk over the last 1 month. Our philosophy towards estimating risk of a stock is to use both market data as well as company specific technical data. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 1.0861% are justified by taking the suggested risk. Use Macys Inc Downside Deviation of 2.27, Mean Deviation of 1.85 and Risk Adjusted Performance of 0.2095 to evaluate company specific risk that cannot be diversified away. Macys holds performance score of 26 on a scale of zero to a hundred. The company secures Beta (Market Risk) of 1.2711 which conveys that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Macys will likely underperform.. Although it is vital to follow to Macys Inc price patterns, it is good to be conservative about what you can actually do with the information regarding equity historical price patterns. Macroaxis philosophy towards estimating future performance of any stock is to look not only at its past charts but also at the business as a whole, including all fundamental and technical indicators. To evaluate if Macys expected return of 1.0861 will be sustainable into the future, we have found twenty-one different technical indicators which can help you to check if the expected returns are sustainable. Use Macys Inc Variance as well as the relationship between Value At Risk and Skewness to analyze future returns on Macys Inc.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.63 

Good predictability

Macys Inc has good predictability. Overlapping area represents the amount of predictability between Macys time series from November 14, 2017 to November 29, 2017 and November 29, 2017 to December 14, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Macys Inc price movement. The serial correlation of 0.63 indicates that roughly 63.0% of current Macys price fluctuation can be explain by its past prices.
Correlation Coefficient 0.63
Spearman Rank Test 0.75
Price Variance 0.57
Lagged Price Variance 1.32

Macys Lagged Returns

 Regressed Prices 

Macys Performance vs DOW

The median price of Macys for the period between Tue, Nov 14, 2017 and Thu, Dec 14, 2017 is 23.98 with a coefficient of variation of 10.32. The daily time series for the period is distributed with a sample standard deviation of 2.38, arithmetic mean of 23.09, and mean deviation of 2.21. The Stock received some media coverage during the period.
December 14, 2017Macys Dividend Paid
Price Growth (%)  
Can Downtown Macy store gain new lease on life12/13/2017