Macys Backtesting

M -- USA Stock  

USD 31.77  0.08  0.25%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Macys 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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Macys 'What if' Analysis

October 11, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 10, 2018
0.00
If you would invest  0.00  in Macys on October 11, 2018 and sell it all today you would earn a total of 0.00 from holding Macys or generate 0.0% return on investment in Macys over 60 days. Macys is related to or competes with Companhia Brasileira, Dillards, JC Penney, Nordstrom, Kohls, and CubeSmart. Macys, Inc., an omni-channel retail organization, operates stores, Websites, and mobile applications

Macys Upside/Downside Indicators

Information Ratio0.0472
Maximum Drawdown12.3
Value At Risk(4.98)
Potential Upside4.08
  

Macys Market Premium Indicators

Risk Adjusted Performance(0.016727)
Jensen Alpha0.1126
Total Risk Alpha0.3102
Treynor Ratio(0.06)

Macys Backtested Returns

Macroaxis considers Macys to be not too volatile. Macys has Sharpe Ratio of -0.0149 which conveys that Macys had -0.0149% of return per unit of risk over the last 2 months. Macroaxis philosophy towards estimating 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. Macys exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Macys Mean Deviation of 2.13 and Risk Adjusted Performance of (0.016727) to check out risk estimate we provide. Macroaxis gives Macys performance score of 0 on a scale of 0 to 100. The company secures Beta (Market Risk) of 0.9063 which conveys that Macys returns are very sensitive to returns on the market. as market goes up or down, Macys is expected to follow.. Even though it is essential to pay attention to Macys price patterns, it is always good to be careful when utilizing equity historical price patterns. Macroaxis philosophy towards estimating 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. Macys exposes twenty-eight different technical indicators which can help you to evaluate its performance. Macys has expected return of -0.0419%. Please be advised to verify Macys Value At Risk, and the relationship between Jensen Alpha and Skewness to decide if Macys past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.39) 
correlation synergy

Poor reverse predictability

Macys has poor reverse predictability. Overlapping area represents the amount of predictability between Macys time series from October 11, 2018 to November 10, 2018 and November 10, 2018 to December 10, 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 Macys price movement. The serial correlation of -0.39 indicates that just about 39.0% of current Macys price fluctuation can be explain by its past prices. Given that Macys has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Macys for similar time interval.
Correlation Coefficient-0.39
Spearman Rank Test-0.18
Residual Average0.0
Price Variance1.93

Macys lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Macys regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Macys Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - M

Macys Investor Sentiment

Most of Macroaxis users are now bullish on Macys. What is your trading attitude regarding investing in Macys? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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Please see also Macys Hype Analysis, Macys Correlation, Macys Valuation, Macys Volatility as well as analyze Macys Alpha and Beta and Macys Performance. Please also try CEO Directory module to screen ceos from public companies around the world.
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