Macys Backtesting

M -- USA Stock  

USD 37.56  0.71  1.86%

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.
 Time Horizon     30 Days    Login   to change

Macys 'What if' Analysis

May 18, 2018
No Change 0.00  0.0%
In 31 days
June 17, 2018
If you would invest  0.00  in Macys on May 18, 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 30 days. Macys is related to or competes with Dollar General, Home Depot, Dollar Tree, Vipshop Holdings, Aarons, and BEST BUY. Macys, Inc., an omni-channel retail organization, operates stores, Websites, and mobile applications

Macys Upside/Downside Indicators

Downside Deviation2.94
Information Ratio0.2301
Maximum Drawdown11.95
Value At Risk4.00
Potential Upside4.33

Macys Market Premium Indicators

Risk Adjusted Performance0.01
Sortino Ratio0.2032

Macys Backtested Returns

Macroaxis considers Macys not too volatile given 1 month investment horizon. Macys has Sharpe Ratio of 0.2326 which conveys that Macys had 0.2326% of return per unit of risk over the last 1 month. Our philosophy towards estimating volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. By analyzing Macys technical indicators you can presently evaluate if the expected return of 0.634% is justified by implied risk. Please exercise Macys Downside Deviation of 2.94, Mean Deviation of 1.78 and Risk Adjusted Performance of 0.01 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Macys holds performance score of 15. The company secures Beta (Market Risk) of 0.0 which conveys that the returns on MARKET and Macys are completely uncorrelated. Although it is vital to follow to Macys price patterns, it is good to be conservative about what you can actually do with the information regarding equity historical price patterns. The philosophy towards estimating 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. We have found twenty-one technical indicators for Macys which you can use to evaluate performance of the firm. Please exercises Macys Variance as well as the relationship between Value At Risk and Skewness to make a quick decision on weather Macys current price movements will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.45) 

Modest reverse predictability

Macys has modest reverse predictability. Overlapping area represents the amount of predictability between Macys time series from May 18, 2018 to June 2, 2018 and June 2, 2018 to June 17, 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 -0.45 indicates that just about 45.0% 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 -0.45
Spearman Rank Test -0.47
Price Variance 1.25
Lagged Price Variance 0.61

Macys lagged returns against current returns

 Current and Lagged Values 

Macys regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Macys Lagged Returns

 Regressed Prices 

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?
98% Bullish
2% Bearish

Generate Optimal Portfolios

Align your risk and return expectations
Fix your portfolio
By capturing your risk tolerance and investment horizon Macroaxis technology of instant portfolio optimization will compute exactly how much risk is acceptable for your desired return expectations
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 Equity Analysis module to research over 250,000 global equities including funds, stocks and etfs to find investment opportunities.