Macys Backtesting

Macys Inc -- USA Stock  

USD 20.19  0.98  4.63%

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

September 22, 2017
No Change 0.00  0.0%
In 31 days
October 22, 2017
If you would invest  0.00  in Macys on September 22, 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

We consider Macys moderately volatile. Macys Inc has Sharpe Ratio of 0.0196 which conveys that Macys Inc had 0.0196% 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. We have found twenty-one technical indicators for Macys which you can use to evaluate future volatility of the firm. Please verify Macys Inc Downside Deviation of 1.94, Mean Deviation of 1.36 and Risk Adjusted Performance of 0.0112 to check out if risk estimate we provide are consistent with the epected return of 0.1469%. Macys has performance score of 1 on a scale of 0 to 100. The company secures Beta (Market Risk) of 1.3146 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 extremely important to respect Macys Inc price patterns, it is better to be realistic regarding the information on 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. By analyzing Macys Inc technical indicators you can presently evaluate if the expected return of 0.1469% will be sustainable into the future. Macys Inc right now secures a risk of 7.5093%. Please verify Macys Inc Variance as well as the relationship between Value At Risk and Skewness to decide if Macys Inc will be following its current price movements.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.00 

No correlation between past and present

Macys Inc has no correlation between past and present. Overlapping area represents the amount of predictability between Macys time series from September 22, 2017 to October 7, 2017 and October 7, 2017 to October 22, 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 0.0 indicates that just 0.0% of current Macys price fluctuation can be explain by its past prices.
Average Price 21.17
Lagged Average Price 21.17

Macys Lagged Returns

 Regressed Prices 

Macys Performance vs DOW

The median price of Macys for the period between Fri, Sep 22, 2017 and Sun, Oct 22, 2017 is 20.89 with a coefficient of variation of 3.39. The daily time series for the period is distributed with a sample standard deviation of 0.71, arithmetic mean of 20.91, and mean deviation of 0.59. The Stock did not receive any noticable media coverage during the period.
Price Growth (%)