Macys Backtesting

M -- USA Stock  

USD 35.55  0.37  1.05%

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

August 23, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 22, 2018
0.00
If you would invest  0.00  in Macys on August 23, 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 Companhia Brasileira, Dillards, JC Penney, Nordstrom, Kohls, and Aurora Cannabis. Macys, Inc., an omni-channel retail organization, operates stores, Websites, and mobile applications

Macys Upside/Downside Indicators

Information Ratio0.41
Maximum Drawdown4.67
Value At Risk3.06
Potential Upside1.32
  

Macys Market Premium Indicators

Risk Adjusted Performance0.12
Jensen Alpha0.31
Total Risk Alpha0.85
Treynor Ratio1.12

Macys Backtested Returns

Macroaxis considers Macys to be not too volatile. Macys has Sharpe Ratio of -0.1969 which conveys that Macys had -0.1969% of return per unit of risk over the last 1 month. 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-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Macys Mean Deviation of 0.852 and Risk Adjusted Performance of 0.12 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 -0.3313 which conveys that as returns on market increase, returns on owning Macys are expected to decrease at a much smaller rate. During bear market, Macys is likely to outperform the market.. 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-one different technical indicators which can help you to evaluate its performance. Macys has expected return of -0.3502%. Please be advised to verify Macys Variance as well as the relationship between Value At Risk 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 0.18 

Very weak predictability

Macys has very weak predictability. Overlapping area represents the amount of predictability between Macys time series from August 23, 2018 to September 7, 2018 and September 7, 2018 to September 22, 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 0.18 indicates that over 18.0% of current Macys price fluctuation can be explain by its past prices.
Correlation Coefficient0.18
Spearman Rank Test0.56
Residual Average0.0
Price Variance0.5

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 

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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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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