Macys Backtesting

Macys Inc -- USA Stock  

USD 29.30  0.40  1.38%

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
 Time Horizon     30 Days    Login   to change

Macys 'What if' Analysis

February 18, 2018
No Change 0.00  0.0%
In 30 days
March 20, 2018
If you would invest  0.00  in Macys on February 18, 2018 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. Macys, Inc., together with its subsidiaries, operates stores, Websites, and mobile applications

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

Macroaxis considers Macys not too volatile given 1 month investment horizon. Macys Inc has Sharpe Ratio of 0.3201 which conveys that Macys Inc had 0.3201% 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 Inc technical indicators you can presently evaluate if the expected return of 0.6554% is justified by implied risk. Please exercise Macys Inc Downside Deviation of 1.68, Mean Deviation of 1.73 and Risk Adjusted Performance of 0.2823 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Macys holds performance score of 21. The company secures Beta (Market Risk) of -0.5607 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.. 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. 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 Inc Variance as well as the relationship between Value At Risk and Skewness to make a quick decision on weather Macys Inc current price movements will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.65) 

Very good reverse predictability

Macys Inc has very good reverse predictability. Overlapping area represents the amount of predictability between Macys time series from February 18, 2018 to March 5, 2018 and March 5, 2018 to March 20, 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 Inc price movement. The serial correlation of -0.65 indicates that roughly 65.0% of current Macys price fluctuation can be explain by its past prices. Given that Macys Inc 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 -0.65
Spearman Rank Test -0.65
Price Variance 0.38
Lagged Price Variance 3.16

Macys Lagged Returns

 Regressed Prices 

Macys Performance vs DOW

The median price of Macys for the period between Sun, Feb 18, 2018 and Tue, Mar 20, 2018 is 28.92 with a coefficient of variation of 5.5. The daily time series for the period is distributed with a sample standard deviation of 1.57, arithmetic mean of 28.59, and mean deviation of 1.26. The Stock received some media coverage during the period.
 Price Growth (%)  
Exercise or conversion by Jeffrey Gennette of 18609 shares o...02/26/2018
Macys exotic insider transaction detected03/19/2018