ManTech International Backtesting

MANT -- USA Stock  

USD 60.10  0.05  0.08%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of ManTech International Corporation and determine expected loss or profit from investing in ManTech International over given investment horizon. Please see also ManTech International Hype Analysis, ManTech International Correlation, ManTech International Valuation, ManTech International Volatility as well as analyze ManTech International Alpha and Beta and ManTech International Performance.
 Time Horizon     30 Days    Login   to change

ManTech International 'What if' Analysis

June 21, 2018
No Change 0.00  0.0%
In 31 days
July 21, 2018
If you would invest  0.00  in ManTech International on June 21, 2018 and sell it all today you would earn a total of 0.00 from holding ManTech International Corporation or generate 0.0% return on investment in ManTech International over 30 days. ManTech International is related to or competes with LINE, MINDBODY, Pluralsight, RealPage, Descartes Systems, Destiny Media, and DATAWATCH CP. ManTech International Corporation provides technologies and solutions for mission-critical national security programs wo...

ManTech International Upside/Downside Indicators

Downside Deviation0.9459
Information Ratio0.172
Maximum Drawdown7.88
Value At Risk1.03
Potential Upside4.11

ManTech International Market Premium Indicators

Risk Adjusted Performance0.1511
Jensen Alpha0.3253
Total Risk Alpha0.0571
Sortino Ratio0.342
Treynor Ratio0.4531

ManTech International Backtested Returns

Macroaxis considers ManTech International not too volatile given 1 month investment horizon. ManTech International has Sharpe Ratio of 0.2625 which conveys that ManTech International had 0.2625% 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 ManTech International technical indicators you can presently evaluate if the expected return of 0.5027% is justified by implied risk. Please exercise ManTech International Corporation Downside Deviation of 0.9459, Mean Deviation of 1.17 and Risk Adjusted Performance of 0.1511 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100 ManTech International holds performance score of 17. The company secures Beta (Market Risk) of 0.9856 which conveys that ManTech International returns are very sensitive to returns on the market. as market goes up or down, ManTech International is expected to follow.. Although it is vital to follow to ManTech International 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 ManTech International which you can use to evaluate performance of the firm. Please exercises ManTech International Corporation Standard Deviation, Maximum Drawdown as well as the relationship between Maximum Drawdown and Expected Short fall to make a quick decision on weather ManTech International current price movements will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.41 

Average predictability

ManTech International Corporation has average predictability. Overlapping area represents the amount of predictability between ManTech International time series from June 21, 2018 to July 6, 2018 and July 6, 2018 to July 21, 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 ManTech International price movement. The serial correlation of 0.41 indicates that just about 41.0% of current ManTech International price fluctuation can be explain by its past prices.
Correlation Coefficient 0.41
Spearman Rank Test 0.28
Price Variance 0.93
Lagged Price Variance 2.27

ManTech International lagged returns against current returns

 Current and Lagged Values 

ManTech International regressed lagged prices vs. current prices

 Current vs Lagged Prices 

ManTech International Lagged Returns

 Regressed Prices 

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Please see also ManTech International Hype Analysis, ManTech International Correlation, ManTech International Valuation, ManTech International Volatility as well as analyze ManTech International Alpha and Beta and ManTech International Performance. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.