MRC Global Backtesting

MRC -- USA Stock  

USD 21.92  0.03  0.14%

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

MRC Global '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 MRC Global on June 21, 2018 and sell it all today you would earn a total of 0.00 from holding MRC Global or generate 0.0% return on investment in MRC Global over 30 days. MRC Global is related to or competes with CJ Energy, Franks International, ION Geophysical, Newpark Resources, NOW, Dawson Geophysical, and Emerge Energy. MRC Global Inc., through its subsidiaries, distributes pipes, valves, fittings, and related products and services to the...

MRC Global Upside/Downside Indicators

Downside Deviation2.33
Information Ratio0.106
Maximum Drawdown7.48
Value At Risk3.13
Potential Upside2.49

MRC Global Market Premium Indicators

Risk Adjusted Performance0.0879
Jensen Alpha0.2745
Total Risk Alpha0.06
Sortino Ratio0.0767
Treynor Ratio63.93

MRC Global Backtested Returns

Macroaxis considers MRC Global not too volatile given 1 month investment horizon. MRC Global retains Efficiency (Sharpe Ratio) of 0.227 which conveys that MRC Global had 0.227% of return per unit of risk over the last 1 month. Our philosophy in 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 MRC Global which you can use to evaluate future volatility of the firm. Please exercise MRC Global Semi Deviation of 1.65, Market Risk Adjusted Performance of 63.94 and Mean Deviation of 1.17 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100 MRC Global holds performance score of 15. The company owns Beta (Systematic Risk) of 0.0043 which conveys that as returns on market increase, MRC Global returns are expected to increase less than the market. However during bear market, the loss on holding MRC Global will be expected to be smaller as well.. Although it is vital to follow to MRC Global existing price patterns, it is good to be conservative about what you can actually do with the information regarding equity price patterns. The philosophy in 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 MRC Global technical indicators you can now evaluate if the expected return of 0.3791% will be sustainable into the future. Please exercises MRC Global Treynor Ratio, and the relationship between Standard Deviation and Downside Variance to make a quick decision on weather MRC Global current price history will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.50) 

Modest reverse predictability

MRC Global has modest reverse predictability. Overlapping area represents the amount of predictability between MRC Global 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 MRC Global price movement. The serial correlation of -0.5 indicates that about 50.0% of current MRC Global price fluctuation can be explain by its past prices. Given that MRC Global has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of MRC Global for similar time interval.
Correlation Coefficient -0.5
Spearman Rank Test -0.54
Price Variance 0.1
Lagged Price Variance 0.28

MRC Global lagged returns against current returns

 Current and Lagged Values 

MRC Global regressed lagged prices vs. current prices

 Current vs Lagged Prices 

MRC Global Lagged Returns

 Regressed Prices 

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Please see also MRC Global Hype Analysis, MRC Global Correlation, MRC Global Valuation, MRC Global Volatility as well as analyze MRC Global Alpha and Beta and MRC Global Performance. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.