MRC Global Inc Backtested Returns
Macroaxis considers MRC Global to be not very risky. MRC Global Inc
retains Efficiency (Sharpe Ratio) of -0.082 which conveys that MRC Global Inc
had -0.082% of return per unit of risk over the last 1 month. Macroaxis philosophy in 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
. MRC Global exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify MRC Global Inc Market Risk Adjusted Performance
of 5.02 and Mean Deviation of 1.53 to check out risk estimate we provide. Macroaxis gives MRC Global performance score of 0 on a scale of 0 to 100. The company owns Beta (Systematic Risk) of 0.0377 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.. Even though it is essential to pay attention to MRC Global Inc existing price patterns, it is always good to be careful when utilizing equity price patterns. Macroaxis philosophy in 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. MRC Global exposes twenty-one different technical indicators which can help you to evaluate its performance. MRC Global Inc has expected return of -0.1798%. Please be advised to verify MRC Global Inc Treynor Ratio, and the relationship between Standard Deviation and Downside Variance to decide if MRC Global Inc past performance will be repeated at future time.
|15 days auto-correlation||(0.33) |
Poor reverse predictability
MRC Global Inc has poor reverse predictability. Overlapping area represents the amount of predictability between MRC Global time series from February 22, 2018 to March 9, 2018 and March 9, 2018 to March 24, 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 Inc price movement. The serial correlation of -0.33 indicates that nearly 33.0% of current MRC Global price fluctuation can be explain by its past prices. Given that MRC Global Inc 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|| -0.33|
|Spearman Rank Test|| -0.22|
|Price Variance|| 0.25|
|Lagged Price Variance|| 0.12|
MRC Global Lagged Returns