MRC Global Backtesting

MRC Global Inc -- USA Stock  

USD 17.43  0.31  1.75%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of MRC Global Inc 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
Investment Horizon     30 Days    Login   to change

MRC Global 'What if' Analysis

September 23, 2017
No Change 0.00  0.0%
In 31 days
October 23, 2017
If you would invest  0.00  in MRC Global on September 23, 2017 and sell it all today you would earn a total of 0.00 from holding MRC Global Inc or generate 0.0% return on investment in MRC Global over 30 days. MRC Global is related to or competes with Cheniere Energy, Enbridge Energy, Halliburton, Magellan Midstream, and . It offers ball butterfly gate globe check needle and plug valves and other products such as lined corrosion resistant pi...

MRC Global Upside/Downside Indicators


MRC Global Market Premium Indicators

MRC Global Inc lagged returns against current returns

 Current and Lagged Values 

MRC Global regressed lagged prices vs. current prices

 Current vs Lagged Prices 

MRC Global Inc Backtested Returns

We consider MRC Global not too volatile. MRC Global Inc retains Efficiency (Sharpe Ratio) of 0.071 which conveys that MRC Global Inc had 0.071% 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-eight technical indicators for MRC Global which you can use to evaluate future volatility of the firm. Please verify MRC Global Inc Semi Deviation of 0.8639, Market Risk Adjusted Performance of 1.19 and Mean Deviation of 0.7734 to check out if risk estimate we provide are consistent with the epected return of 0.0739%. MRC Global has performance score of 4 on a scale of 0 to 100. The company owns Beta (Systematic Risk) of 0.1304 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 extremely important to respect MRC Global Inc existing price patterns, it is better to be realistic regarding the information on 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 Inc technical indicators you can now evaluate if the expected return of 0.0739% will be sustainable into the future. MRC Global Inc currently owns a risk of 1.0416%. Please verify MRC Global Inc Information Ratio, Downside Variance, Day Median Price, as well as the relationship between Treynor Ratio and Kurtosis to decide if MRC Global Inc will be following its current price history.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.55) 

Good reverse predictability

MRC Global Inc has good reverse predictability. Overlapping area represents the amount of predictability between MRC Global time series from September 23, 2017 to October 8, 2017 and October 8, 2017 to October 23, 2017. 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 -0.55 indicates that about 55.0% 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 -0.55
Spearman Rank Test -0.54
Price Variance 0.06
Lagged Price Variance 0.13

MRC Global Lagged Returns

 Regressed Prices 

MRC Global Performance vs DOW

The median price of MRC Global for the period between Sat, Sep 23, 2017 and Mon, Oct 23, 2017 is 17.8 with a coefficient of variation of 2.15. The daily time series for the period is distributed with a sample standard deviation of 0.38, arithmetic mean of 17.72, and mean deviation of 0.32. The Stock did not receive any noticable media coverage during the period.
Price Growth (%)