NACCO Industries Backtesting

NC -- USA Stock  

USD 33.10  0.25  0.75%

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

NACCO Industries 'What if' Analysis

June 18, 2018
0.00
No Change 0.00  0.0%
In 30 days
July 18, 2018
0.00
If you would invest  0.00  in NACCO Industries on June 18, 2018 and sell it all today you would earn a total of 0.00 from holding NACCO Industries or generate 0.0% return on investment in NACCO Industries over 30 days. NACCO Industries is related to or competes with Foresight Energy, and Peabody Energy. NACCO Industries, Inc. operates primarily in the mining industry

NACCO Industries Upside/Downside Indicators

Information Ratio0.13
Maximum Drawdown9.41
Value At Risk5.01
Potential Upside3.51
  

NACCO Industries Market Premium Indicators

Risk Adjusted Performance0.039995
Jensen Alpha0.25
Total Risk Alpha0.80
Treynor Ratio0.92

NACCO Industries Backtested Returns

Macroaxis considers NACCO Industries to be not too volatile. NACCO Industries retains Efficiency (Sharpe Ratio) of -0.1119 which conveys that NACCO Industries had -0.1119% of return per unit of risk over the last 1 month. Macroaxis approach towards 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. NACCO Industries exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify NACCO Industries Market Risk Adjusted Performance of 0.91 and Mean Deviation of 1.97 to check out risk estimate we provide. Macroaxis gives NACCO Industries performance score of 0 on a scale of 0 to 100. The corporation owns Beta (Systematic Risk) of 0.2402 which conveys that as returns on market increase, NACCO Industries returns are expected to increase less than the market. However during bear market, the loss on holding NACCO Industries will be expected to be smaller as well.. Even though it is essential to pay attention to NACCO Industries existing price patterns, it is always good to be careful when utilizing equity price patterns. Macroaxis approach towards 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. NACCO Industries exposes twenty-eight different technical indicators which can help you to evaluate its performance. NACCO Industries has expected return of -0.2965%. Please be advised to verify NACCO Industries Information Ratio, Downside Variance, Day Median Price, as well as the relationship between Treynor Ratio and Kurtosis to decide if NACCO Industries past performance will be repeated in the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.13) 

Insignificant reverse predictability

NACCO Industries has insignificant reverse predictability. Overlapping area represents the amount of predictability between NACCO Industries time series from June 18, 2018 to July 3, 2018 and July 3, 2018 to July 18, 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 NACCO Industries price movement. The serial correlation of -0.13 indicates that less than 13.0% of current NACCO Industries price fluctuation can be explain by its past prices. Given that NACCO Industries has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of NACCO Industries for similar time interval.
Correlation Coefficient -0.13
Spearman Rank Test 0.61
Price Variance 0.25
Lagged Price Variance 0.73

NACCO Industries lagged returns against current returns

 Current and Lagged Values 
      Timeline 

NACCO Industries regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

NACCO Industries Lagged Returns

 Regressed Prices 
      Timeline 

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Please see also NACCO Industries Hype Analysis, NACCO Industries Correlation, NACCO Industries Valuation, NACCO Industries Volatility as well as analyze NACCO Industries Alpha and Beta and NACCO Industries Performance. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.