NACCO Industries Inc Backtested Returns
Macroaxis considers NACCO Industries to be not too volatile. NACCO Industries Inc
retains Efficiency (Sharpe Ratio) of -0.11 which conveys that NACCO Industries Inc
had -0.11% 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-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify NACCO Industries Inc Market Risk Adjusted Performance
of (2.87) and Mean Deviation of 1.64 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 0.0803 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 Inc 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-one different technical indicators which can help you to evaluate its performance. NACCO Industries Inc has expected return of -0.2263%. Please be advised to verify NACCO Industries Inc Treynor Ratio, and the relationship between Standard Deviation and Downside Variance to decide if NACCO Industries Inc past performance will be repeated in the future.
|15 days auto-correlation||(0.53) |
Good reverse predictability
NACCO Industries Inc has good reverse predictability. Overlapping area represents the amount of predictability between NACCO Industries time series from November 14, 2017 to November 29, 2017 and November 29, 2017 to December 14, 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 NACCO Industries Inc price movement. The serial correlation of -0.53 indicates that about 53.0% of current NACCO Industries price fluctuation can be explain by its past prices. Given that NACCO Industries Inc 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|| -0.53|
|Spearman Rank Test|| 0.14|
|Price Variance|| 1.14|
|Lagged Price Variance|| 2.41|
NACCO Industries Lagged Returns