Realty Income Backtested Returns
Macroaxis considers Realty Income to be not too risky. Realty Income
maintains Sharpe Ratio (i.e. Efficiency) of -0.2422 which implies Realty Income
had -0.2422% of return per unit of risk over the last 1 month. Macroaxis philosophy towards forecasting 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
. Realty Income exposes twenty-eight different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Realty Income Coefficient Of Variation
of (403.72) and Risk Adjusted Performance of (0.050053) to confirm risk estimate we provide. Macroaxis gives Realty Income performance score of 0 on a scale of 0 to 100. The organization holds Beta of -0.2765 which implies as returns on market increase, returns on owning Realty Income are expected to decrease at a much smaller rate. During bear market, Realty Income is likely to outperform the market.. Even though it is essential to pay attention to Realty Income current trending patternss, it is always good to be careful when utilizing equity existing price patterns. Macroaxis philosophy towards forecasting 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. Realty Income exposes twenty-eight different technical indicators which can help you to evaluate its performance. Realty Income has expected return of -0.1595%. Please be advised to check Realty Income Maximum Drawdown, and the relationship between Information Ratio and Expected Short fall to decide if Realty Income past performance will be repeated at some point in the near future.
|15 days auto-correlation|| 0.39 |
Below average predictability
Realty Income Corporation has below average predictability. Overlapping area represents the amount of predictability between Realty Income time series from September 20, 2017 to October 5, 2017 and October 5, 2017 to October 20, 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 Realty Income price movement. The serial correlation of 0.39 indicates that just about 39.0% of current Realty Income price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.39|
|Spearman Rank Test|| 0.39|
|Price Variance|| 0.15|
|Lagged Price Variance|| 0.22|
Realty Income Lagged Returns