Realty Income Backtesting

Realty Income Corporation -- USA Stock  

USD 55.66  0.55  0.98%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Realty Income Corporation and determine expected loss or profit from investing in Realty Income over given investment horizon. Additionally take a look at Realty Income Hype Analysis, Realty Income Correlation, Realty Income Valuation, Realty Income Volatility as well as analyze Realty Income Alpha and Beta and Realty Income Performance
Investment Horizon     30 Days    Login   to change
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Backtest

Realty Income 'What if' Analysis

September 20, 2017
 0.00 
No Change 0.00  0.0%
In 31 days
October 20, 2017
 0.00 
If you would invest  0.00  in Realty Income on September 20, 2017 and sell it all today you would earn a total of 0.00 from holding Realty Income Corporation or generate 0.0% return on investment in Realty Income over 30 days. Realty Income is related to or competes with VEREIT, Vornado Realty, W P, ABM Industries, and Apartment Investment. It invests in the real estate markets of the United States

Realty Income Upside/Downside Indicators

  

Realty Income Market Premium Indicators

Realty Income lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Realty Income regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

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.
Advice Volatility Trend Exposure Correlations
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

 Regressed Prices 
      Timeline 

Realty Income Performance vs DOW

The median price of Realty Income for the period between Wed, Sep 20, 2017 and Fri, Oct 20, 2017 is 57.07 with a coefficient of variation of 1.08. The daily time series for the period is distributed with a sample standard deviation of 0.62, arithmetic mean of 57.14, and mean deviation of 0.48. The Stock received some media coverage during the period.
September 29, 2017Realty Income Dividend Paid
Price Growth (%)  
      Timeline 
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Realty Income Corporation Insider Trading and Ownership Anal...10/19/2017