Realty Income Backtesting

Realty Income Corporation -- USA Stock  

USD 56.87  0.53  0.92%

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

November 16, 2017
0.00
No Change 0.00  0.0%
In 30 days
December 16, 2017
0.00
If you would invest  0.00  in Realty Income on November 16, 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

We consider Realty Income not too risky. Realty Income maintains Sharpe Ratio (i.e. Efficiency) of 0.1086 which implies Realty Income had 0.1086% of return per unit of risk over the last 1 month. Our philosophy towards forecasting 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-one technical indicators for Realty Income which you can use to evaluate future volatility of the company. Please check Realty Income Coefficient Of Variation of 922.11, Semi Deviation of 0.3932 and Risk Adjusted Performance of 0.0548 to confirm if risk estimate we provide are consistent with the epected return of 0.0786%. Realty Income has performance score of 7 on a scale of 0 to 100. The organization holds Beta of 0.1498 which implies as returns on market increase, Realty Income returns are expected to increase less than the market. However during bear market, the loss on holding Realty Income will be expected to be smaller as well.. Although it is extremely important to respect Realty Income current trending patterns, it is better to be realistic regarding the information on equity existing price patterns. The philosophy towards forecasting 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 Realty Income technical indicators you can presently evaluate if the expected return of 0.0786% will be sustainable into the future. Realty Income right now holds a risk of 0.7242%. Please check Realty Income Standard Deviation as well as the relationship between Maximum Drawdown and Expected Short fall to decide if Realty Income will be following its historical price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.88) 

Excellent reverse predictability

Realty Income Corporation has excellent reverse predictability. Overlapping area represents the amount of predictability between Realty Income time series from November 16, 2017 to December 1, 2017 and December 1, 2017 to December 16, 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 -0.88 indicates that approximately 88.0% of current Realty Income price fluctuation can be explain by its past prices. Given that Realty Income Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Realty Income for similar time interval.
Correlation Coefficient -0.88
Spearman Rank Test -0.76
Price Variance 0.73
Lagged Price Variance 0.18

Realty Income Lagged Returns

 Regressed Prices 
      Timeline 

Realty Income Performance vs DOW

The median price of Realty Income for the period between Thu, Nov 16, 2017 and Sat, Dec 16, 2017 is 56.12 with a coefficient of variation of 1.27. The daily time series for the period is distributed with a sample standard deviation of 0.71, arithmetic mean of 55.97, and mean deviation of 0.6. The Stock received some media coverage during the period.
November 30, 2017Realty Income Dividend Paid
Price Growth (%)  
      Timeline 
1
Payment of 501 shares by Neil Abraham of Realty Income subje...11/22/2017
2
Unusual Activity Spotted in Kimberly-Clark Corp and Realty I...12/15/2017