Realty Income Backtesting

O -- USA Stock  

USD 54.72  0.19  0.35%

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.
 Time Horizon     30 Days    Login   to change

Realty Income 'What if' Analysis

June 18, 2018
No Change 0.00  0.0%
In 31 days
July 18, 2018
If you would invest  0.00  in Realty Income on June 18, 2018 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 American Assets, Agree Realty, Acadia Realty, Alexanders, Saul Centers, and Brixmor Property. Realty Income, The Monthly Dividend Companysupsup, is an SP 500 company dedicated to providing stockholders with dependa...

Realty Income Upside/Downside Indicators

Downside Deviation0.7046
Information Ratio0.0136
Maximum Drawdown3.12
Value At Risk0.95
Potential Upside1.63

Realty Income Market Premium Indicators

Risk Adjusted Performance0.1124
Jensen Alpha0.1538
Total Risk Alpha0.037768
Sortino Ratio0.0161
Treynor Ratio1.45

Realty Income Backtested Returns

We consider Realty Income not too risky. Realty Income maintains Sharpe Ratio (i.e. Efficiency) of 0.1886 which implies Realty Income had 0.1886% 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 552.45, Semi Deviation of 0.4916 and Risk Adjusted Performance of 0.1124 to confirm if risk estimate we provide are consistent with the epected return of 0.1572%. Realty Income has performance score of 12 on a scale of 0 to 100. The organization holds Beta of -0.0974 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.. 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 0.1572% will be sustainable into the future. Realty Income right now holds a risk of 0.8335%. 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 0.41 

Average predictability

Realty Income Corporation has average predictability. Overlapping area represents the amount of predictability between Realty Income 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 Realty Income price movement. The serial correlation of 0.41 indicates that just about 41.0% of current Realty Income price fluctuation can be explain by its past prices.
Correlation Coefficient 0.41
Spearman Rank Test 0.26
Price Variance 0.15
Lagged Price Variance 0.31

Realty Income lagged returns against current returns

 Current and Lagged Values 

Realty Income regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Realty Income Lagged Returns

 Regressed Prices 

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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. Please also try Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.