Realty Income Backtesting

Realty Income Corporation -- USA Stock  

USD 49.87  0.03  0.0601%

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

February 20, 2018
No Change 0.00  0.0%
In 31 days
March 22, 2018
If you would invest  0.00  in Realty Income on February 20, 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 VEREIT, Vornado Realty, W P, ABM Industries, and Apartment Investment. Realty Income, The Monthly Dividend Company, is an SP 500 company dedicated to providing shareholders with dependable mo...

Realty Income Upside/Downside Indicators


Realty Income Market Premium Indicators

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 Backtested Returns

We consider Realty Income not too risky. Realty Income maintains Sharpe Ratio (i.e. Efficiency) of 0.0433 which implies Realty Income had 0.0433% 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 706.8, Semi Deviation of 0.9662 and Risk Adjusted Performance of 0.1422 to confirm if risk estimate we provide are consistent with the epected return of 0.0468%. Realty Income has performance score of 2 on a scale of 0 to 100. The organization holds Beta of -0.3365 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 0.0468% will be sustainable into the future. Realty Income right now holds a risk of 1.0804%. 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(0.33) 

Poor reverse predictability

Realty Income Corporation has poor reverse predictability. Overlapping area represents the amount of predictability between Realty Income time series from February 20, 2018 to March 7, 2018 and March 7, 2018 to March 22, 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 -0.33 indicates that nearly 33.0% 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 -0.33
Spearman Rank Test -0.02
Price Variance 0.28
Lagged Price Variance 0.48

Realty Income Lagged Returns

 Regressed Prices 

Realty Income Performance vs DOW

The median price of Realty Income for the period between Tue, Feb 20, 2018 and Thu, Mar 22, 2018 is 50.54 with a coefficient of variation of 1.66. The daily time series for the period is distributed with a sample standard deviation of 0.83, arithmetic mean of 50.34, and mean deviation of 0.68. The Stock received some media coverage during the period.
 Price Growth (%)  
Glistening Stocks Review Realty Income Corporation02/28/2018
Price to Earnings Evaluation Realty Income Corporation03/22/2018