The Procter Gamble Backtested Returns
Macroaxis considers Procter Gamble to be not too risky. The Procter Gamble
maintains Sharpe Ratio (i.e. Efficiency) of -0.2309 which implies The Procter Gamble
had -0.2309% 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
. The Procter Gamble exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to check The Procter Gamble Coefficient Of Variation
of (468.16) and Market Risk Adjusted Performance of 0.1882 to confirm risk estimate we provide. Macroaxis gives Procter Gamble performance score of 0 on a scale of 0 to 100. The organization holds Beta of -1.2654 which implies as returns on market increase, returns on owning Procter Gamble are expected to decrease by larger amounts. On the other hand, during market turmoil, Procter Gamble is expected to significantly outperform it.. Even though it is essential to pay attention to The Procter Gamble 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. The Procter Gamble exposes twenty-one different technical indicators which can help you to evaluate its performance. The Procter Gamble has expected return of -0.2415%. Please be advised to check The Procter Gamble Information Ratio as well as the relationship between Potential Upside and Kurtosis to decide if The Procter Gamble past performance will be repeated at some point in the near future.
|15 days auto-correlation||(0.22) |
Weak reverse predictability
The Procter Gamble Company has weak reverse predictability. Overlapping area represents the amount of predictability between Procter Gamble time series from September 23, 2017 to October 8, 2017 and October 8, 2017 to October 23, 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 The Procter Gamble price movement. The serial correlation of -0.22 indicates that over 22.0% of current Procter Gamble price fluctuation can be explain by its past prices. Given that The Procter Gamble Company has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Procter Gamble for similar time interval.
|Correlation Coefficient|| -0.22|
|Spearman Rank Test|| -0.18|
|Price Variance|| 1.82|
|Lagged Price Variance|| 0.47|
Procter Gamble Lagged Returns