The Procter Gamble Backtested Returns
Macroaxis considers Procter Gamble to be not too risky. The Procter Gamble
maintains Sharpe Ratio (i.e. Efficiency) of -0.0471 which implies The Procter Gamble
had -0.0471% 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 (1,666) and Market Risk Adjusted Performance of 0.5173 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 -0.0952 which implies as returns on market increase, returns on owning Procter Gamble are expected to decrease at a much smaller rate. During bear market, Procter Gamble is likely to outperform the market.. Even though it is essential to pay attention to The Procter Gamble current trending patterns, 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 -0.0323%. 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|| 0.06 |
Virtually no predictability
The Procter Gamble Company has virtually no predictability. Overlapping area represents the amount of predictability between Procter Gamble time series from December 21, 2017 to January 5, 2018 and January 5, 2018 to January 20, 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 The Procter Gamble price movement. The serial correlation of 0.06 indicates that barely 6.0% of current Procter Gamble price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.06|
|Spearman Rank Test|| 0.53|
|Price Variance|| 0.39|
|Lagged Price Variance|| 0.39|
Procter Gamble Lagged Returns