Procter Gamble Backtesting

PG -- USA Stock  

USD 78.73  0.99  1.24%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of The Procter Gamble Company and determine expected loss or profit from investing in Procter Gamble over given investment horizon. Additionally take a look at Procter Gamble Hype Analysis, Procter Gamble Correlation, Procter Gamble Valuation, Procter Gamble Volatility as well as analyze Procter Gamble Alpha and Beta and Procter Gamble Performance.
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

Procter Gamble 'What if' Analysis

June 19, 2018
0.00
No Change 0.00  0.0%
In 31 days
July 19, 2018
0.00
If you would invest  0.00  in Procter Gamble on June 19, 2018 and sell it all today you would earn a total of 0.00 from holding The Procter Gamble Company or generate 0.0% return on investment in Procter Gamble over 30 days. Procter Gamble is related to or competes with Colgate Palmolive, Avon Products, CCA Industries, Clorox, e l, and Citigroup Inc. The Procter Gamble Company provides branded consumer packaged goods to consumers in the United States, Canada, Puerto Ri...

Procter Gamble Upside/Downside Indicators

Downside Deviation0.9618
Information Ratio0.0046
Maximum Drawdown3.51
Value At Risk1.24
Potential Upside1.68
  

Procter Gamble Market Premium Indicators

Risk Adjusted Performance0.0956
Jensen Alpha0.1919
Total Risk Alpha0.07
Sortino Ratio0.0045
Treynor Ratio0.31

The Procter Gamble Backtested Returns

We consider Procter Gamble not too risky. The Procter Gamble maintains Sharpe Ratio (i.e. Efficiency) of 0.1535 which implies The Procter Gamble had 0.1535% 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 The Procter Gamble which you can use to evaluate future volatility of the company. Please check The Procter Gamble Coefficient Of Variation of 651.26, Semi Deviation of 0.6577 and Market Risk Adjusted Performance of 0.30 to confirm if risk estimate we provide are consistent with the epected return of 0.1451%. Procter Gamble has performance score of 10 on a scale of 0 to 100. The organization holds Beta of -0.4351 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.. Although it is extremely important to respect The Procter Gamble 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 The Procter Gamble technical indicators you can presently evaluate if the expected return of 0.1451% will be sustainable into the future. The Procter Gamble right now holds a risk of 0.9447%. Please check The Procter Gamble Information Ratio as well as the relationship between Potential Upside and Kurtosis to decide if The Procter Gamble will be following its historical price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.38 

Below average predictability

The Procter Gamble Company has below average predictability. Overlapping area represents the amount of predictability between Procter Gamble time series from June 19, 2018 to July 4, 2018 and July 4, 2018 to July 19, 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 0.38 indicates that just about 38.0% of current Procter Gamble price fluctuation can be explain by its past prices.
Correlation Coefficient 0.38
Spearman Rank Test 0.06
Price Variance 0.33
Lagged Price Variance 0.61

The Procter Gamble lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Procter Gamble regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Procter Gamble Lagged Returns

 Regressed Prices 
      Timeline 

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Additionally take a look at Procter Gamble Hype Analysis, Procter Gamble Correlation, Procter Gamble Valuation, Procter Gamble Volatility as well as analyze Procter Gamble Alpha and Beta and Procter Gamble Performance. Please also try Technical Analysis module to check basic technical indicators and analysis based on most latest market data.