Procter Gamble Backtesting

The Procter Gamble Company -- USA Stock  

USD 88.25  3.34  3.65%

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
Investment Horizon     30 Days    Login   to change
SymbolX
Backtest

Procter Gamble 'What if' Analysis

September 23, 2017
 0.00 
No Change 0.00  0.0%
In 30 days
October 23, 2017
 0.00 
If you would invest  0.00  in Procter Gamble on September 23, 2017 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, Church Dwight, Fuling Global, Clorox, and Energizer Holdings. The Procter Gamble Companys Beauty segment offers hair care solutions comprising conditioners, shampoos, styling aids, a...

Procter Gamble Upside/Downside Indicators

  

Procter Gamble Market Premium Indicators

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 

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.
Advice Volatility Trend Exposure Correlations
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

 Regressed Prices 
      Timeline 

Procter Gamble Performance vs DOW

The median price of Procter Gamble for the period between Sat, Sep 23, 2017 and Mon, Oct 23, 2017 is 92.15 with a coefficient of variation of 1.15. The daily time series for the period is distributed with a sample standard deviation of 1.06, arithmetic mean of 91.94, and mean deviation of 0.73. The Stock received some media coverage during the period.
October 19, 2017Procter Gamble Dividend Paid
Price Growth (%)  
      Timeline 
1
Procter and Gamble Co. Q1 Profit Advances 110/20/2017