Perrigo Company Backtesting

PRGO -- USA Stock  

Last Earning Anouncement Date: December 31, 2015  

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

Perrigo Company 'What if' Analysis

July 20, 2019
No Change 0.00  0.0 
In 3 months and 1 day
October 18, 2019
If you would invest  0.00  in Perrigo Company on July 20, 2019 and sell it all today you would earn a total of 0.00 from holding Perrigo Company Plc or generate 0.0% return on investment in Perrigo Company over 90 days. Perrigo Company is related to or competes with Vertex Pharmaceuticals, Zoetis, Dr Reddys, Regeneron Pharmaceuticals, Origin Agritech. Perrigo Company plc, a healthcare company, manufactures and supplies over-the-counter healthcare products, infant formul...

Perrigo Company Upside/Downside Indicators

Downside Deviation2.16
Information Ratio0.0739
Maximum Drawdown9.78
Value At Risk(2.93)
Potential Upside3.33

Perrigo Company Market Premium Indicators

Risk Adjusted Performance0.074
Jensen Alpha0.1483
Total Risk Alpha0.1672
Sortino Ratio0.0692
Treynor Ratio0.1458

Perrigo Company Backtested Returns

We consider Perrigo Company very steady. Perrigo Company maintains Sharpe Ratio (i.e. Efficiency) of 0.0321 which implies the corporation had 0.0321% of return per unit of risk over the last 3 months. Our philosophy towards forecasting volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for Perrigo Company which you can use to evaluate future volatility of the company. Please check Perrigo Company Semi Deviation of 1.96, Risk Adjusted Performance of 0.074 and Coefficient Of Variation of 1410.77 to confirm if risk estimate we provide are consistent with the epected return of 0.0657%. Perrigo Company has performance score of 2 on a scale of 0 to 100. The organization holds Beta of 0.9151 which implies Perrigo Company returns are very sensitive to returns on the market. as market goes up or down, Perrigo Company is expected to follow. Although it is extremely important to respect Perrigo Company 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 Perrigo Company technical indicators you can presently evaluate if the expected return of 0.0657% will be sustainable into the future. Perrigo Company right now holds a risk of 2.0444%. Please check Perrigo Company Potential Upside as well as the relationship between Kurtosis and Day Typical Price to decide if Perrigo Company will be following its historical price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.32) 
correlation synergy

Poor reverse predictability

Perrigo Company Plc has poor reverse predictability. Overlapping area represents the amount of predictability between Perrigo Company time series from July 20, 2019 to September 3, 2019 and September 3, 2019 to October 18, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Perrigo Company price movement. The serial correlation of -0.32 indicates that nearly 32.0% of current Perrigo Company price fluctuation can be explain by its past prices. Given that Perrigo Company Plc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Perrigo Company for similar time interval.
Correlation Coefficient-0.32
Spearman Rank Test0.16
Residual Average0.0
Price Variance6.77

Perrigo Company lagged returns against current returns

 Current and Lagged Values 

Perrigo Company regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Perrigo Company Lagged Returns

 Regressed Prices 

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Additionally take a look at Perrigo Company Hype Analysis, Perrigo Company Correlation, Perrigo Company Valuation, Perrigo Company Volatility as well as analyze Perrigo Company Alpha and Beta and Perrigo Company Performance. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.