Ryder System Backtesting

Ryder System Inc -- USA Stock  

USD 81.07  0.95  1.16%

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

Ryder System 'What if' Analysis

November 15, 2017
0.00
No Change 0.00  0.0%
In 31 days
December 15, 2017
0.00
If you would invest  0.00  in Ryder System on November 15, 2017 and sell it all today you would earn a total of 0.00 from holding Ryder System Inc or generate 0.0% return on investment in Ryder System over 30 days. Ryder System is related to or competes with Werner Enterprises, Expeditors International, Brinks, CSX, and FedEx. Ryder System Inc operates in three segments Fleet Management Solutions Dedicated Transportation Solutions and Supply Cha...

Ryder System Upside/Downside Indicators

  

Ryder System Market Premium Indicators

Ryder System Inc lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Ryder System regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Ryder System Inc Backtested Returns

We consider Ryder System not too risky. Ryder System Inc maintains Sharpe Ratio (i.e. Efficiency) of 0.1149 which implies Ryder System Inc had 0.1149% 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 Ryder System Inc which you can use to evaluate future volatility of the company. Please check Ryder System Inc Coefficient Of Variation of 1491.85, Semi Deviation of 1.59 and Risk Adjusted Performance of 0.0407 to confirm if risk estimate we provide are consistent with the epected return of 0.1906%. Ryder System has performance score of 7 on a scale of 0 to 100. The organization holds Beta of 2.5965 which implies as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Ryder System will likely underperform.. Although it is extremely important to respect Ryder System Inc 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 Ryder System Inc technical indicators you can presently evaluate if the expected return of 0.1906% will be sustainable into the future. Ryder System Inc right now holds a risk of 1.6596%. Please check Ryder System Inc Semi Deviation, Jensen Alpha as well as the relationship between Jensen Alpha and Semi Variance to decide if Ryder System Inc will be following its historical price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.12 

Insignificant predictability

Ryder System Inc has insignificant predictability. Overlapping area represents the amount of predictability between Ryder System time series from November 15, 2017 to November 30, 2017 and November 30, 2017 to December 15, 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 Ryder System Inc price movement. The serial correlation of 0.12 indicates that less than 12.0% of current Ryder System price fluctuation can be explain by its past prices.
Correlation Coefficient 0.12
Spearman Rank Test -0.14
Price Variance 0.49
Lagged Price Variance 3.63

Ryder System Lagged Returns

 Regressed Prices 
      Timeline 

Ryder System Performance vs DOW

The median price of Ryder System for the period between Wed, Nov 15, 2017 and Fri, Dec 15, 2017 is 80.48 with a coefficient of variation of 2.63. The daily time series for the period is distributed with a sample standard deviation of 2.1, arithmetic mean of 79.97, and mean deviation of 1.82. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
Impala Asset Management LLC Acquires New Stake in Ryder Syst...12/14/2017