Red Hat Backtesting

Red Hat Inc -- USA Stock  

USD 144.32  1.61  1.13%

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

Red Hat 'What if' Analysis

January 21, 2018
No Change 0.00  0.0%
In 31 days
February 20, 2018
If you would invest  0.00  in Red Hat on January 21, 2018 and sell it all today you would earn a total of 0.00 from holding Red Hat Inc or generate 0.0% return on investment in Red Hat over 30 days. Red Hat is related to or competes with Fiserv, Amdocs Limited, Intuit, Kingtone Wirelessinfo, and ManTech International. Red Hat, Inc. provides open source software solutions to develop and offer operating system, virtualization, management,...

Red Hat Upside/Downside Indicators


Red Hat Market Premium Indicators

Red Hat Inc lagged returns against current returns

 Current and Lagged Values 

Red Hat regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Red Hat Inc Backtested Returns

Macroaxis considers Red Hat not too risky given 1 month investment horizon. Red Hat Inc maintains Sharpe Ratio (i.e. Efficiency) of 0.3383 which implies Red Hat Inc had 0.3383% 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. By analyzing Red Hat Inc technical indicators you can presently evaluate if the expected return of 0.6166% is justified by implied risk. Please employ Red Hat Inc Coefficient Of Variation of 279.76, Semi Deviation of 1.13 and Risk Adjusted Performance of 0.6133 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Red Hat holds performance score of 22. The organization holds Beta of 0.7582 which implies as returns on market increase, Red Hat returns are expected to increase less than the market. However during bear market, the loss on holding Red Hat will be expected to be smaller as well.. Although it is vital to follow to Red Hat Inc current trending patterns, it is good to be conservative about what you can actually do with the information regarding 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. We have found twenty-one technical indicators for Red Hat Inc which you can use to evaluate performance of the company. Please employ Red Hat Inc Semi Deviation, Jensen Alpha as well as the relationship between Jensen Alpha and Semi Variance to make a quick decision on weather Red Hat historical price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.43) 

Modest reverse predictability

Red Hat Inc has modest reverse predictability. Overlapping area represents the amount of predictability between Red Hat time series from January 21, 2018 to February 5, 2018 and February 5, 2018 to February 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 Red Hat Inc price movement. The serial correlation of -0.43 indicates that just about 43.0% of current Red Hat price fluctuation can be explain by its past prices. Given that Red Hat Inc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Red Hat for similar time interval.
Correlation Coefficient -0.43
Price Variance 42.35
Lagged Price Variance 5.62
Average Price 132.61

Red Hat Lagged Returns

 Regressed Prices 

Red Hat Performance vs DOW

The median price of Red Hat for the period between Sun, Jan 21, 2018 and Tue, Feb 20, 2018 is 130.62 with a coefficient of variation of 3.96. The daily time series for the period is distributed with a sample standard deviation of 5.21, arithmetic mean of 131.37, and mean deviation of 3.82. The Stock received some media coverage during the period.
Price Growth (%)  
Sale by Szulik Matthew of 100000 shares of Red Hat02/20/2018