Red Hat Backtesting

Red Hat Inc -- USA Stock  

USD 120.49  0.2  0.17%

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
Investment Horizon     30 Days    Login   to change

Red Hat 'What if' Analysis

September 19, 2017
No Change 0.00  0.0%
In 31 days
October 19, 2017
If you would invest  0.00  in Red Hat on September 19, 2017 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. It offers infrastructurerelated solutions, such as Red Hat Enterprise Linux, an operating system platform that runs on h...

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 0.4746 which implies Red Hat Inc had 0.4746% 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 0.5175% is justified by implied risk. Please employ Red Hat Inc Standard Deviation of 1.11, Downside Deviation of 0.3292 and Risk Adjusted Performance of 0.1214 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Red Hat holds performance score of 32. The organization holds Beta of -0.749 which implies as returns on market increase, returns on owning Red Hat are expected to decrease at a much smaller rate. During bear market, Red Hat is likely to outperform the market.. Although it is vital to follow to Red Hat Inc current trending patternss, 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-seven technical indicators for Red Hat Inc which you can use to evaluate performance of the company. Please employ Red Hat Inc Treynor Ratio as well as the relationship between Expected Short fall and Day Median Price to make a quick decision on weather Red Hat historical price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.74 

Good predictability

Red Hat Inc has good predictability. Overlapping area represents the amount of predictability between Red Hat time series from September 19, 2017 to October 4, 2017 and October 4, 2017 to October 19, 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 Red Hat Inc price movement. The serial correlation of 0.74 indicates that around 74.0% of current Red Hat price fluctuation can be explain by its past prices.
Correlation Coefficient 0.74
Spearman Rank Test 0.59
Price Variance 6.66
Lagged Price Variance 5.67

Red Hat Lagged Returns

 Regressed Prices 

Red Hat Performance vs DOW

The median price of Red Hat for the period between Tue, Sep 19, 2017 and Thu, Oct 19, 2017 is 112.74 with a coefficient of variation of 4.91. The daily time series for the period is distributed with a sample standard deviation of 5.58, arithmetic mean of 113.75, and mean deviation of 4.97. The Stock received some media coverage during the period.
Price Growth (%)  
Payment of 1002 shares by Michael Cunningham of Red Hat subj...10/17/2017