Ralph Lauren Backtesting

RL -- USA Stock  

USD 136.73  0.17  0.12%

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

Ralph Lauren 'What if' Analysis

June 23, 2018
No Change 0.00  0.0%
In 31 days
July 23, 2018
If you would invest  0.00  in Ralph Lauren on June 23, 2018 and sell it all today you would earn a total of 0.00 from holding Ralph Lauren Corporation or generate 0.0% return on investment in Ralph Lauren over 30 days. Ralph Lauren is related to or competes with Carters, Delta Apparel, Ever Glory, Gildan Activewear, Hanesbrands, and OXFORD INDS. Ralph Lauren Corporation designs, markets, and distributes lifestyle products in North America, Europe, Asia, and intern...

Ralph Lauren Upside/Downside Indicators

Information Ratio0.12
Maximum Drawdown3.97
Value At Risk2.46
Potential Upside1.84

Ralph Lauren Market Premium Indicators

Risk Adjusted Performance0.009194
Jensen Alpha0.044481
Total Risk Alpha0.43
Treynor Ratio0.3855

Ralph Lauren Backtested Returns

Macroaxis considers Ralph Lauren not too risky given 1 month investment horizon. Ralph Lauren maintains Sharpe Ratio (i.e. Efficiency) of 0.2889 which implies Ralph Lauren had 0.2889% 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-eight technical indicators for Ralph Lauren which you can use to evaluate future volatility of the company. Please employ Ralph Lauren Coefficient Of Variation of 2,877 and Risk Adjusted Performance of 0.009194 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Ralph Lauren holds performance score of 19. The organization holds Beta of -0.1633 which implies as returns on market increase, returns on owning Ralph Lauren are expected to decrease at a much smaller rate. During bear market, Ralph Lauren is likely to outperform the market.. Although it is vital to follow to Ralph Lauren 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. By analyzing Ralph Lauren technical indicators you can presently evaluate if the expected return of 0.33% will be sustainable into the future. Please employ Ralph Lauren Maximum Drawdown as well as the relationship between Expected Short fall and Rate Of Daily Change to make a quick decision on weather Ralph Lauren historical price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.36) 

Poor reverse predictability

Ralph Lauren Corporation has poor reverse predictability. Overlapping area represents the amount of predictability between Ralph Lauren time series from June 23, 2018 to July 8, 2018 and July 8, 2018 to July 23, 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 Ralph Lauren price movement. The serial correlation of -0.36 indicates that just about 36.0% of current Ralph Lauren price fluctuation can be explain by its past prices. Given that Ralph Lauren Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Ralph Lauren for similar time interval.
Correlation Coefficient -0.36
Spearman Rank Test -0.68
Price Variance 12.65
Lagged Price Variance 1.32

Ralph Lauren lagged returns against current returns

 Current and Lagged Values 

Ralph Lauren regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Ralph Lauren Lagged Returns

 Regressed Prices 

Current Sentiment - RL

Ralph Lauren Investor Sentiment
Larger part of Macroaxis users are at this time bullish on Ralph Lauren Corporation. What is your perspective on investing in Ralph Lauren Corporation? Are you bullish or bearish?
98% Bullish
2% Bearish
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Additionally take a look at Ralph Lauren Hype Analysis, Ralph Lauren Correlation, Ralph Lauren Valuation, Ralph Lauren Volatility as well as analyze Ralph Lauren Alpha and Beta and Ralph Lauren Performance. Please also try Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.