Ralph Lauren Backtesting

Ralph Lauren Corporation -- USA Stock  

USD 86.38  1.05  1.23%

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
Investment Horizon     30 Days    Login   to change

Ralph Lauren 'What if' Analysis

September 20, 2017
No Change 0.00  0.0%
In 31 days
October 20, 2017
If you would invest  0.00  in Ralph Lauren on September 20, 2017 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 L Brands, Express, American Eagle, Abercrombie Fitch, and Continental. Ralph Lauren Corporation operates in three segments Wholesale, Retail, and Licensing

Ralph Lauren Upside/Downside Indicators


Ralph Lauren Market Premium Indicators

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 Backtested Returns

Macroaxis considers Ralph Lauren to be not too risky. Ralph Lauren maintains Sharpe Ratio (i.e. Efficiency) of -0.1544 which implies Ralph Lauren had -0.1544% of return per unit of risk over the last 1 month. Macroaxis philosophy towards forecasting risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Ralph Lauren exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Ralph Lauren Coefficient Of Variation of (633.58) and Risk Adjusted Performance of (0.028723) to confirm risk estimate we provide. Macroaxis gives Ralph Lauren performance score of 0 on a scale of 0 to 100. The organization holds Beta of -0.2262 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.. Even though it is essential to pay attention to Ralph Lauren current trending patternss, it is always good to be careful when utilizing equity existing price patterns. Macroaxis philosophy towards forecasting future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Ralph Lauren exposes twenty-one different technical indicators which can help you to evaluate its performance. Ralph Lauren has expected return of -0.1317%. Please be advised to check Ralph Lauren Standard Deviation, Maximum Drawdown as well as the relationship between Maximum Drawdown and Expected Short fall to decide if Ralph Lauren past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.04) 

Very weak reverse predictability

Ralph Lauren Corporation has very weak reverse predictability. Overlapping area represents the amount of predictability between Ralph Lauren time series from September 20, 2017 to October 5, 2017 and October 5, 2017 to October 20, 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 Ralph Lauren price movement. The serial correlation of -0.04 indicates that only as little as 4.0% 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 -0.04
Spearman Rank Test -0.05
Price Variance 1.63
Lagged Price Variance 0.15

Ralph Lauren Lagged Returns

 Regressed Prices 

Ralph Lauren Performance vs DOW

The median price of Ralph Lauren for the period between Wed, Sep 20, 2017 and Fri, Oct 20, 2017 is 88.42 with a coefficient of variation of 1.77. The daily time series for the period is distributed with a sample standard deviation of 1.55, arithmetic mean of 87.62, and mean deviation of 1.38. The Stock received some media coverage during the period.
September 28, 2017Ralph Lauren Dividend Paid
Price Growth (%)  
Ralph Lauren Corporation Upgraded to Buy at Zacks Investment...10/19/2017