Ralph Lauren Backtesting

Ralph Lauren Corporation -- USA Stock  

USD 96.67  0.45  0.47%

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

November 14, 2017
No Change 0.00  0.0%
In 31 days
December 14, 2017
If you would invest  0.00  in Ralph Lauren on November 14, 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 not too risky given 1 month investment horizon. Ralph Lauren maintains Sharpe Ratio (i.e. Efficiency) of 0.2435 which implies Ralph Lauren had 0.2435% 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 387.01, Semi Deviation of 1.91 and Risk Adjusted Performance of 0.1352 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Ralph Lauren holds performance score of 16. The organization holds Beta of 0.8451 which implies as returns on market increase, Ralph Lauren returns are expected to increase less than the market. However during bear market, the loss on holding Ralph Lauren will be expected to be smaller as well.. 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 0.466% 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 0.55 

Modest predictability

Ralph Lauren Corporation has modest predictability. Overlapping area represents the amount of predictability between Ralph Lauren time series from November 14, 2017 to November 29, 2017 and November 29, 2017 to December 14, 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 0.55 indicates that about 55.0% of current Ralph Lauren price fluctuation can be explain by its past prices.
Correlation Coefficient 0.55
Spearman Rank Test 0.7
Price Variance 6.73
Lagged Price Variance 6.29

Ralph Lauren Lagged Returns

 Regressed Prices 

Ralph Lauren Performance vs DOW

The median price of Ralph Lauren for the period between Tue, Nov 14, 2017 and Thu, Dec 14, 2017 is 94.65 with a coefficient of variation of 5.2. The daily time series for the period is distributed with a sample standard deviation of 4.88, arithmetic mean of 93.94, and mean deviation of 4.12. The Stock received some media coverage during the period.
Price Growth (%)  
Ralph Lauren Corporation Price Target Raised to 98.0011/22/2017
Ralph Lauren Got Lower Merrill Lynch Rating And 80.0 Target ...12/13/2017