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.
|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|