Ralph Lauren Backtesting

Ralph Lauren Corporation -- USA Stock  

USD 110.40  2.08  1.92%

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

February 19, 2018
No Change 0.00  0.0%
In 31 days
March 21, 2018
If you would invest  0.00  in Ralph Lauren on February 19, 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 L Brands, Express, American Eagle, Abercrombie Fitch, and Continental. Ralph Lauren Corporation designs, markets, and distributes lifestyle products worldwide

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 0.2079 which implies Ralph Lauren had 0.2079% 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-one technical indicators for Ralph Lauren which you can use to evaluate future volatility of the company. Please employ Ralph Lauren Coefficient Of Variation of 502.06, Semi Deviation of 0.9386 and Risk Adjusted Performance of 0.2151 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Ralph Lauren holds performance score of 13. The organization holds Beta of -0.3786 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 extremely important to respect Ralph Lauren current trending patterns, it is better to be realistic regarding the information on 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 0.2165% will be sustainable into the future. Please employ Ralph Lauren Standard Deviation, Maximum Drawdown as well as the relationship between Maximum Drawdown and Expected Short fall to make a quick decision on weather Ralph Lauren historical price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.29) 

Weak reverse predictability

Ralph Lauren Corporation has weak reverse predictability. Overlapping area represents the amount of predictability between Ralph Lauren time series from February 19, 2018 to March 6, 2018 and March 6, 2018 to March 21, 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 -0.29 indicates that nearly 29.0% 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 -0.29
Spearman Rank Test -0.34
Price Variance 1.92
Lagged Price Variance 1.66

Ralph Lauren Lagged Returns

 Regressed Prices 

Ralph Lauren Performance vs DOW

The median price of Ralph Lauren for the period between Mon, Feb 19, 2018 and Wed, Mar 21, 2018 is 107.42 with a coefficient of variation of 1.35. The daily time series for the period is distributed with a sample standard deviation of 1.45, arithmetic mean of 107.27, and mean deviation of 1.15. The Stock received some media coverage during the period.
 Price Growth (%)  
Payment of 64024 shares by Ralph Lauren of Ralph Lauren subj...03/19/2018