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.
|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