Reliance Steel Backtesting

Reliance Steel Aluminum Co -- USA Stock  

USD 84.04  0.38  0.45%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Reliance Steel Aluminum Co and determine expected loss or profit from investing in Reliance Steel over given investment horizon. Additionally take a look at Reliance Steel Hype Analysis, Reliance Steel Correlation, Reliance Steel Valuation, Reliance Steel Volatility as well as analyze Reliance Steel Alpha and Beta and Reliance Steel Performance
Investment Horizon     30 Days    Login   to change

Reliance Steel 'What if' Analysis

November 12, 2017
No Change 0.00  0.0%
In 31 days
December 12, 2017
If you would invest  0.00  in Reliance Steel on November 12, 2017 and sell it all today you would earn a total of 0.00 from holding Reliance Steel Aluminum Co or generate 0.0% return on investment in Reliance Steel over 30 days. Reliance Steel is related to or competes with Alcoa, Allegheny Technologies, Carpenter Technology, Southern Copper, and Arconic. Reliance Steel Aluminum Co offer metals processing services and distributes a line of approximately 100 000 metal produc...

Reliance Steel Upside/Downside Indicators


Reliance Steel Market Premium Indicators

Reliance Steel Aluminum lagged returns against current returns

 Current and Lagged Values 

Reliance Steel regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Reliance Steel Aluminum Backtested Returns

Macroaxis considers Reliance Steel not too risky given 1 month investment horizon. Reliance Steel Aluminum maintains Sharpe Ratio (i.e. Efficiency) of 0.4391 which implies Reliance Steel Aluminum had 0.4391% 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. By analyzing Reliance Steel Aluminum technical indicators you can presently evaluate if the expected return of 0.5096% is justified by implied risk. Please employ Reliance Steel Aluminum Coefficient Of Variation of 272.04, Semi Deviation of 0.1096 and Risk Adjusted Performance of 0.1885 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Reliance Steel holds performance score of 28. The organization holds Beta of 0.9355 which implies Reliance Steel returns are very sensitive to returns on the market. as market goes up or down, Reliance Steel is expected to follow.. Although it is vital to follow to Reliance Steel Aluminum 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. We have found twenty-eight technical indicators for Reliance Steel Aluminum which you can use to evaluate performance of the company. Please employ Reliance Steel Aluminum Value At Risk as well as the relationship between Kurtosis and Market Facilitation Index to make a quick decision on weather Reliance Steel historical price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.72 

Good predictability

Reliance Steel Aluminum Co has good predictability. Overlapping area represents the amount of predictability between Reliance Steel time series from November 12, 2017 to November 27, 2017 and November 27, 2017 to December 12, 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 Reliance Steel Aluminum price movement. The serial correlation of 0.72 indicates that around 72.0% of current Reliance Steel price fluctuation can be explain by its past prices.
Correlation Coefficient 0.72
Spearman Rank Test 0.71
Price Variance 5.38
Lagged Price Variance 0.64

Reliance Steel Lagged Returns

 Regressed Prices 

Reliance Steel Performance vs DOW

The median price of Reliance Steel for the period between Sun, Nov 12, 2017 and Tue, Dec 12, 2017 is 76.27 with a coefficient of variation of 3.91. The daily time series for the period is distributed with a sample standard deviation of 3.04, arithmetic mean of 77.6, and mean deviation of 2.58. The Stock received some media coverage during the period.
Price Growth (%)  
Analysts Expect Reliance Steel and Aluminum Co. Will Announc...12/11/2017