Reliance Steel Backtesting

Reliance Steel Aluminum Co -- USA Stock  

USD 94.57  3.10  3.39%

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
 Time Horizon     30 Days    Login   to change
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Reliance Steel 'What if' Analysis

January 20, 2018
0.00
No Change 0.00  0.0%
In 30 days
February 19, 2018
0.00
If you would invest  0.00  in Reliance Steel on January 20, 2018 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. operates as a metals service center company

Reliance Steel Upside/Downside Indicators

  

Reliance Steel Market Premium Indicators

Reliance Steel Aluminum lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Reliance Steel regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Reliance Steel Aluminum Backtested Returns

We consider Reliance Steel not too risky. Reliance Steel Aluminum maintains Sharpe Ratio (i.e. Efficiency) of 0.0935 which implies Reliance Steel Aluminum had 0.0935% 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 Reliance Steel Aluminum which you can use to evaluate future volatility of the company. Please check Reliance Steel Aluminum Coefficient Of Variation of 1111.92, Semi Deviation of 2.01 and Risk Adjusted Performance of 0.1553 to confirm if risk estimate we provide are consistent with the epected return of 0.1993%. Reliance Steel has performance score of 6 on a scale of 0 to 100. The organization holds Beta of 0.9825 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 extremely important to respect Reliance Steel Aluminum 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 Reliance Steel Aluminum technical indicators you can presently evaluate if the expected return of 0.1993% will be sustainable into the future. Reliance Steel Aluminum right now holds a risk of 2.1319%. Please check Reliance Steel Aluminum Standard Deviation, Value At Risk as well as the relationship between Value At Risk and Kurtosis to decide if Reliance Steel Aluminum will be following its historical price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.94) 

Near perfect reversele predictability

Reliance Steel Aluminum Co has near perfect reversele predictability. Overlapping area represents the amount of predictability between Reliance Steel time series from January 20, 2018 to February 4, 2018 and February 4, 2018 to February 19, 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 Reliance Steel Aluminum price movement. The serial correlation of -0.94 indicates that approximately 94.0% of current Reliance Steel price fluctuation can be explain by its past prices. Given that Reliance Steel Aluminum Co has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Reliance Steel for similar time interval.
Correlation Coefficient -0.94
Spearman Rank Test -0.68
Price Variance 21.31
Lagged Price Variance 8.75

Reliance Steel Lagged Returns

 Regressed Prices 
      Timeline 

Reliance Steel Performance vs DOW

The median price of Reliance Steel for the period between Sat, Jan 20, 2018 and Mon, Feb 19, 2018 is 88.76 with a coefficient of variation of 4.29. The daily time series for the period is distributed with a sample standard deviation of 3.78, arithmetic mean of 88.1, and mean deviation of 3.24. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
Reliance Steel and Aluminum Co Forecasted to Earn FY2017 Ear...01/26/2018