Reliance Steel Backtesting

RS -- USA Stock  

USD 87.73  0.05  0.06%

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Reliance Steel 'What if' Analysis

August 23, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 22, 2018
0.00
If you would invest  0.00  in Reliance Steel on August 23, 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 Southern Copper, United States, SM Energy, Weyerhaeuser, Pioneer Natural, and QEP Resources. Reliance Steel Aluminum Co. operates as a metals service center company in the United States and internationally

Reliance Steel Upside/Downside Indicators

Information Ratio0.11
Maximum Drawdown8.41
Value At Risk3.38
Potential Upside3.3
  

Reliance Steel Market Premium Indicators

Risk Adjusted Performance0.005106
Jensen Alpha0.0105
Total Risk Alpha0.87
Treynor Ratio0.1452

Reliance Steel Aluminum Backtested Returns

We consider Reliance Steel not too risky. Reliance Steel Aluminum maintains Sharpe Ratio (i.e. Efficiency) of 0.033 which implies Reliance Steel Aluminum had 0.033% 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 stock 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 3,489 and Risk Adjusted Performance of 0.005106 to confirm if risk estimate we provide are consistent with the epected return of 0.0583%. Reliance Steel has performance score of 2 on a scale of 0 to 100. The organization holds Beta of -0.5008 which implies as returns on market increase, returns on owning Reliance Steel are expected to decrease at a much smaller rate. During bear market, Reliance Steel is likely to outperform the market.. 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 0.0583% will be sustainable into the future. Reliance Steel Aluminum right now holds a risk of 1.7664%. 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 0.07 

Virtually no predictability

Reliance Steel Aluminum Co has virtually no predictability. Overlapping area represents the amount of predictability between Reliance Steel time series from August 23, 2018 to September 7, 2018 and September 7, 2018 to September 22, 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 0.07 indicates that barely 7.0% of current Reliance Steel price fluctuation can be explain by its past prices.
Correlation Coefficient0.07
Spearman Rank Test-0.69
Residual Average0.0
Price Variance1.23

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 Lagged Returns

 Regressed Prices 
      Timeline 

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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. Please also try Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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