J M Backtesting

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

J M 'What if' Analysis

May 27, 2017
 0.00 
No Change 0.00  0.0%
In 31 days
June 26, 2017
 0.00 
If you would invest  0.00  in J M on May 27, 2017 and sell it all today you would earn a total of 0.00 from holding The J M Smucker Company or generate 0.0% return on investment in J M over 30 days. J M is related to or competes with Kellogg, Dean Foods, Mondelez International, Pinnacle Foods, and American Lorain. It operates through U.S. Retail Coffee, U.S

J M Upside/Downside Indicators

  

J M Market Premium Indicators

The J M lagged returns against current returns

 Current and Lagged Values 
      Timeline 

J M regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

The J M Backtested Returns

Macroaxis considers J M to be not too risky. The J M holds Efficiency (Sharpe) Ratio of -0.3266 which attests that The J M had -0.3266% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining 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. The J M exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out J M Market Risk Adjusted Performance of (0.33) and Risk Adjusted Performance of (0.08) to validate risk estimate we provide. Macroaxis gives J M performance score of 0 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 0.7659 which attests that as returns on market increase, J M returns are expected to increase less than the market. However during bear market, the loss on holding J M will be expected to be smaller as well.. Even though it is essential to pay attention to The J M current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy towards determining 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. The J M exposes twenty-eight different technical indicators which can help you to evaluate its performance. The J M has expected return of -0.2799%. Please be advised to check out J M Potential Upside, and the relationship between Total Risk Alpha and Kurtosis to decide if The J M past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.15 

Insignificant predictability

The J M Smucker Company has insignificant predictability. Overlapping area represents the amount of predictability between J M time series from May 27, 2017 to June 11, 2017 and June 11, 2017 to June 26, 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 The J M price movement. The serial correlation of 0.15 indicates that less than 15.0% of current J M price fluctuation can be explain by its past prices.
Correlation Coefficient 0.15
Spearman Rank Test -0.03
Price Variance 8.07
Lagged Price Variance 1.89

J M Lagged Returns

 Regressed Prices 
      Timeline 

J M Performance vs DOW

The median price of J M for the period between Sat, May 27, 2017 and Mon, Jun 26, 2017 is 127.85 with a coefficient of variation of 2.48. The daily time series for the period is distributed with a sample standard deviation of 3.15, arithmetic mean of 126.98, and mean deviation of 2.46. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
Acquisition by Jill Penrose of 15000 shares of J M subject t...06/19/2017