J M Backtesting

The J M Smucker Company -- USA Stock  

USD 114.19  2.46  2.11%

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

October 19, 2017
0.00
No Change 0.00  0.0%
In 31 days
November 18, 2017
0.00
If you would invest  0.00  in J M on October 19, 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, Pinnacle Foods, American Lorain, Conagra Brands, and Campbell Soup. 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 not too risky given 1 month investment horizon. The J M holds Efficiency (Sharpe) Ratio of 0.1732 which attests that The J M had 0.1732% of return per unit of risk over the last 1 month. Our philosophy towards determining 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 The J M which you can use to evaluate future volatility of the corporation. Please utilize J M Market Risk Adjusted Performance of 0.1612, Risk Adjusted Performance of 0.0771 and Downside Deviation of 1.45 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100 J M holds performance score of 11. The company retains Market Volatility (i.e. Beta) of 2.9526 which attests that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, J M will likely underperform.. Although it is vital to follow to The J M current price history, it is good to be conservative about what you can actually do with the information regarding equity current price movements. The philosophy towards determining 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 evaluating The J M technical indicators you can presently evaluate if the expected return of 0.4365% will be sustainable into the future. Please utilizes J M Information Ratio as well as the relationship between Potential Upside and Kurtosis to make a quick decision on weather The J M Smucker Company current trending patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.25) 

Weak reverse predictability

The J M Smucker Company has weak reverse predictability. Overlapping area represents the amount of predictability between J M time series from October 19, 2017 to November 3, 2017 and November 3, 2017 to November 18, 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 -0.25 indicates that over 25.0% of current J M price fluctuation can be explain by its past prices. Given that The J M Smucker Company has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of J M for similar time interval.
Correlation Coefficient -0.25
Spearman Rank Test -0.34
Price Variance 28.12
Lagged Price Variance 1.24

J M Lagged Returns

 Regressed Prices 
      Timeline 

J M Performance vs DOW

The median price of J M for the period between Thu, Oct 19, 2017 and Sat, Nov 18, 2017 is 104.14 with a coefficient of variation of 3.64. The daily time series for the period is distributed with a sample standard deviation of 3.82, arithmetic mean of 105.07, and mean deviation of 2.53. The Stock received some media coverage during the period.
November 9, 2017J M Dividend Paid
Price Growth (%)  
      Timeline 
1
JM Smucker Stock Rises After Crushing Earnings11/16/2017