SP Plus Backtesting

SP Plus Corporation -- USA Stock  

USD 38.15  1.45  3.66%

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

SP Plus 'What if' Analysis

November 16, 2017
0.00
No Change 0.00  0.0%
In 31 days
December 16, 2017
0.00
If you would invest  0.00  in SP Plus on November 16, 2017 and sell it all today you would earn a total of 0.00 from holding SP Plus Corporation or generate 0.0% return on investment in SP Plus over 30 days. SP Plus is related to or competes with Ryder System, China Distance, eHi Car. Its various onsite parking management and ground transportation services comprise facility maintenance event logistics s...

SP Plus Upside/Downside Indicators

  

SP Plus Market Premium Indicators

SP Plus lagged returns against current returns

 Current and Lagged Values 
      Timeline 

SP Plus regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

SP Plus Backtested Returns

Macroaxis considers SP Plus not too volatile given 1 month investment horizon. SP Plus retains Efficiency (Sharpe Ratio) of 0.2076 which indicates SP Plus had 0.2076% of return per unit of price deviation over the last 1 month. Our approach towards measuring 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 SP Plus which you can use to evaluate future volatility of the company. Please operate SP Plus Corporation Mean Deviation of 1.02, Risk Adjusted Performance of 0.1279 and Downside Deviation of 0.9862 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 SP Plus holds performance score of 13. The entity owns Beta (Systematic Risk) of 0.6905 which indicates as returns on market increase, SP Plus returns are expected to increase less than the market. However during bear market, the loss on holding SP Plus will be expected to be smaller as well.. Although it is vital to follow to SP Plus existing price patterns, it is good to be conservative about what you can actually do with the information regarding equity price patterns. The approach towards measuring 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 SP Plus technical indicators you can at this time evaluate if the expected return of 0.2609% will be sustainable into the future. Please operates SP Plus Corporation Standard Deviation as well as the relationship between Value At Risk and Kurtosis to make a quick decision on weather SP Plus current price history will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.62) 

Very good reverse predictability

SP Plus Corporation has very good reverse predictability. Overlapping area represents the amount of predictability between SP Plus time series from November 16, 2017 to December 1, 2017 and December 1, 2017 to December 16, 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 SP Plus price movement. The serial correlation of -0.62 indicates that roughly 62.0% of current SP Plus price fluctuation can be explain by its past prices. Given that SP Plus Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of SP Plus for similar time interval.
Correlation Coefficient -0.62
Spearman Rank Test -0.21
Price Variance 0.2
Lagged Price Variance 0.47

SP Plus Lagged Returns

 Regressed Prices 
      Timeline 

SP Plus Performance vs DOW

The median price of SP Plus for the period between Thu, Nov 16, 2017 and Sat, Dec 16, 2017 is 38.9 with a coefficient of variation of 1.87. The daily time series for the period is distributed with a sample standard deviation of 0.72, arithmetic mean of 38.7, and mean deviation of 0.57. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
The SP Plus Corp Getting Positive News Coverage, Report Show...11/24/2017
2
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