ATT Backtesting

T -- USA Stock  

USD 30.79  0.15  0.00%

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

ATT 'What if' Analysis

November 19, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
January 18, 2019
0.00
If you would invest  0.00  in ATT on November 19, 2018 and sell it all today you would earn a total of 0.00 from holding ATT or generate 0.0% return on investment in ATT over 60 days. ATT is related to or competes with Verizon Communications, Telephone, Zayo Group, Liberty Broadband, SBA Communications, and T Mobile. ATT Inc. provides communications and digital entertainment services

ATT Upside/Downside Indicators

Downside Deviation2.09
Information Ratio0.0382
Maximum Drawdown10.1
Value At Risk(3.47)
Potential Upside2.57
  

ATT Market Premium Indicators

Risk Adjusted Performance0.0286
Jensen Alpha0.062
Total Risk Alpha0.078
Sortino Ratio0.0365
Treynor Ratio0.0255

ATT Backtested Returns

We consider ATT not too volatile. ATT secures Sharpe Ratio (or Efficiency) of 0.0268 which signifies that the organization had 0.0268% of return per unit of risk over the last 2 months. Our philosophy in foreseeing 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-eight technical indicators for ATT which you can use to evaluate future volatility of the firm. Please confirm ATT Mean Deviation of 1.48 and Risk Adjusted Performance of 0.0286 to double-check if risk estimate we provide are consistent with the epected return of 0.0545%. ATT has performance score of 1 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.7502 which signifies that as returns on market increase, ATT returns are expected to increase less than the market. However during bear market, the loss on holding ATT will be expected to be smaller as well. Although it is extremely important to respect ATT historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy in foreseeing 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 ATT technical indicators you can now evaluate if the expected return of 0.0545% will be sustainable into the future. ATT currently shows a risk of 2.0358%. Please confirm ATT Sortino Ratio, Semi Variance as well as the relationship between Semi Variance and Rate Of Daily Change to decide if ATT will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.06) 
correlation synergy

Very weak reverse predictability

ATT has very weak reverse predictability. Overlapping area represents the amount of predictability between ATT time series from November 19, 2018 to December 19, 2018 and December 19, 2018 to January 18, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of ATT price movement. The serial correlation of -0.06 indicates that barely 6.0% of current ATT price fluctuation can be explain by its past prices. Given that ATT has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of ATT for similar time interval.
Correlation Coefficient-0.06
Spearman Rank Test-0.13
Residual Average0.0
Price Variance1.71

ATT lagged returns against current returns

 Current and Lagged Values 
      Timeline 

ATT regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

ATT Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at ATT Hype Analysis, ATT Correlation, ATT Valuation, ATT Volatility as well as analyze ATT Alpha and Beta and ATT Performance. Please also try World Markets Correlation module to find global opportunities by holding instruments from different markets.
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