Vipshop Holdings Limited Backtested Returns
Macroaxis considers Vipshop Holdings to be not very volatile. Vipshop Holdings Limited
owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.1813 which indicates Vipshop Holdings Limited
had -0.1813% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring 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
. Vipshop Holdings Limited exposes twenty-eight different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Vipshop Holdings Coefficient Of Variation
of (424.81) and Risk Adjusted Performance of (0.055032) to confirm risk estimate we provide. Macroaxis gives Vipshop Holdings performance score of 0 on a scale of 0 to 100. The entity has beta of 3.8321 which indicates as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Vipshop Holdings will likely underperform.. Even though it is essential to pay attention to Vipshop Holdings Limited current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis philosophy towards measuring 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. Vipshop Holdings Limited exposes twenty-eight different technical indicators which can help you to evaluate its performance. Vipshop Holdings Limited has expected return of -0.3961%. Please be advised to validate Vipshop Holdings Total Risk Alpha, Downside Variance as well as the relationship between Downside Variance and Daily Balance Of Power to decide if Vipshop Holdings Limited past performance will be repeated at some point in the near future.
|15 days auto-correlation||(0.24) |
Weak reverse predictability
Vipshop Holdings Limited has weak reverse predictability. Overlapping area represents the amount of predictability between Vipshop Holdings time series from September 23, 2017 to October 8, 2017 and October 8, 2017 to October 23, 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 Vipshop Holdings Limited price movement. The serial correlation of -0.24 indicates that over 24.0% of current Vipshop Holdings price fluctuation can be explain by its past prices. Given that Vipshop Holdings Limited has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Vipshop Holdings for similar time interval.
|Correlation Coefficient|| -0.24|
|Spearman Rank Test|| 0.09|
|Price Variance|| 0.03|
|Lagged Price Variance|| 0.1|
Vipshop Holdings Lagged Returns