AECOM Backtested Returns
We consider AECOM not too risky. AECOM
retains Efficiency (Sharpe Ratio) of 0.148 which signifies that AECOM
had 0.148% of return per unit of risk over the last 1 month. Our approach to foreseeing 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 AECOM which you can use to evaluate future volatility of the firm. Please confirm AECOM Coefficient Of Variation
of 791.87 and Market Risk Adjusted Performance
of 0.33 to double-check if risk estimate we provide are consistent with the epected return of 0.1717%. AECOM has performance score of 9 on a scale of 0 to 100. The firm owns Beta (Systematic Risk) of -0.3997 which signifies that as returns on market increase, returns on owning AECOM are expected to decrease at a much smaller rate. During bear market, AECOM is likely to outperform the market.. Although it is extremely important to respect AECOM existing price patterns, it is better to be realistic regarding the information on equity price patterns. The approach to 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 examining AECOM technical indicators you can at this time evaluate if the expected return of 0.1717% will be sustainable into the future. AECOM at this moment owns a risk of 1.1602%. Please confirm AECOM Jensen Alpha, Semi Variance and the relationship between Standard Deviation and Value At Risk to decide if AECOM will be following its current price history.
|15 days auto-correlation|| 0.63 |
AECOM has good predictability. Overlapping area represents the amount of predictability between AECOM time series from February 18, 2018 to March 5, 2018 and March 5, 2018 to March 20, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of AECOM price movement. The serial correlation of 0.63 indicates that roughly 63.0% of current AECOM price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.63|
|Spearman Rank Test|| -0.44|
|Price Variance|| 0.03|
|Lagged Price Variance|| 0.33|
AECOM Lagged Returns