AECOM Backtesting

ACM -- USA Stock  

USD 27.91  0.38  1.34%

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

AECOM 'What if' Analysis

October 16, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 15, 2018
0.00
If you would invest  0.00  in AECOM on October 16, 2018 and sell it all today you would earn a total of 0.00 from holding AECOM or generate 0.0% return on investment in AECOM over 60 days. AECOM is related to or competes with Dycom Industries, Goldfield, Energy Services, Argan, EMCOR, and Comfort Systems. AECOM, together with its subsidiaries, engages in designing, building, financing, and operating infrastructure assets wo...

AECOM Upside/Downside Indicators

Information Ratio(0.034253)
Maximum Drawdown9.61
Value At Risk(4.41)
Potential Upside3.69
  

AECOM Market Premium Indicators

Risk Adjusted Performance(0.09)
Jensen Alpha(0.07)
Total Risk Alpha0.0217
Treynor Ratio(0.18)

AECOM Backtested Returns

Macroaxis considers AECOM to be not too volatile. AECOM retains Efficiency (Sharpe Ratio) of -0.1074 which signifies that AECOM had -0.1074% of return per unit of risk over the last 2 months. Macroaxis approach to foreseeing 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. AECOM exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm AECOM Coefficient Of Variation of (1,296) and Market Risk Adjusted Performance of (0.17) to double-check risk estimate we provide. Macroaxis gives AECOM performance score of 0 on a scale of 0 to 100. The firm owns Beta (Systematic Risk) of 1.094 which signifies that AECOM returns are very sensitive to returns on the market. as market goes up or down, AECOM is expected to follow.. Even though it is essential to pay attention to AECOM existing price patterns, it is always good to be careful when utilizing equity price patterns. Macroaxis approach to foreseeing 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. AECOM exposes twenty-one different technical indicators which can help you to evaluate its performance. AECOM has expected return of -0.264%. Please be advised to confirm AECOM Jensen Alpha, Semi Variance and the relationship between Standard Deviation and Value At Risk to decide if AECOM past performance will be repeated at some future date.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.57) 
correlation synergy

Good reverse predictability

AECOM has good reverse predictability. Overlapping area represents the amount of predictability between AECOM time series from October 16, 2018 to November 15, 2018 and November 15, 2018 to December 15, 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 -0.57 indicates that roughly 57.0% of current AECOM price fluctuation can be explain by its past prices. Given that AECOM has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of AECOM for similar time interval.
Correlation Coefficient-0.57
Spearman Rank Test-0.11
Residual Average0.0
Price Variance3.65

AECOM lagged returns against current returns

 Current and Lagged Values 
      Timeline 

AECOM regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

AECOM Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - ACM

AECOM Investor Sentiment

Greater number of Macroaxis users are presently bullish on AECOM. What is your sentiment towards investing in AECOM? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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AECOM Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for AECOM and Dycom Industries. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
Run Pair Correlation  
Check also AECOM Hype Analysis, AECOM Correlation, AECOM Valuation, AECOM Volatility as well as analyze AECOM Alpha and Beta and AECOM Performance. Please also try Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.
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