AECOM Backtesting

AECOM -- USA Stock  

USD 38.77  0.09  0.23%

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
 Time Horizon     30 Days    Login   to change

AECOM 'What if' Analysis

December 18, 2017
No Change 0.00  0.0%
In 31 days
January 17, 2018
If you would invest  0.00  in AECOM on December 18, 2017 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 30 days. AECOM is related to or competes with Accenture plc, Booz Allen, DST Systems, HR Block, and Marsh McLennan. AECOM operates through three segments Design and Consulting Services , Construction Services , and Management Services

AECOM Upside/Downside Indicators


AECOM Market Premium Indicators

AECOM lagged returns against current returns

 Current and Lagged Values 

AECOM regressed lagged prices vs. current prices

 Current vs Lagged Prices 

AECOM Backtested Returns

We consider AECOM not too risky. AECOM retains Efficiency (Sharpe Ratio) of 0.1592 which signifies that AECOM had 0.1592% 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-eight technical indicators for AECOM which you can use to evaluate future volatility of the firm. Please confirm AECOM Coefficient Of Variation of 1580.42 and Market Risk Adjusted Performance of (0.19) to double-check if risk estimate we provide are consistent with the epected return of 0.1622%. AECOM has performance score of 10 on a scale of 0 to 100. The firm owns Beta (Systematic Risk) of -0.3289 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 0.1622% will be sustainable into the future. AECOM at this moment owns a risk of 1.0188%. Please confirm AECOM Sortino Ratio, Semi Variance and the relationship between Information Ratio and Value At Risk to decide if AECOM will be following its current price history.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.31) 

Poor reverse predictability

AECOM has poor reverse predictability. Overlapping area represents the amount of predictability between AECOM time series from December 18, 2017 to January 2, 2018 and January 2, 2018 to January 17, 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 -0.31 indicates that nearly 31.0% 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 -0.31
Spearman Rank Test 0.61
Price Variance 0.2
Lagged Price Variance 0.04

AECOM Lagged Returns

 Regressed Prices 

AECOM Performance vs DOW

The median price of AECOM for the period between Mon, Dec 18, 2017 and Wed, Jan 17, 2018 is 37.72 with a coefficient of variation of 1.84. The daily time series for the period is distributed with a sample standard deviation of 0.7, arithmetic mean of 37.87, and mean deviation of 0.61. The Stock received some media coverage during the period.
Price Growth (%)  
Sale by Newman Richard G of 3453 shares of AECOM01/16/2018