AECOM Backtesting

ACM -- USA Stock  

USD 33.62  0.02  0.06%

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

May 21, 2018
No Change 0.00  0.0%
In 31 days
June 20, 2018
If you would invest  0.00  in AECOM on May 21, 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 30 days. AECOM is related to or competes with Accenture plc, Booz Allen, HR Block, Marsh McLennan, Catalyst Pharmaceuticals, and WINNEBAGO IND. AECOM, together with its subsidiaries, engages in designing, building, financing, and operating infrastructure assets wo...

AECOM Upside/Downside Indicators

Downside Deviation1.03
Information Ratio0.0779
Maximum Drawdown3.87
Value At Risk1.48
Potential Upside1.49

AECOM Market Premium Indicators

Risk Adjusted Performance0.01
Sortino Ratio0.0778

AECOM Backtested Returns

We consider AECOM not too risky. AECOM retains Efficiency (Sharpe Ratio) of 0.041 which signifies that AECOM had 0.041% 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 1283.14 to double-check if risk estimate we provide are consistent with the epected return of 0.0415%. AECOM has performance score of 2 on a scale of 0 to 100. The firm owns Beta (Systematic Risk) of 0.0 which signifies that the returns on MARKET and AECOM are completely uncorrelated. 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 0.0415% will be sustainable into the future. AECOM at this moment owns a risk of 1.0125%. 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(0.70) 

Very good reverse predictability

AECOM has very good reverse predictability. Overlapping area represents the amount of predictability between AECOM time series from May 21, 2018 to June 5, 2018 and June 5, 2018 to June 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 -0.7 indicates that around 70.0% 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 -0.7
Spearman Rank Test -0.14
Price Variance 0.16
Lagged Price Variance 0.18

AECOM lagged returns against current returns

 Current and Lagged Values 

AECOM regressed lagged prices vs. current prices

 Current vs Lagged Prices 

AECOM Lagged Returns

 Regressed Prices 

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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for AECOM and Accenture plc. 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
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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 Companies Directory module to evaluate performance of over 100,000 stocks, funds, and etfs against different fundamentals.