AECOM Backtesting

ACM -- USA Stock  

USD 32.74  0.15  0.46%

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

August 20, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 19, 2018
0.00
If you would invest  0.00  in AECOM on August 20, 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 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 Ratio0.26
Maximum Drawdown3.6
Value At Risk1.90
Potential Upside0.8321
  

AECOM Market Premium Indicators

Risk Adjusted Performance0.047117
Jensen Alpha0.12
Total Risk Alpha0.38
Treynor Ratio0.9364

AECOM Backtested Returns

Macroaxis considers AECOM to be not too risky. AECOM retains Efficiency (Sharpe Ratio) of -0.044 which signifies that AECOM had -0.044% of return per unit of risk over the last 1 month. 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-eight 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 747.82 and Market Risk Adjusted Performance of 0.9464 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 -0.1428 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.. 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-eight different technical indicators which can help you to evaluate its performance. AECOM has expected return of -0.0407%. Please be advised to confirm AECOM Sortino Ratio, Semi Variance and the relationship between Information Ratio 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(0.55) 

Good reverse predictability

AECOM has good reverse predictability. Overlapping area represents the amount of predictability between AECOM time series from August 20, 2018 to September 4, 2018 and September 4, 2018 to September 19, 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 -0.55 indicates that about 55.0% 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-0.55
Spearman Rank Test0.0
Residual Average0.0
Price Variance0.08

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 

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Correlation Analysis

Reduce portfolio risk simply by holding instruments which are not perfectly correlated
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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
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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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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