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.
|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