Alibaba Group Backtesting

BABA -- USA Stock  

Trading Volume Increase

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

Alibaba Group 'What if' Analysis

August 23, 2019
No Change 0.00  0.0 
In 2 months and 31 days
November 21, 2019
If you would invest  0.00  in Alibaba Group on August 23, 2019 and sell it all today you would earn a total of 0.00 from holding Alibaba Group Holding Limited or generate 0.0% return on investment in Alibaba Group over 90 days. Alibaba Group is related to or competes with JD Com, EBay, Etsy, JMU, MEDIFAST INC, Imedia Brands, and Jumei International. Alibaba Group Holding Limited, through its subsidiaries, provides online and mobile commerce businesses in the Peoples R...

Alibaba Group Upside/Downside Indicators

Downside Deviation2.31
Information Ratio(0.025123)
Maximum Drawdown8.5
Value At Risk(3.80)
Potential Upside2.64

Alibaba Group Market Premium Indicators

Risk Adjusted Performance0.0294
Jensen Alpha(0.10)
Total Risk Alpha(0.20)
Sortino Ratio(0.020218)
Treynor Ratio0.0322

Alibaba Group Holding Backtested Returns

We consider Alibaba Group very steady. Alibaba Group Holding secures Sharpe Ratio (or Efficiency) of 0.0997 which signifies that the organization had 0.0997% of return per unit of risk over the last 3 months. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Alibaba Group Holding Limited which you can use to evaluate future volatility of the firm. Please confirm Alibaba Group Holding Risk Adjusted Performance of 0.0294, Downside Deviation of 2.31 and Mean Deviation of 1.42 to double-check if risk estimate we provide are consistent with the epected return of 0.1793%. Alibaba Group has performance score of 6 on a scale of 0 to 100. The firm shows Beta (market volatility) of 1.5674 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Alibaba Group will likely underperform. Although it is extremely important to respect Alibaba Group Holding historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards 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 analyzing Alibaba Group Holding technical indicators you can presently evaluate if the expected return of 0.1793% will be sustainable into the future. Alibaba Group Holding right now shows a risk of 1.7982%. Please confirm Alibaba Group Holding Coefficient Of Variation, Jensen Alpha, Potential Upside, as well as the relationship between Variance and Maximum Drawdown to decide if Alibaba Group Holding will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.07) 
correlation synergy

Very weak reverse predictability

Alibaba Group Holding Limited has very weak reverse predictability. Overlapping area represents the amount of predictability between Alibaba Group time series from August 23, 2019 to October 7, 2019 and October 7, 2019 to November 21, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Alibaba Group Holding price movement. The serial correlation of -0.07 indicates that barely 7.0% of current Alibaba Group price fluctuation can be explain by its past prices. Given that Alibaba Group Holding Limited has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Alibaba Group for similar time interval.
Correlation Coefficient-0.07
Spearman Rank Test0.0
Residual Average0.0
Price Variance47.92

Alibaba Group Holding lagged returns against current returns

 Current and Lagged Values 

Alibaba Group regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Alibaba Group Lagged Returns

 Regressed Prices 

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Chance of Distress

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Alibaba Group Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Alibaba Group and JD Com. 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 Alibaba Group Hype Analysis, Alibaba Group Correlation, Alibaba Group Valuation, Alibaba Group Volatility as well as analyze Alibaba Group Alpha and Beta and Alibaba Group Performance. Please also try Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.