Booz Allen Backtesting

BAH -- USA Stock  

USD 46.51  0.02  0.043%

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

Booz Allen 'What if' Analysis

June 22, 2018
No Change 0.00  0.0%
In 30 days
July 22, 2018
If you would invest  0.00  in Booz Allen on June 22, 2018 and sell it all today you would earn a total of 0.00 from holding Booz Allen Hamilton Holding Corporation or generate 0.0% return on investment in Booz Allen over 30 days. Booz Allen is related to or competes with Genpact, Visa, Broadridge Financial, Verisk Analytics, Euronet Worldwide, ExlService Holdings, and EXPONENT INC. Booz Allen Hamilton Holding Corporation provides management and technology consulting, engineering, analytics, digital, ...

Booz Allen Upside/Downside Indicators

Downside Deviation0.9288
Information Ratio0.006655
Maximum Drawdown2.46
Value At Risk1.19
Potential Upside1.48

Booz Allen Market Premium Indicators

Risk Adjusted Performance0.0606
Jensen Alpha0.1192
Total Risk Alpha0.08
Sortino Ratio0.006116
Treynor Ratio0.30

Booz Allen Hamilton Backtested Returns

Macroaxis considers Booz Allen not too risky given 1 month investment horizon. Booz Allen Hamilton secures Sharpe Ratio (or Efficiency) of 0.2598 which signifies that Booz Allen Hamilton had 0.2598% of return per unit of risk over the last 1 month. Our philosophy towards 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-one technical indicators for Booz Allen Hamilton Holding Corporation which you can use to evaluate future volatility of the firm. Please makes use of Booz Allen Hamilton Downside Deviation of 0.9288, Risk Adjusted Performance of 0.0606 and Mean Deviation of 0.6335 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Booz Allen holds performance score of 17. The firm shows Beta (market volatility) of -0.3011 which signifies that as returns on market increase, returns on owning Booz Allen are expected to decrease at a much smaller rate. During bear market, Booz Allen is likely to outperform the market.. Although it is extremely important to respect Booz Allen Hamilton 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 Booz Allen Hamilton technical indicators you can presently evaluate if the expected return of 0.2049% will be sustainable into the future. Please makes use of Booz Allen Hamilton Maximum Drawdown, Semi Variance and the relationship between Jensen Alpha and Potential Upside to make a quick decision on weather Booz Allen price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.41 

Average predictability

Booz Allen Hamilton Holding Corporation has average predictability. Overlapping area represents the amount of predictability between Booz Allen time series from June 22, 2018 to July 7, 2018 and July 7, 2018 to July 22, 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 Booz Allen Hamilton price movement. The serial correlation of 0.41 indicates that just about 41.0% of current Booz Allen price fluctuation can be explain by its past prices.
Correlation Coefficient 0.41
Spearman Rank Test 0.55
Price Variance 0.08
Lagged Price Variance 0.67

Booz Allen Hamilton lagged returns against current returns

 Current and Lagged Values 

Booz Allen regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Booz Allen Lagged Returns

 Regressed Prices 

Current Sentiment - BAH

Booz Allen Hamilton Investor Sentiment
Greater number of Macroaxis users are currently bullish on Booz Allen Hamilton Holding Corporation. What is your opinion about investing in Booz Allen Hamilton Holding Corporation? Are you bullish or bearish?
98% Bullish
2% Bearish

Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Booz Allen and Genpact Limited. 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
Run Pair Correlation  
Check also Booz Allen Hype Analysis, Booz Allen Correlation, Booz Allen Valuation, Booz Allen Volatility as well as analyze Booz Allen Alpha and Beta and Booz Allen Performance. Please also try Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.