Booz Allen Backtesting

Booz Allen Hamilton Holding Corporation -- USA Stock  

USD 40.02  0.37  0.93%

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

December 21, 2017
No Change 0.00  0.0%
In 31 days
January 20, 2018
If you would invest  0.00  in Booz Allen on December 21, 2017 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 AECOM, Accenture plc, DST Systems, HR Block, and Marsh McLennan. It assists clients in designing cloud architecture solutions selecting the data that is applicable to storage in the clo...

Booz Allen Upside/Downside Indicators


Booz Allen Market Premium Indicators

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 Hamilton Backtested Returns

We consider Booz Allen not too risky. Booz Allen Hamilton secures Sharpe Ratio (or Efficiency) of 0.1696 which signifies that Booz Allen Hamilton had 0.1696% 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 confirm Booz Allen Hamilton Downside Deviation of 0.6078, Risk Adjusted Performance of 0.0451 and Mean Deviation of 0.5287 to double-check if risk estimate we provide are consistent with the epected return of 0.1362%. Booz Allen has performance score of 11 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.6569 which signifies that as returns on market increase, Booz Allen returns are expected to increase less than the market. However during bear market, the loss on holding Booz Allen will be expected to be smaller as well.. 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 0.1362% will be sustainable into the future. Booz Allen Hamilton right now shows a risk of 0.803%. Please confirm Booz Allen Hamilton Maximum Drawdown, Semi Variance and the relationship between Jensen Alpha and Potential Upside to decide if Booz Allen Hamilton will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.73) 

Almost perfect reverse predictability

Booz Allen Hamilton Holding Corporation has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Booz Allen time series from December 21, 2017 to January 5, 2018 and January 5, 2018 to January 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 Booz Allen Hamilton price movement. The serial correlation of -0.73 indicates that around 73.0% of current Booz Allen price fluctuation can be explain by its past prices. Given that Booz Allen Hamilton Holding Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Booz Allen for similar time interval.
Correlation Coefficient -0.73
Spearman Rank Test -0.31
Price Variance 0.2
Lagged Price Variance 0.06

Booz Allen Lagged Returns

 Regressed Prices 

Booz Allen Performance vs DOW

The median price of Booz Allen for the period between Thu, Dec 21, 2017 and Sat, Jan 20, 2018 is 38.96 with a coefficient of variation of 1.58. The daily time series for the period is distributed with a sample standard deviation of 0.62, arithmetic mean of 38.87, and mean deviation of 0.51. The Stock received some media coverage during the period.
Price Growth (%)  
Sale by Karen Dahut of 32293 shares of Booz Allen01/18/2018