Booz Allen Backtesting

BAH -- USA Stock  

USD 49.02  0.42  0.86%

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Booz Allen 'What if' Analysis

September 21, 2018
0.00
No Change 0.00  0.0%
In 31 days
October 21, 2018
0.00
If you would invest  0.00  in Booz Allen on September 21, 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, Bazaarvoice, Verisk Analytics, Eco Tek, and Euronet Worldwide. Booz Allen Hamilton Holding Corporation provides management and technology consulting, engineering, analytics, digital, ...

Booz Allen Upside/Downside Indicators

Information Ratio0.1056
Maximum Drawdown3.7
Value At Risk1.14
Potential Upside1.24
  

Booz Allen Market Premium Indicators

Risk Adjusted Performance0.07
Jensen Alpha0.0463
Total Risk Alpha0.0822
Treynor Ratio0.10

Booz Allen Hamilton Backtested Returns

Macroaxis considers Booz Allen to be not too risky. Booz Allen Hamilton secures Sharpe Ratio (or Efficiency) of -0.048 which signifies that Booz Allen Hamilton had -0.048% of return per unit of risk over the last 1 month. Macroaxis philosophy towards 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. Booz Allen Hamilton Holding Corporation exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Booz Allen Hamilton Risk Adjusted Performance of 0.07 and Mean Deviation of 0.581 to double-check risk estimate we provide. Macroaxis gives Booz Allen performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.6783 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.. Even though it is essential to pay attention to Booz Allen Hamilton historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards 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. Booz Allen Hamilton Holding Corporation exposes twenty-one different technical indicators which can help you to evaluate its performance. Booz Allen Hamilton has expected return of -0.0463%. Please be advised to confirm Booz Allen Hamilton Maximum Drawdown, Semi Variance and the relationship between Jensen Alpha and Potential Upside to decide if Booz Allen Hamilton past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.74) 

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 September 21, 2018 to October 6, 2018 and October 6, 2018 to October 21, 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 -0.74 indicates that around 74.0% 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-0.74
Spearman Rank Test-0.13
Residual Average0.0
Price Variance0.43

Booz Allen Hamilton lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Booz Allen regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Booz Allen Lagged Returns

 Regressed Prices 
      Timeline 

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Booz Allen 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
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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 Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.
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