Biglari Holdings Backtesting

Biglari Holdings -- USA Stock  

USD 415.31  9.15  2.16%

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

Biglari Holdings 'What if' Analysis

February 21, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
April 22, 2018
0.00
If you would invest  0.00  in Biglari Holdings on February 21, 2018 and sell it all today you would earn a total of 0.00 from holding Biglari Holdings or generate 0.0% return on investment in Biglari Holdings over 60 days. Biglari Holdings is related to or competes with Hyatt Hotels, Wingstop, Wynn Resorts, and Flanigans Enterprises. Biglari Holdings Inc., through its subsidiaries, operates and franchises restaurants in the United States

Biglari Holdings Upside/Downside Indicators

Downside Deviation1.51
Information Ratio0.1332
Maximum Drawdown7.96
Value At Risk2.40
Potential Upside3.37
  

Biglari Holdings Market Premium Indicators

Risk Adjusted Performance0.1415
Jensen Alpha0.1307
Total Risk Alpha0.2409
Sortino Ratio0.1564
Treynor Ratio1.69

Biglari Holdings Backtested Returns

Macroaxis considers Biglari Holdings to be not too risky. Biglari Holdings secures Sharpe Ratio (or Efficiency) of -8.0E-4 which signifies that Biglari Holdings had -8.0E-4% of return per unit of standard deviation over the last 2 months. Macroaxis philosophy in 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. Biglari Holdings exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Biglari Holdings Mean Deviation of 1.22 and Risk Adjusted Performance of 0.1415 to double-check risk estimate we provide. Macroaxis gives Biglari Holdings performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.0821 which signifies that as returns on market increase, returns on owning Biglari Holdings are expected to decrease at a much smaller rate. During bear market, Biglari Holdings is likely to outperform the market.. Even though it is essential to pay attention to Biglari Holdings historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy in 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. Biglari Holdings exposes twenty-one different technical indicators which can help you to evaluate its performance. Biglari Holdings has expected return of -0.0013%. Please be advised to confirm Biglari Holdings Coefficient Of Variation, Maximum Drawdown, Skewness, as well as the relationship between Information Ratio and Downside Variance to decide if Biglari Holdings past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.39 

Below average predictability

Biglari Holdings has below average predictability. Overlapping area represents the amount of predictability between Biglari Holdings time series from February 21, 2018 to March 23, 2018 and March 23, 2018 to April 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 Biglari Holdings price movement. The serial correlation of 0.39 indicates that just about 39.0% of current Biglari Holdings price fluctuation can be explain by its past prices.
Correlation Coefficient 0.39
Spearman Rank Test 0.37
Price Variance 106.62
Lagged Price Variance 39.05

Biglari Holdings lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Biglari Holdings regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Biglari Holdings Lagged Returns

 Regressed Prices 
      Timeline 

Did you try this?

Run Aroon Oscillator Now
   

Aroon Oscillator

Analyze current equity momentum using Aroon Oscillator and other momentum ratios
View All  Next Launch Aroon Oscillator

BATS Exchange Efficient Frontier

Diversify in USA Market
The main assumption in equity investing is that a higher degree of volatility (or risk) means a higher potential (or expected) return on investment. Conversely, investors who take on a low degree of risk have a low expection for return.
Diversify Portfolios
You can create optimal portfolios in USA market or optimize your existing portfolio in one of two ways: 1) For any level of risk, select the one which has the highest expected return. 2) For any expected return, select the one which has the lowest volatility.
Diversify Portfolios
Check also Biglari Holdings Hype Analysis, Biglari Holdings Correlation, Biglari Holdings Valuation, Biglari Holdings Volatility as well as analyze Biglari Holdings Alpha and Beta and Biglari Holdings Performance. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.