Comcast Backtesting

CMCSA -- USA Stock  

Quarterly Earning Report: October 24, 2019  

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

Comcast 'What if' Analysis

July 16, 2019
No Change 0.00  0.0 
In 3 months and 1 day
October 14, 2019
If you would invest  0.00  in Comcast on July 16, 2019 and sell it all today you would earn a total of 0.00 from holding Comcast Corporation or generate 0.0% return on investment in Comcast over 90 days. Comcast Corporation operates as a media and technology company worldwide

Comcast Upside/Downside Indicators

Downside Deviation1.21
Information Ratio0.0422
Maximum Drawdown5.77
Value At Risk(2.06)
Potential Upside2.23

Comcast Market Premium Indicators

Risk Adjusted Performance0.0235
Jensen Alpha0.0564
Total Risk Alpha0.0652
Sortino Ratio0.0443
Treynor Ratio0.0166

Comcast Backtested Returns

We consider Comcast very steady. Comcast secures Sharpe Ratio (or Efficiency) of 0.0079 which signifies that the organization had 0.0079% 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 Comcast Corporation which you can use to evaluate future volatility of the firm. Please confirm Comcast Risk Adjusted Performance of 0.0235, Mean Deviation of 0.9629 and Downside Deviation of 1.21 to double-check if risk estimate we provide are consistent with the epected return of 0.0101%. The firm shows Beta (market volatility) of 1.0742 which signifies that Comcast returns are very sensitive to returns on the market. as market goes up or down, Comcast is expected to follow. Although it is extremely important to respect Comcast 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 Comcast technical indicators you can presently evaluate if the expected return of 0.0101% will be sustainable into the future. Comcast right now shows a risk of 1.2806%. Please confirm Comcast Treynor Ratio, and the relationship between Variance and Potential Upside to decide if Comcast will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.05 
correlation synergy

Virtually no predictability

Comcast Corporation has virtually no predictability. Overlapping area represents the amount of predictability between Comcast time series from July 16, 2019 to August 30, 2019 and August 30, 2019 to October 14, 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 Comcast price movement. The serial correlation of 0.05 indicates that only as little as 5.0% of current Comcast price fluctuation can be explain by its past prices.
Correlation Coefficient0.05
Spearman Rank Test0.45
Residual Average0.0
Price Variance1.0

Comcast lagged returns against current returns

 Current and Lagged Values 

Comcast regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Comcast Lagged Returns

 Regressed Prices 

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Comcast Pair Correlation

Equities Pair Trading Analysis

Check also Comcast Hype Analysis, Comcast Correlation, Comcast Valuation, Comcast Volatility as well as analyze Comcast Alpha and Beta and Comcast Performance. Please also try Companies Directory module to evaluate performance of over 100,000 stocks, funds, and etfs against different fundamentals.