Salesforce Backtesting

CRM -- USA Stock  

USD 151.57  3.33  2.25%

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

Salesforce 'What if' Analysis

June 26, 2019
No Change 0.00  0.0%
In 2 months and 2 days
August 25, 2019
If you would invest  0.00  in Salesforce on June 26, 2019 and sell it all today you would earn a total of 0.00 from holding Salesforce or generate 0.0% return on investment in Salesforce over 60 days. Salesforce is related to or competes with Eventbrite, Aurora Mobile, LINE, DocuSign, Domo, Descartes Systems, and DESTINY MEDIA., inc. develops enterprise cloud computing solutions with a focus on customer relationship management worl...

Salesforce Upside/Downside Indicators

Downside Deviation1.58
Information Ratio0.0948
Maximum Drawdown5.63
Value At Risk(2.39)
Potential Upside2.24

Salesforce Market Premium Indicators

Risk Adjusted Performance0.0333
Jensen Alpha0.0996
Total Risk Alpha0.178
Sortino Ratio0.0847
Treynor Ratio0.051

Salesforce Backtested Returns

We consider Salesforce very steady. Salesforce owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.034 which indicates the firm had 0.034% of return per unit of risk over the last 2 months. Our philosophy towards measuring 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 Salesforce which you can use to evaluate future volatility of the company. Please validate Salesforce Risk Adjusted Performance of 0.0333, Coefficient Of Variation of 3250.42 and Semi Deviation of 1.46 to confirm if risk estimate we provide are consistent with the epected return of 0.0481%. Salesforce has performance score of 2 on a scale of 0 to 100. The entity has beta of 0.6567 which indicates as returns on market increase, Salesforce returns are expected to increase less than the market. However during bear market, the loss on holding Salesforce will be expected to be smaller as well. Although it is extremely important to respect Salesforce current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring 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 inspecting Salesforce technical indicators you can presently evaluate if the expected return of 0.0481% will be sustainable into the future. Salesforce right now has a risk of 1.4137%. Please validate Salesforce Downside Deviation, Jensen Alpha as well as the relationship between Jensen Alpha and Downside Variance to decide if Salesforce will be following its existing price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.58) 
correlation synergy

Good reverse predictability

Salesforce has good reverse predictability. Overlapping area represents the amount of predictability between Salesforce time series from June 26, 2019 to July 26, 2019 and July 26, 2019 to August 25, 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 Salesforce price movement. The serial correlation of -0.58 indicates that roughly 58.0% of current Salesforce price fluctuation can be explain by its past prices. Given that Salesforce has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Salesforce for similar time interval.
Correlation Coefficient-0.58
Spearman Rank Test-0.12
Residual Average0.0
Price Variance31.99

Salesforce lagged returns against current returns

 Current and Lagged Values 

Salesforce regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Salesforce Lagged Returns

 Regressed Prices 

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Salesforce Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Salesforce and Eventbrite. 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 Salesforce Hype Analysis, Salesforce Correlation, Salesforce Valuation, Salesforce Volatility as well as analyze Salesforce Alpha and Beta and Salesforce Performance. Please also try Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .