Cisco Systems Backtesting

CSCO -- USA Stock  

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

August 19, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
November 17, 2019
0.00
If you would invest  0.00  in Cisco Systems on August 19, 2019 and sell it all today you would earn a total of 0.00 from holding Cisco Systems or generate 0.0% return on investment in Cisco Systems over 90 days. Cisco Systems is related to or competes with Knowles, DASAN Zhone, Ericsson, EXFO Inc, Extreme Networks, Frequency Electronics, and FRANKLIN WIRELESS. Cisco Systems, Inc. designs, manufactures, and sells Internet Protocol based networking and other products related to th...

Cisco Systems Upside/Downside Indicators

Information Ratio(0.11)
Maximum Drawdown10.61
Value At Risk(2.89)
Potential Upside1.75

Cisco Systems Market Premium Indicators

Risk Adjusted Performance(0.00711)
Jensen Alpha(0.20)
Total Risk Alpha(0.31)
Treynor Ratio(0.02889)

Cisco Systems Backtested Returns

Macroaxis considers Cisco Systems to be very steady. Cisco Systems secures Sharpe Ratio (or Efficiency) of -0.0671 which signifies that the organization had -0.0671% of return per unit of risk over the last 3 months. 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. Cisco Systems exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Cisco Systems Mean Deviation of 1.11 and Risk Adjusted Performance of (0.00711) to double-check risk estimate we provide. The firm shows Beta (market volatility) of 1.2559 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Cisco Systems will likely underperform. Even though it is essential to pay attention to Cisco Systems 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. Cisco Systems exposes twenty-one different technical indicators which can help you to evaluate its performance. Cisco Systems has expected return of -0.1008%. Please be advised to confirm Cisco Systems Variance, Value At Risk as well as the relationship between Value At Risk and Skewness to decide if Cisco Systems past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.63 
correlation synergy

Good predictability

Cisco Systems has good predictability. Overlapping area represents the amount of predictability between Cisco Systems time series from August 19, 2019 to October 3, 2019 and October 3, 2019 to November 17, 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 Cisco Systems price movement. The serial correlation of 0.63 indicates that roughly 63.0% of current Cisco Systems price fluctuation can be explain by its past prices.
Correlation Coefficient0.63
Spearman Rank Test0.2
Residual Average0.0
Price Variance0.89

Cisco Systems lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Cisco Systems regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Cisco Systems Lagged Returns

 Regressed Prices 
      Timeline 

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Cisco Systems Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Cisco Systems and Knowles. 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 Cisco Systems Hype Analysis, Cisco Systems Correlation, Cisco Systems Valuation, Cisco Systems Volatility as well as analyze Cisco Systems Alpha and Beta and Cisco Systems Performance. Please also try Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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