Quest Diagnostics Backtesting

DGX -- USA Stock  

USD 84.69  1.21  1.45%

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

Quest Diagnostics 'What if' Analysis

November 17, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
January 16, 2019
0.00
If you would invest  0.00  in Quest Diagnostics on November 17, 2018 and sell it all today you would earn a total of 0.00 from holding Quest Diagnostics Incorporated or generate 0.0% return on investment in Quest Diagnostics over 60 days. Quest Diagnostics is related to or competes with Agilent Technologies, Guardant Health, Laboratory, DarioHealth Corp, DexCom, Exact Sciences, and Fluidigm. Quest Diagnostics Incorporated provides diagnostic testing information and services in the United States and internation...

Quest Diagnostics Upside/Downside Indicators

Information Ratio(0.07)
Maximum Drawdown11.76
Value At Risk(3.24)
Potential Upside2.52
  

Quest Diagnostics Market Premium Indicators

Risk Adjusted Performance(0.30)
Jensen Alpha(0.27)
Total Risk Alpha(0.14)
Treynor Ratio(0.97)

Quest Diagnostics Backtested Returns

Macroaxis considers Quest Diagnostics to be not too risky. Quest Diagnostics maintains Sharpe Ratio (i.e. Efficiency) of -0.1115 which implies Quest Diagnostics had -0.1115% of return per unit of risk over the last 2 months. Macroaxis philosophy towards forecasting 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. Quest Diagnostics exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Quest Diagnostics Coefficient Of Variation of (649.17) and Risk Adjusted Performance of (0.30) to confirm risk estimate we provide. Macroaxis gives Quest Diagnostics performance score of 0 on a scale of 0 to 100. The organization holds Beta of 0.3473 which implies as returns on market increase, Quest Diagnostics returns are expected to increase less than the market. However during bear market, the loss on holding Quest Diagnostics will be expected to be smaller as well. . Even though it is essential to pay attention to Quest Diagnostics current trending patterns, it is always good to be careful when utilizing equity existing price patterns. Macroaxis philosophy towards forecasting 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. Quest Diagnostics exposes twenty-eight different technical indicators which can help you to evaluate its performance. Quest Diagnostics has expected return of -0.2491%. Please be advised to check Quest Diagnostics Maximum Drawdown, and the relationship between Information Ratio and Expected Short fall to decide if Quest Diagnostics past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.39) 
correlation synergy

Poor reverse predictability

Quest Diagnostics Incorporated has poor reverse predictability. Overlapping area represents the amount of predictability between Quest Diagnostics time series from November 17, 2018 to December 17, 2018 and December 17, 2018 to January 16, 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 Quest Diagnostics price movement. The serial correlation of -0.39 indicates that just about 39.0% of current Quest Diagnostics price fluctuation can be explain by its past prices. Given that Quest Diagnostics Incorporated has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Quest Diagnostics for similar time interval.
Correlation Coefficient-0.39
Spearman Rank Test-0.38
Residual Average0.0
Price Variance1.97

Quest Diagnostics lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Quest Diagnostics regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Quest Diagnostics Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - DGX

Quest Diagnostics Investor Sentiment

Greater number of Macroaxis users are currently bullish on Quest Diagnostics Incorporated. What is your perspective on investing in Quest Diagnostics Incorporated? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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Quest Diagnostics Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Quest Diagnostics and Agilent Technologies. 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
Run Pair Correlation  
Additionally see Quest Diagnostics Hype Analysis, Quest Diagnostics Correlation, Quest Diagnostics Valuation, Quest Diagnostics Volatility as well as analyze Quest Diagnostics Alpha and Beta and Quest Diagnostics Performance. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.
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