Quest Diagnostics Backtesting

DGX -- USA Stock  

USD 113.53  0.93  0.81%

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.
 Time Horizon     30 Days    Login   to change

Quest Diagnostics 'What if' Analysis

June 21, 2018
No Change 0.00  0.0%
In 31 days
July 21, 2018
If you would invest  0.00  in Quest Diagnostics on June 21, 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 30 days. Quest Diagnostics is related to or competes with Agilent Technologies, Laboratory of, DarioHealth Corp, DexCom, Exact Sciences, Fluidigm, and FULGENT GENETICS. Quest Diagnostics Incorporated provides diagnostic testing information and services in the United States and internation...

Quest Diagnostics Upside/Downside Indicators

Downside Deviation0.7005
Information Ratio0.03
Maximum Drawdown2.5
Value At Risk0.96
Potential Upside1.29

Quest Diagnostics Market Premium Indicators

Risk Adjusted Performance0.1229
Jensen Alpha0.1175
Total Risk Alpha0.013083
Sortino Ratio0.0329
Treynor Ratio0.6278

Quest Diagnostics In Backtested Returns

We consider Quest Diagnostics not too risky. Quest Diagnostics In maintains Sharpe Ratio (i.e. Efficiency) of 0.1774 which implies Quest Diagnostics In had 0.1774% of return per unit of risk over the last 1 month. Our philosophy towards forecasting volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Quest Diagnostics In which you can use to evaluate future volatility of the company. Please check Quest Diagnostics In Coefficient Of Variation of 492.56, Semi Deviation of 0.432 and Risk Adjusted Performance of 0.1229 to confirm if risk estimate we provide are consistent with the epected return of 0.1416%. Quest Diagnostics has performance score of 11 on a scale of 0 to 100. The organization holds Beta of 0.2327 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.. Although it is extremely important to respect Quest Diagnostics In current trending patterns, it is better to be realistic regarding the information on equity existing price patterns. The philosophy towards forecasting 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 Quest Diagnostics In technical indicators you can presently evaluate if the expected return of 0.1416% will be sustainable into the future. Quest Diagnostics In right now holds a risk of 0.7982%. Please check Quest Diagnostics In Standard Deviation as well as the relationship between Maximum Drawdown and Expected Short fall to decide if Quest Diagnostics In will be following its historical price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.50) 

Modest reverse predictability

Quest Diagnostics Incorporated has modest reverse predictability. Overlapping area represents the amount of predictability between Quest Diagnostics time series from June 21, 2018 to July 6, 2018 and July 6, 2018 to July 21, 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 Quest Diagnostics In price movement. The serial correlation of -0.5 indicates that about 50.0% 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 -0.5
Spearman Rank Test -0.5
Price Variance 2.11
Lagged Price Variance 0.97

Quest Diagnostics In lagged returns against current returns

 Current and Lagged Values 

Quest Diagnostics regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Quest Diagnostics Lagged Returns

 Regressed Prices 

Current Sentiment - DGX

Quest Diagnostics In 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?
98% Bullish
2% Bearish

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 Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.