Disney Backtesting

DIS -- USA Stock  

Fiscal Quarter End: December 31, 2019  

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

Disney 'What if' Analysis

August 22, 2019
No Change 0.00  0.0 
In 3 months and 1 day
November 20, 2019
If you would invest  0.00  in Disney on August 22, 2019 and sell it all today you would earn a total of 0.00 from holding Walt Disney Company or generate 0.0% return on investment in Disney over 90 days. Disney is related to or competes with DISH Network, Dolphin Entertainment, Eros International, Discovery Inc, AMC Entertainment, CBS, and Cinemark Holdings. The Walt Disney Company, together with its subsidiaries, operates as an entertainment company worldwide

Disney Upside/Downside Indicators

Downside Deviation1.25
Information Ratio0.0204
Maximum Drawdown9.0
Value At Risk(1.86)
Potential Upside2.18

Disney Market Premium Indicators

Risk Adjusted Performance0.0712
Jensen Alpha0.0387
Total Risk Alpha(0.08)
Sortino Ratio0.0243
Treynor Ratio0.1396

Walt Disney Backtested Returns

We consider Disney very steady. Walt Disney secures Sharpe Ratio (or Efficiency) of 0.0866 which denotes the organization had 0.0866% of return per unit of risk over the last 3 months. Our philosophy towards predicting 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 Walt Disney Company which you can use to evaluate future volatility of the firm. Please confirm Walt Disney Semi Deviation of 1.09, Risk Adjusted Performance of 0.0712 and Downside Deviation of 1.25 to check if risk estimate we provide are consistent with the epected return of 0.131%. Disney has performance score of 5 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.9145 which denotes to the fact that Disney returns are very sensitive to returns on the market. as market goes up or down, Disney is expected to follow. Although it is extremely important to respect Walt Disney historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards predicting 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 reviewing Walt Disney technical indicators you can presently evaluate if the expected return of 0.131% will be sustainable into the future. Walt Disney right now shows a risk of 1.5127%. Please confirm Walt Disney Downside Deviation, Jensen Alpha as well as the relationship between Jensen Alpha and Downside Variance to decide if Walt Disney will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.74) 
correlation synergy

Almost perfect reverse predictability

Walt Disney Company has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Disney time series from August 22, 2019 to October 6, 2019 and October 6, 2019 to November 20, 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 Walt Disney price movement. The serial correlation of -0.74 indicates that around 74.0% of current Disney price fluctuation can be explain by its past prices. Given that Walt Disney Company has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Disney for similar time interval.
Correlation Coefficient-0.74
Spearman Rank Test-0.39
Residual Average0.0
Price Variance38.55

Walt Disney lagged returns against current returns

 Current and Lagged Values 

Disney regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Disney Lagged Returns

 Regressed Prices 

Current Sentiment - DIS

Walt Disney Investor Sentiment

Predominant part of Macroaxis users are currently bullish on Walt Disney Company. What is your opinion about investing in Walt Disney Company? Are you bullish or bearish?
98% Bullish
2% Bearish

Disney Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Disney and DISH Network. 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 Disney Hype Analysis, Disney Correlation, Disney Valuation, Disney Volatility as well as analyze Disney Alpha and Beta and Disney Performance. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.
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