Dunkin Brands Backtesting

DNKN -- USA Stock  

USD 73.16  1.25  1.68%

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

Dunkin Brands 'What if' Analysis

September 18, 2018
No Change 0.00  0.0%
In 31 days
October 18, 2018
If you would invest  0.00  in Dunkin Brands on September 18, 2018 and sell it all today you would earn a total of 0.00 from holding Dunkin Brands Group or generate 0.0% return on investment in Dunkin Brands over 30 days. Dunkin Brands is related to or competes with Biglari Holdings, Dine Brands, Dominos Pizza, Darden Restaurants, Brinker International, and Fiesta Restaurant. Dunkin Brands Group, Inc., together with its subsidiaries, develops, franchises, and licenses quick service restaurants ...

Dunkin Brands Upside/Downside Indicators

Downside Deviation1.23
Information Ratio0.1897
Maximum Drawdown4.66
Value At Risk1.51
Potential Upside2.61

Dunkin Brands Market Premium Indicators

Risk Adjusted Performance0.1311
Jensen Alpha0.1997
Total Risk Alpha0.2674
Sortino Ratio0.2
Treynor Ratio0.277

Dunkin Brands Group Backtested Returns

We consider Dunkin Brands not too risky. Dunkin Brands Group secures Sharpe Ratio (or Efficiency) of 0.1211 which denotes Dunkin Brands Group had 0.1211% of return per unit of risk over the last 1 month. 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 Dunkin Brands Group which you can use to evaluate future volatility of the firm. Please confirm Dunkin Brands Group Coefficient Of Variation of 825.7, Mean Deviation of 0.9983 and Downside Deviation of 1.23 to check if risk estimate we provide are consistent with the epected return of 0.1571%. Dunkin Brands has performance score of 8 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.5311 which denotes to the fact that as returns on market increase, Dunkin Brands returns are expected to increase less than the market. However during bear market, the loss on holding Dunkin Brands will be expected to be smaller as well.. Although it is extremely important to respect Dunkin Brands Group 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 Dunkin Brands Group technical indicators you can presently evaluate if the expected return of 0.1571% will be sustainable into the future. Dunkin Brands Group right now shows a risk of 1.2974%. Please confirm Dunkin Brands Group Coefficient Of Variation, Treynor Ratio as well as the relationship between Treynor Ratio and Semi Variance to decide if Dunkin Brands Group will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.52) 

Good reverse predictability

Dunkin Brands Group has good reverse predictability. Overlapping area represents the amount of predictability between Dunkin Brands time series from September 18, 2018 to October 3, 2018 and October 3, 2018 to October 18, 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 Dunkin Brands Group price movement. The serial correlation of -0.52 indicates that about 52.0% of current Dunkin Brands price fluctuation can be explain by its past prices. Given that Dunkin Brands Group has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Dunkin Brands for similar time interval.
Correlation Coefficient-0.52
Spearman Rank Test0.01
Residual Average0.0
Price Variance1.4

Dunkin Brands Group lagged returns against current returns

 Current and Lagged Values 

Dunkin Brands regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Dunkin Brands Lagged Returns

 Regressed Prices 

Current Sentiment - DNKN

Dunkin Brands Group Investor Sentiment

Most of Macroaxis users are currently bullish on Dunkin Brands Group. What is your opinion about investing in Dunkin Brands Group? Are you bullish or bearish?
98% Bullish
2% Bearish

Dunkin Brands Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Dunkin Brands and Biglari Holdings. 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 Dunkin Brands Hype Analysis, Dunkin Brands Correlation, Dunkin Brands Valuation, Dunkin Brands Volatility as well as analyze Dunkin Brands Alpha and Beta and Dunkin Brands 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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