Dunkin Brands Backtesting

Dunkin Brands Group -- USA Stock  

USD 62.02  0.19  0.31%

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.
 Time Horizon     30 Days    Login   to change
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Dunkin Brands 'What if' Analysis

February 25, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
April 26, 2018
0.00
If you would invest  0.00  in Dunkin Brands on February 25, 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 60 days. Dunkin Brands is related to or competes with Hyatt Hotels, Biglari Holdings, La Quinta, Park Hotels, Wingstop, and WYNN RESORTS. Dunkin Brands Group, Inc., together with its subsidiaries, develops, franchises, and licenses quick service restaurants ...

Dunkin Brands Upside/Downside Indicators

Downside Deviation1.3
Information Ratio0.0159
Maximum Drawdown5.36
Value At Risk2.36
Potential Upside1.62
  

Dunkin Brands Market Premium Indicators

Risk Adjusted Performance0.007
Jensen Alpha5.0E-4
Total Risk Alpha0.0121
Sortino Ratio0.014
Treynor Ratio0.016388

Dunkin Brands Group Backtested Returns

We consider Dunkin Brands not too risky. Dunkin Brands Group secures Sharpe Ratio (or Efficiency) of 0.0102 which denotes Dunkin Brands Group had 0.0102% of return per unit of risk over the last 2 months. Our philosophy towards predicting 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 Dunkin Brands Group which you can use to evaluate future volatility of the firm. Please confirm Dunkin Brands Group Coefficient Of Variation of 14480.26, Mean Deviation of 0.8401 and Downside Deviation of 1.3 to check if risk estimate we provide are consistent with the epected return of 0.0119%. Dunkin Brands has performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.1266 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 0.0119% will be sustainable into the future. Dunkin Brands Group right now shows a risk of 1.1609%. 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 0.15 

Insignificant predictability

Dunkin Brands Group has insignificant predictability. Overlapping area represents the amount of predictability between Dunkin Brands time series from February 25, 2018 to March 27, 2018 and March 27, 2018 to April 26, 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 0.15 indicates that less than 15.0% of current Dunkin Brands price fluctuation can be explain by its past prices.
Correlation Coefficient 0.15
Spearman Rank Test -0.14
Price Variance 0.84
Lagged Price Variance 0.6

Dunkin Brands Group lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Dunkin Brands regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Dunkin Brands Lagged Returns

 Regressed Prices 
      Timeline 

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The main assumption in equity investing is that a higher degree of volatility (or risk) means a higher potential (or expected) return on investment. Conversely, investors who take on a low degree of risk have a low expection for return.
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You can create optimal portfolios in USA market or optimize your existing portfolio in one of two ways: 1) For any level of risk, select the one which has the highest expected return. 2) For any expected return, select the one which has the lowest volatility.
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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 Bollinger Bands module to use bollinger bands indicator to analyze target price for a given investing horizon.